From ab605767b65bc74ee2187fb99c2952e43e5d3c0f Mon Sep 17 00:00:00 2001
From: "vn.py" <xiaoyou.chen@foxmail.com>
Date: Sun, 16 Jun 2019 15:25:06 +0800
Subject: [PATCH] [Add] more log output for arbitrage algo

---
 vnpy/app/algo_trading/algos/arbitrage_algo.py | 16 ++++++++++++++--
 vnpy/gateway/bitmex/bitmex_gateway.py         |  5 +----
 2 files changed, 15 insertions(+), 6 deletions(-)

diff --git a/vnpy/app/algo_trading/algos/arbitrage_algo.py b/vnpy/app/algo_trading/algos/arbitrage_algo.py
index 24228cbd..210f60ec 100644
--- a/vnpy/app/algo_trading/algos/arbitrage_algo.py
+++ b/vnpy/app/algo_trading/algos/arbitrage_algo.py
@@ -87,6 +87,7 @@ class ArbitrageAlgo(AlgoTemplate):
 
         # Hedge if active symbol traded
         if trade.vt_symbol == self.active_vt_symbol:
+            self.write_log("收到主动腿成交回报，执行对冲")
             self.hedge()
 
         self.put_variables_event()
@@ -102,11 +103,13 @@ class ArbitrageAlgo(AlgoTemplate):
 
         # Cancel all active orders before moving on
         if self.active_vt_orderid or self.passive_vt_orderid:
+            self.write_log("有未成交委托，执行撤单")
             self.cancel_all()
             return
 
         # Make sure that active leg is fully hedged by passive leg
         if (self.active_pos + self.passive_pos) != 0:
+            self.write_log("主动腿和被动腿数量不一致，执行对冲")
             self.hedge()
             return
 
@@ -114,6 +117,7 @@ class ArbitrageAlgo(AlgoTemplate):
         active_tick = self.get_tick(self.active_vt_symbol)
         passive_tick = self.get_tick(self.passive_vt_symbol)
         if not active_tick or not passive_tick:
+            self.write_log("获取某条套利腿的行情失败，无法交易")
             return
 
         # Calculate spread
@@ -125,12 +129,16 @@ class ArbitrageAlgo(AlgoTemplate):
         spread_ask_volume = min(active_tick.ask_volume_1,
                                 passive_tick.bid_volume_1)
 
-        self.write_log(f"盘口价差，买：{spread_bid_volume}@{spread_bid_price}")
-        self.write_log(f"盘口价差，卖：{spread_ask_volume}@{spread_ask_price}")
+        msg = f"价差盘口，买：{spread_bid_price} ({spread_bid_volume})，卖：{spread_ask_price} ({spread_ask_volume})"
+        self.write_log(msg)
 
         # Sell condition
         if spread_bid_price > self.spread_up:
+            self.write_log("套利价差超过上限，满足做空条件")
+
             if self.active_pos > -self.max_pos:
+                self.write_log("当前持仓小于最大持仓限制，执行卖出操作")
+
                 volume = min(spread_bid_volume,
                              self.active_pos + self.max_pos)
 
@@ -142,7 +150,11 @@ class ArbitrageAlgo(AlgoTemplate):
 
         # Buy condition
         elif spread_ask_price < -self.spread_down:
+            self.write_log("套利价差超过下限，满足做多条件")
+
             if self.active_pos < self.max_pos:
+                self.write_log("当前持仓小于最大持仓限制，执行买入操作")
+
                 volume = min(spread_ask_volume,
                              self.max_pos - self.active_pos)
 
diff --git a/vnpy/gateway/bitmex/bitmex_gateway.py b/vnpy/gateway/bitmex/bitmex_gateway.py
index 4de3a33b..444f85b2 100644
--- a/vnpy/gateway/bitmex/bitmex_gateway.py
+++ b/vnpy/gateway/bitmex/bitmex_gateway.py
@@ -661,14 +661,11 @@ class BitmexWebsocketApi(WebsocketClient):
 
     def on_position(self, d):
         """"""
-        if not d["currentQty"]:
-            return
-
         position = PositionData(
             symbol=d["symbol"],
             exchange=Exchange.BITMEX,
             direction=Direction.NET,
-            volume=d["currentQty"],
+            volume=d.get("currentQty", 0),
             gateway_name=self.gateway_name,
         )