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[Mod] calculate inverse leg net pos

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vn.py 2019-10-22 14:45:37 +08:00
parent 66cf47db3d
commit 8781aa72d5
1 changed files with 11 additions and 1 deletions
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12
vnpy/app/spread_trading/base.py
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@ -30,6 +30,8 @@ class LegData:
self.short_pos: float = 0 self.short_pos: float = 0
self.net_pos: float = 0 self.net_pos: float = 0
self.last_price: float = 0
# Tick data buf # Tick data buf
self.tick: TickData = None self.tick: TickData = None
@ -39,6 +41,7 @@ class LegData:
self.ask_price = tick.ask_price_1 self.ask_price = tick.ask_price_1
self.bid_volume = tick.bid_volume_1 self.bid_volume = tick.bid_volume_1
self.ask_volume = tick.ask_volume_1 self.ask_volume = tick.ask_volume_1
self.last_price = tick.last_price
self.tick = tick self.tick = tick
@ -194,7 +197,14 @@ class SpreadData:
leg_short_pos = 0 leg_short_pos = 0
trading_multiplier = self.trading_multipliers[leg.vt_symbol] 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: if adjusted_net_pos > 0:
adjusted_net_pos = floor(adjusted_net_pos) adjusted_net_pos = floor(adjusted_net_pos)