diff --git a/vnpy/trader/app/ctaStrategy/ctaEngine.py b/vnpy/trader/app/ctaStrategy/ctaEngine.py index 2e4be7d6..49dd7987 100644 --- a/vnpy/trader/app/ctaStrategy/ctaEngine.py +++ b/vnpy/trader/app/ctaStrategy/ctaEngine.py @@ -74,10 +74,6 @@ class CtaEngine(object): self.stopOrderDict = {} # 停止单撤销后不会从本字典中删除 self.workingStopOrderDict = {} # 停止单撤销后会从本字典中删除 - # 持仓缓存字典 - # key为vtSymbol，value为PositionBuffer对象 - self.posBufferDict = {} - # 成交号集合，用来过滤已经收到过的成交推送 self.tradeSet = set() @@ -111,22 +107,7 @@ class CtaEngine(object): elif orderType == CTAORDER_SELL: req.direction = DIRECTION_SHORT - - # 只有上期所才要考虑平今平昨 - if contract.exchange != EXCHANGE_SHFE: - req.offset = OFFSET_CLOSE - else: - # 获取持仓缓存数据 - posBuffer = self.posBufferDict.get(vtSymbol, None) - # 如果获取持仓缓存失败，则默认平昨 - if not posBuffer: - req.offset = OFFSET_CLOSE - # 否则如果有多头今仓，则使用平今 - elif posBuffer.longToday: - req.offset= OFFSET_CLOSETODAY - # 其他情况使用平昨 - else: - req.offset = OFFSET_CLOSE + req.offset = OFFSET_CLOSE elif orderType == CTAORDER_SHORT: req.direction = DIRECTION_SHORT @@ -134,22 +115,7 @@ class CtaEngine(object): elif orderType == CTAORDER_COVER: req.direction = DIRECTION_LONG - - # 只有上期所才要考虑平今平昨 - if contract.exchange != EXCHANGE_SHFE: - req.offset = OFFSET_CLOSE - else: - # 获取持仓缓存数据 - posBuffer = self.posBufferDict.get(vtSymbol, None) - # 如果获取持仓缓存失败，则默认平昨 - if not posBuffer: - req.offset = OFFSET_CLOSE - # 否则如果有空头今仓，则使用平今 - elif posBuffer.shortToday: - req.offset= OFFSET_CLOSETODAY - # 其他情况使用平昨 - else: - req.offset = OFFSET_CLOSE + req.offset = OFFSET_CLOSE vtOrderID = self.mainEngine.sendOrder(req, contract.gatewayName) # 发单 self.orderStrategyDict[vtOrderID] = strategy # 保存vtOrderID和策略的映射关系 @@ -305,30 +271,7 @@ class CtaEngine(object): self.callStrategyFunc(strategy, strategy.onTrade, trade) # 保存策略持仓到数据库 - self.savePosition(strategy) - - # 更新持仓缓存数据 - if trade.vtSymbol in self.tickStrategyDict: - posBuffer = self.posBufferDict.get(trade.vtSymbol, None) - if not posBuffer: - posBuffer = PositionBuffer() - posBuffer.vtSymbol = trade.vtSymbol - self.posBufferDict[trade.vtSymbol] = posBuffer - posBuffer.updateTradeData(trade) - - #---------------------------------------------------------------------- - def processPositionEvent(self, event): - """处理持仓推送""" - pos = event.dict_['data'] - - # 更新持仓缓存数据 - if pos.vtSymbol in self.tickStrategyDict: - posBuffer = self.posBufferDict.get(pos.vtSymbol, None) - if not posBuffer: - posBuffer = PositionBuffer() - posBuffer.vtSymbol = pos.vtSymbol - self.posBufferDict[pos.vtSymbol] = posBuffer - posBuffer.updatePositionData(pos) + self.savePosition(strategy) #---------------------------------------------------------------------- def registerEvent(self): @@ -336,7 +279,6 @@ class CtaEngine(object): self.eventEngine.register(EVENT_TICK, self.processTickEvent) self.eventEngine.register(EVENT_ORDER, self.processOrderEvent) self.eventEngine.register(EVENT_TRADE, self.processTradeEvent) - self.eventEngine.register(EVENT_POSITION, self.processPositionEvent) #---------------------------------------------------------------------- def insertData(self, dbName, collectionName, data): @@ -616,68 +558,3 @@ class CtaEngine(object): """停止""" pass - -######################################################################## -class PositionBuffer(object): - """持仓缓存信息（本地维护的持仓数据）""" - - #---------------------------------------------------------------------- - def __init__(self): - """Constructor""" - self.vtSymbol = EMPTY_STRING - - # 多头 - self.longPosition = EMPTY_INT - self.longToday = EMPTY_INT - self.longYd = EMPTY_INT - - # 空头 - self.shortPosition = EMPTY_INT - self.shortToday = EMPTY_INT - self.shortYd = EMPTY_INT - - #---------------------------------------------------------------------- - def updatePositionData(self, pos): - """更新持仓数据""" - if pos.direction == DIRECTION_LONG: - self.longPosition = pos.position - self.longYd = pos.ydPosition - self.longToday = self.longPosition - self.longYd - else: - self.shortPosition = pos.position - self.shortYd = pos.ydPosition - self.shortToday = self.shortPosition - self.shortYd - - #---------------------------------------------------------------------- - def updateTradeData(self, trade): - """更新成交数据""" - if trade.direction == DIRECTION_LONG: - # 多方开仓，则对应多头的持仓和今仓增加 - if trade.offset == OFFSET_OPEN: - self.longPosition += trade.volume - self.longToday += trade.volume - # 多方平今，对应空头的持仓和今仓减少 - elif trade.offset == OFFSET_CLOSETODAY: - self.shortPosition -= trade.volume - self.shortToday -= trade.volume - # 多方平昨，对应空头的持仓和昨仓减少 - else: - self.shortPosition -= trade.volume - self.shortYd -= trade.volume - else: - # 空头和多头相同 - if trade.offset == OFFSET_OPEN: - self.shortPosition += trade.volume - self.shortToday += trade.volume - elif trade.offset == OFFSET_CLOSETODAY: - self.longPosition -= trade.volume - self.longToday -= trade.volume - else: - self.longPosition -= trade.volume - self.longYd -= trade.volume - - - - - - diff --git a/vnpy/trader/vtEngine.py b/vnpy/trader/vtEngine.py index 8098c924..370cd330 100644 --- a/vnpy/trader/vtEngine.py +++ b/vnpy/trader/vtEngine.py @@ -466,8 +466,6 @@ class DataEngine(object): detail = self.getPositionDetail(req.vtSymbol) detail.updateOrderReq(req, vtOrderID) - - ######################################################################## class LogEngine(object):