From 8eca0abd13b7dbf773a720295da66f5541e87636 Mon Sep 17 00:00:00 2001
From: "vn.py" <xiaoyou.chen@foxmail.com>
Date: Tue, 29 Oct 2019 21:13:49 +0800
Subject: [PATCH] [Add] support float number net pos

---
 vnpy/app/spread_trading/base.py | 11 +++++------
 vnpy/trader/utility.py          | 12 +++++++++++-
 2 files changed, 16 insertions(+), 7 deletions(-)

diff --git a/vnpy/app/spread_trading/base.py b/vnpy/app/spread_trading/base.py
index 2d00579a..fdca426d 100644
--- a/vnpy/app/spread_trading/base.py
+++ b/vnpy/app/spread_trading/base.py
@@ -1,10 +1,9 @@
 from typing import Dict, List
-from math import floor, ceil
 from datetime import datetime
 
 from vnpy.trader.object import TickData, PositionData, TradeData
 from vnpy.trader.constant import Direction, Offset, Exchange
-from vnpy.trader.utility import floor_to
+from vnpy.trader.utility import floor_to, ceil_to
 
 
 EVENT_SPREAD_DATA = "eSpreadData"
@@ -222,10 +221,10 @@ class SpreadData:
             adjusted_net_pos = net_pos / trading_multiplier
 
             if adjusted_net_pos > 0:
-                adjusted_net_pos = floor(adjusted_net_pos)
+                adjusted_net_pos = floor_to(adjusted_net_pos, self.min_volume)
                 leg_long_pos = adjusted_net_pos
             else:
-                adjusted_net_pos = ceil(adjusted_net_pos)
+                adjusted_net_pos = ceil_to(adjusted_net_pos, self.min_volume)
                 leg_short_pos = abs(adjusted_net_pos)
 
             if not n:
@@ -261,9 +260,9 @@ class SpreadData:
         spread_volume = leg_volume / trading_multiplier
 
         if spread_volume > 0:
-            spread_volume = floor(spread_volume)
+            spread_volume = floor_to(spread_volume, self.min_volume)
         else:
-            spread_volume = ceil(spread_volume)
+            spread_volume = ceil_to(spread_volume, self.min_volume)
 
         return spread_volume
 
diff --git a/vnpy/trader/utility.py b/vnpy/trader/utility.py
index 54afc881..256a26f8 100644
--- a/vnpy/trader/utility.py
+++ b/vnpy/trader/utility.py
@@ -7,7 +7,7 @@ import logging
 from pathlib import Path
 from typing import Callable, Dict
 from decimal import Decimal
-from math import floor
+from math import floor, ceil
 
 import numpy as np
 import talib
@@ -135,6 +135,16 @@ def floor_to(value: float, target: float) -> float:
     return result
 
 
+def ceil_to(value: float, target: float) -> float:
+    """
+    Similar to math.ceil function, but to target float number.
+    """
+    value = Decimal(str(value))
+    target = Decimal(str(target))
+    result = float(int(ceil(value / target)) * target)
+    return result
+
+
 class BarGenerator:
     """
     For: