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[Mod] add combobox for setting spread min_volume

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This commit is contained in:
vn.py 2019-11-07 11:03:05 +08:00
parent 47b256ea90
commit b056901a38
4 changed files with 37 additions and 23 deletions
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5
vnpy/app/spread_trading/algo.py
View File

@ -119,9 +119,6 @@ class SpreadTakerAlgo(SpreadAlgoTemplate):
active_traded
)
self.write_log(
f"active {active_leg.vt_symbol} traded: {active_traded} hedge_volume: {hedge_volume}")
# Calculate passive leg target volume and do hedge
for leg in self.spread.passive_legs:
passive_traded = self.leg_traded[leg.vt_symbol]
@ -131,8 +128,6 @@ class SpreadTakerAlgo(SpreadAlgoTemplate):
leg.vt_symbol,
hedge_volume
)
self.write_log(
f"hedge {leg.vt_symbol} traded: {passive_traded} target: {passive_target}")
leg_order_volume = passive_target - passive_traded
if leg_order_volume:

5
vnpy/app/spread_trading/base.py
View File

@ -129,7 +129,8 @@ class SpreadData:
price_multipliers: Dict[str, int],
trading_multipliers: Dict[str, int],
active_symbol: str,
inverse_contracts: Dict[str, bool]
inverse_contracts: Dict[str, bool],
min_volume: float
):
""""""
self.name: str = name
@ -138,7 +139,7 @@ class SpreadData:
self.active_leg: LegData = None
self.passive_legs: List[LegData] = []
self.min_volume = 0.001
self.min_volume: float = min_volume
# For calculating spread price
self.price_multipliers: Dict[str, int] = price_multipliers

5
vnpy/app/spread_trading/engine.py
View File

@ -116,6 +116,7 @@ class SpreadDataEngine:
spread_setting["name"],
spread_setting["leg_settings"],
spread_setting["active_symbol"],
spread_setting.get("min_volume", 1),
save=False
)
@ -251,6 +252,7 @@ class SpreadDataEngine:
name: str,
leg_settings: List[Dict],
active_symbol: str,
min_volume: float,
save: bool = True
) -> None:
""""""
@ -278,7 +280,8 @@ class SpreadDataEngine:
price_multipliers,
trading_multipliers,
active_symbol,
inverse_contracts
inverse_contracts,
min_volume
)
self.spreads[name] = spread

45
vnpy/app/spread_trading/ui/widget.py
View File

@ -383,6 +383,17 @@ class SpreadDataDialog(QtWidgets.QDialog):
self.name_line = QtWidgets.QLineEdit()
self.active_line = QtWidgets.QLineEdit()
self.min_volume_combo = QtWidgets.QComboBox()
self.min_volume_combo.addItems([
"1",
"0.1",
"0.01",
"0.001",
"0.0001",
"0.00001",
"0.000001",
])
self.grid = QtWidgets.QGridLayout()
button_add = QtWidgets.QPushButton("创建价差")
@ -392,15 +403,17 @@ class SpreadDataDialog(QtWidgets.QDialog):
grid = QtWidgets.QGridLayout()
grid.addWidget(Label("价差名称"), 0, 0)
grid.addWidget(self.name_line, 0, 1, 1, 3)
grid.addWidget(self.name_line, 0, 1, 1, 4)
grid.addWidget(Label("主动腿代码"), 1, 0)
grid.addWidget(self.active_line, 1, 1, 1, 3)
grid.addWidget(self.active_line, 1, 1, 1, 4)
grid.addWidget(Label("最小交易量"), 2, 0)
grid.addWidget(self.min_volume_combo, 2, 1, 1, 4)
grid.addWidget(Label(""), 2, 0)
grid.addWidget(Label("本地代码"), 3, 1)
grid.addWidget(Label("价格乘数"), 3, 2)
grid.addWidget(Label("交易乘数"), 3, 3)
grid.addWidget(Label("合约模式"), 3, 4)
grid.addWidget(Label(""), 3, 0)
grid.addWidget(Label("本地代码"), 4, 1)
grid.addWidget(Label("价格乘数"), 4, 2)
grid.addWidget(Label("交易乘数"), 4, 3)
grid.addWidget(Label("合约模式"), 4, 4)
int_validator = QtGui.QIntValidator()
@ -417,11 +430,11 @@ class SpreadDataDialog(QtWidgets.QDialog):
inverse_combo = QtWidgets.QComboBox()
inverse_combo.addItems(["正向", "反向"])
grid.addWidget(Label("腿{}".format(i + 1)), 4 + i, 0)
grid.addWidget(symbol_line, 4 + i, 1)
grid.addWidget(price_line, 4 + i, 2)
grid.addWidget(trading_line, 4 + i, 3)
grid.addWidget(inverse_combo, 4 + i, 4)
grid.addWidget(Label("腿{}".format(i + 1)), 5 + i, 0)
grid.addWidget(symbol_line, 5 + i, 1)
grid.addWidget(price_line, 5 + i, 2)
grid.addWidget(trading_line, 5 + i, 3)
grid.addWidget(inverse_combo, 5 + i, 4)
d = {
"symbol": symbol_line,
@ -431,8 +444,8 @@ class SpreadDataDialog(QtWidgets.QDialog):
}
self.leg_widgets.append(d)
grid.addWidget(Label(""), 4 + leg_count, 0,)
grid.addWidget(button_add, 5 + leg_count, 0, 1, 4)
grid.addWidget(Label(""), 5 + leg_count, 0,)
grid.addWidget(button_add, 6 + leg_count, 0, 1, 5)
self.setLayout(grid)
@ -449,6 +462,7 @@ class SpreadDataDialog(QtWidgets.QDialog):
return
active_symbol = self.active_line.text()
min_volume = float(self.min_volume_combo.currentText())
leg_settings = {}
for d in self.leg_widgets:
@ -492,7 +506,8 @@ class SpreadDataDialog(QtWidgets.QDialog):
self.spread_engine.add_spread(
spread_name,
list(leg_settings.values()),
active_symbol
active_symbol,
min_volume
)
self.accept()