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[Mod] convert coin volume to contract volume for inverse contract

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This commit is contained in:
vn.py 2019-10-22 15:17:13 +08:00
parent 8781aa72d5
commit 7a72d5f63f
2 changed files with 11 additions and 1 deletions
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5
vnpy/app/spread_trading/base.py
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@ -268,6 +268,11 @@ class SpreadData:
) )
return tick return tick
def is_inverse(self, vt_symbol: str) -> bool:
""""""
inverse_contract = self.inverse_contracts[vt_symbol]
return inverse_contract
def calculate_inverse_volume(original_volume: float, price: float) -> float: def calculate_inverse_volume(original_volume: float, price: float) -> float:
"""""" """"""

7
vnpy/app/spread_trading/template.py
View File

@ -8,7 +8,7 @@ from vnpy.trader.object import TickData, TradeData, OrderData, ContractData
from vnpy.trader.constant import Direction, Status, Offset from vnpy.trader.constant import Direction, Status, Offset
from vnpy.trader.utility import virtual from vnpy.trader.utility import virtual
from .base import SpreadData from .base import SpreadData, calculate_inverse_volume
class SpreadAlgoTemplate: class SpreadAlgoTemplate:
@ -177,6 +177,11 @@ class SpreadAlgoTemplate:
direction: Direction, direction: Direction,
): ):
"""""" """"""
# For inverse contract:
# contract trading volume = coin trading volume * trading price
if self.spread.is_inverse(vt_symbol):
volume = volume * price
vt_orderids = self.algo_engine.send_order( vt_orderids = self.algo_engine.send_order(
self, self,
vt_symbol, vt_symbol,