From 8781aa72d5a410fa5725388a008063f801642216 Mon Sep 17 00:00:00 2001
From: "vn.py" <xiaoyou.chen@foxmail.com>
Date: Tue, 22 Oct 2019 14:45:37 +0800
Subject: [PATCH] [Mod] calculate inverse leg net pos

---
 vnpy/app/spread_trading/base.py | 12 +++++++++++-
 1 file changed, 11 insertions(+), 1 deletion(-)

diff --git a/vnpy/app/spread_trading/base.py b/vnpy/app/spread_trading/base.py
index 62973f00..d04689f9 100644
--- a/vnpy/app/spread_trading/base.py
+++ b/vnpy/app/spread_trading/base.py
@@ -30,6 +30,8 @@ class LegData:
         self.short_pos: float = 0
         self.net_pos: float = 0
 
+        self.last_price: float = 0
+
         # Tick data buf
         self.tick: TickData = None
 
@@ -39,6 +41,7 @@ class LegData:
         self.ask_price = tick.ask_price_1
         self.bid_volume = tick.bid_volume_1
         self.ask_volume = tick.ask_volume_1
+        self.last_price = tick.last_price
 
         self.tick = tick
 
@@ -194,7 +197,14 @@ class SpreadData:
             leg_short_pos = 0
 
             trading_multiplier = self.trading_multipliers[leg.vt_symbol]
-            adjusted_net_pos = leg.net_pos / trading_multiplier
+            inverse_contract = self.inverse_contracts[leg.vt_symbol]
+
+            if not inverse_contract:
+                net_pos = leg.net_pos
+            else:
+                net_pos = calculate_inverse_volume(leg.net_pos, leg.last_price)
+
+            adjusted_net_pos = net_pos / trading_multiplier
 
             if adjusted_net_pos > 0:
                 adjusted_net_pos = floor(adjusted_net_pos)