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[Add] support float number net pos

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This commit is contained in:
vn.py 2019-10-29 21:13:49 +08:00
parent bc489d9fab
commit 8eca0abd13
2 changed files with 16 additions and 7 deletions
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11
vnpy/app/spread_trading/base.py
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@ -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

12
vnpy/trader/utility.py
View File

@ -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: