From 7e7ef73be45deb318f2ea14bfddb85a5266fa53d Mon Sep 17 00:00:00 2001
From: "vn.py" <vn.py@foxmail.com>
Date: Wed, 6 Dec 2017 21:49:24 +0800
Subject: [PATCH] =?UTF-8?q?[Fix]=E4=BF=AE=E5=A4=8D=E5=B8=8C=E8=85=8A?=
 =?UTF-8?q?=E5=80=BC=E8=AE=A1=E7=AE=97=E7=9A=84=E4=B9=98=E6=95=B0bug?=
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---
 vnpy/trader/app/optionMaster/omBase.py | 27 +++++++++++++++-----------
 1 file changed, 16 insertions(+), 11 deletions(-)

diff --git a/vnpy/trader/app/optionMaster/omBase.py b/vnpy/trader/app/optionMaster/omBase.py
index e82e021a..d5a4f1c6 100644
--- a/vnpy/trader/app/optionMaster/omBase.py
+++ b/vnpy/trader/app/optionMaster/omBase.py
@@ -145,7 +145,7 @@ class OmUnderlying(OmInstrument):
     #----------------------------------------------------------------------
     def calculatePosGreeks(self):
         """计算持仓希腊值"""
-        self.posDelta = self.theoDelta * self.netPos * self.size
+        self.posDelta = self.theoDelta * self.netPos
 
 
 ########################################################################
@@ -218,21 +218,26 @@ class OmOption(OmInstrument):
         if not underlyingPrice or not self.pricingImpv:
             return
         
-        self.theoPrice, self.theoDelta, self.theoGamma, self.theoTheta, self.theoVega = self.calculateGreeks(underlyingPrice, 
-                                                                                                             self.k, 
-                                                                                                             self.r, 
-                                                                                                             self.t, 
-                                                                                                             self.pricingImpv, 
-                                                                                                             self.cp)
+        self.theoPrice, delta, gamma, theta, vega = self.calculateGreeks(underlyingPrice, 
+                                                                         self.k, 
+                                                                         self.r, 
+                                                                         self.t, 
+                                                                         self.pricingImpv, 
+                                                                         self.cp)
+        
+        self.theoDelta = delta * self.size
+        self.theoGamma = gamma * self.size
+        self.theoTheta = theta * self.size
+        self.theoVega = vega * self.size
         
     #----------------------------------------------------------------------
     def calculatePosGreeks(self):
         """计算持仓希腊值"""
         self.posValue = self.theoPrice * self.netPos * self.size
-        self.posDelta = self.theoDelta * self.netPos * self.size
-        self.posGamma = self.theoGamma * self.netPos * self.size
-        self.posTheta = self.theoTheta * self.netPos * self.size	
-        self.posVega = self.theoVega * self.netPos * self.size              
+        self.posDelta = self.theoDelta * self.netPos
+        self.posGamma = self.theoGamma * self.netPos
+        self.posTheta = self.theoTheta * self.netPos
+        self.posVega = self.theoVega * self.netPos
     
     #----------------------------------------------------------------------
     def newTick(self, tick):