From b5892b960751d3b1e788b5a4c69901f9b6e9b6f1 Mon Sep 17 00:00:00 2001
From: "vn.py" <xiaoyou.chen@foxmail.com>
Date: Tue, 22 Oct 2019 11:40:47 +0800
Subject: [PATCH] [Add] SpreadData supports inverse contract leg

---
 vnpy/app/spread_trading/base.py      | 10 +++++++---
 vnpy/app/spread_trading/engine.py    |  5 ++++-
 vnpy/app/spread_trading/ui/widget.py | 16 ++++++++++++++--
 3 files changed, 25 insertions(+), 6 deletions(-)

diff --git a/vnpy/app/spread_trading/base.py b/vnpy/app/spread_trading/base.py
index e6777d30..c0874ee2 100644
--- a/vnpy/app/spread_trading/base.py
+++ b/vnpy/app/spread_trading/base.py
@@ -78,7 +78,8 @@ class SpreadData:
         legs: List[LegData],
         price_multipliers: Dict[str, int],
         trading_multipliers: Dict[str, int],
-        active_symbol: str
+        active_symbol: str,
+        inverse_contracts: Dict[str, bool]
     ):
         """"""
         self.name: str = name
@@ -88,10 +89,13 @@ class SpreadData:
         self.passive_legs: List[LegData] = []
 
         # For calculating spread price
-        self.price_multipliers: Dict[str: int] = price_multipliers
+        self.price_multipliers: Dict[str, int] = price_multipliers
 
         # For calculating spread pos and sending orders
-        self.trading_multipliers: Dict[str: int] = trading_multipliers
+        self.trading_multipliers: Dict[str, int] = trading_multipliers
+
+        # For inverse derivative contracts of crypto market
+        self.inverse_contracts: Dict[str, bool] = inverse_contracts
 
         self.price_formula: str = ""
         self.trading_formula: str = ""
diff --git a/vnpy/app/spread_trading/engine.py b/vnpy/app/spread_trading/engine.py
index 433eb19d..15c58c75 100644
--- a/vnpy/app/spread_trading/engine.py
+++ b/vnpy/app/spread_trading/engine.py
@@ -253,6 +253,7 @@ class SpreadDataEngine:
         legs: List[LegData] = []
         price_multipliers: Dict[str, int] = {}
         trading_multipliers: Dict[str, int] = {}
+        inverse_contracts: Dict[str, bool] = {}
 
         for leg_setting in leg_settings:
             vt_symbol = leg_setting["vt_symbol"]
@@ -261,13 +262,15 @@ class SpreadDataEngine:
             legs.append(leg)
             price_multipliers[vt_symbol] = leg_setting["price_multiplier"]
             trading_multipliers[vt_symbol] = leg_setting["trading_multiplier"]
+            inverse_contracts[vt_symbol] = leg_setting.get("inverse_contracts", False)
 
         spread = SpreadData(
             name,
             legs,
             price_multipliers,
             trading_multipliers,
-            active_symbol
+            active_symbol,
+            inverse_contracts
         )
         self.spreads[name] = spread
 
diff --git a/vnpy/app/spread_trading/ui/widget.py b/vnpy/app/spread_trading/ui/widget.py
index 00ef63a5..72fa2551 100644
--- a/vnpy/app/spread_trading/ui/widget.py
+++ b/vnpy/app/spread_trading/ui/widget.py
@@ -392,6 +392,7 @@ class SpreadDataDialog(QtWidgets.QDialog):
         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)
 
         int_validator = QtGui.QIntValidator()
 
@@ -405,15 +406,20 @@ class SpreadDataDialog(QtWidgets.QDialog):
             trading_line = QtWidgets.QLineEdit()
             trading_line.setValidator(int_validator)
 
+            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)
 
             d = {
                 "symbol": symbol_line,
                 "price": price_line,
-                "trading": trading_line
+                "trading": trading_line,
+                "inverse": inverse_combo
             }
             self.leg_widgets.append(d)
 
@@ -443,10 +449,16 @@ class SpreadDataDialog(QtWidgets.QDialog):
                 price_multiplier = int(d["price"].text())
                 trading_multiplier = int(d["trading"].text())
 
+                if d["inverse"].currentText() == "正向":
+                    inverse_contract = False
+                else:
+                    inverse_contract = True
+
                 leg_settings[vt_symbol] = {
                     "vt_symbol": vt_symbol,
                     "price_multiplier": price_multiplier,
-                    "trading_multiplier": trading_multiplier
+                    "trading_multiplier": trading_multiplier,
+                    "inverse_contract": inverse_contract
                 }
             except ValueError:
                 pass