From bc489d9fabc6c5b18d95bca2d3602ee7c5243e01 Mon Sep 17 00:00:00 2001
From: "vn.py" <xiaoyou.chen@foxmail.com>
Date: Tue, 29 Oct 2019 21:11:43 +0800
Subject: [PATCH] [Add] support for float spread bid/ask volume

---
 vnpy/app/spread_trading/base.py   | 27 +++++++++++++++++++--------
 vnpy/app/spread_trading/engine.py |  6 ++++--
 vnpy/trader/utility.py            | 11 +++++++++++
 3 files changed, 34 insertions(+), 10 deletions(-)

diff --git a/vnpy/app/spread_trading/base.py b/vnpy/app/spread_trading/base.py
index 9717b740..2d00579a 100644
--- a/vnpy/app/spread_trading/base.py
+++ b/vnpy/app/spread_trading/base.py
@@ -4,6 +4,7 @@ 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
 
 
 EVENT_SPREAD_DATA = "eSpreadData"
@@ -94,6 +95,8 @@ class SpreadData:
         self.active_leg: LegData = None
         self.passive_legs: List[LegData] = []
 
+        self.min_volume = 0.1
+
         # For calculating spread price
         self.price_multipliers: Dict[str, int] = price_multipliers
 
@@ -168,15 +171,23 @@ class SpreadData:
                     leg.ask_volume, leg.ask_price, leg.size)
 
             if trading_multiplier > 0:
-                adjusted_bid_volume = floor(
-                    leg_bid_volume / trading_multiplier)
-                adjusted_ask_volume = floor(
-                    leg_ask_volume / trading_multiplier)
+                adjusted_bid_volume = floor_to(
+                    leg_bid_volume / trading_multiplier,
+                    self.min_volume
+                )
+                adjusted_ask_volume = floor_to(
+                    leg_ask_volume / trading_multiplier,
+                    self.min_volume
+                )
             else:
-                adjusted_bid_volume = floor(
-                    leg_bid_volume / abs(trading_multiplier))
-                adjusted_ask_volume = floor(
-                    leg_ask_volume / abs(trading_multiplier))
+                adjusted_bid_volume = floor_to(
+                    leg_bid_volume / abs(trading_multiplier),
+                    self.min_volume
+                )
+                adjusted_ask_volume = floor_to(
+                    leg_ask_volume / abs(trading_multiplier),
+                    self.min_volume
+                )
 
             # For the first leg, just initialize
             if not n:
diff --git a/vnpy/app/spread_trading/engine.py b/vnpy/app/spread_trading/engine.py
index 325552ee..7d0c639f 100644
--- a/vnpy/app/spread_trading/engine.py
+++ b/vnpy/app/spread_trading/engine.py
@@ -128,11 +128,13 @@ class SpreadDataEngine:
             for leg in spread.legs.values():
                 price_multiplier = spread.price_multipliers[leg.vt_symbol]
                 trading_multiplier = spread.trading_multipliers[leg.vt_symbol]
+                inverse_contract = spread.inverse_contracts[leg.vt_symbol]
 
                 leg_setting = {
                     "vt_symbol": leg.vt_symbol,
                     "price_multiplier": price_multiplier,
-                    "trading_multiplier": trading_multiplier
+                    "trading_multiplier": trading_multiplier,
+                    "inverse_contract": inverse_contract
                 }
                 leg_settings.append(leg_setting)
 
@@ -268,7 +270,7 @@ 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)
+            inverse_contracts[vt_symbol] = leg_setting.get("inverse_contract", False)
 
         spread = SpreadData(
             name,
diff --git a/vnpy/trader/utility.py b/vnpy/trader/utility.py
index 51471b70..54afc881 100644
--- a/vnpy/trader/utility.py
+++ b/vnpy/trader/utility.py
@@ -7,6 +7,7 @@ import logging
 from pathlib import Path
 from typing import Callable, Dict
 from decimal import Decimal
+from math import floor
 
 import numpy as np
 import talib
@@ -124,6 +125,16 @@ def round_to(value: float, target: float) -> float:
     return rounded
 
 
+def floor_to(value: float, target: float) -> float:
+    """
+    Similar to math.floor function, but to target float number.
+    """
+    value = Decimal(str(value))
+    target = Decimal(str(target))
+    result = float(int(floor(value / target)) * target)
+    return result
+
+
 class BarGenerator:
     """
     For: