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[Add] support for float spread bid/ask volume

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This commit is contained in:
vn.py 2019-10-29 21:11:43 +08:00
parent c1151dc8fc
commit bc489d9fab
3 changed files with 34 additions and 10 deletions
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27
vnpy/app/spread_trading/base.py
View File

@ -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:

6
vnpy/app/spread_trading/engine.py
View File

@ -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,

11
vnpy/trader/utility.py
View File

@ -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: