[DEL]移除CTA策略引擎中的本地持仓缓存
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vn.py
parent
5328aabef4
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c2dea724fe
@ -74,10 +74,6 @@ class CtaEngine(object):
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self.stopOrderDict = {} # 停止单撤销后不会从本字典中删除
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self.workingStopOrderDict = {} # 停止单撤销后会从本字典中删除
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# 持仓缓存字典
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# key为vtSymbol，value为PositionBuffer对象
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self.posBufferDict = {}
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# 成交号集合，用来过滤已经收到过的成交推送
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self.tradeSet = set()
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@ -111,22 +107,7 @@ class CtaEngine(object):
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elif orderType == CTAORDER_SELL:
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req.direction = DIRECTION_SHORT
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# 只有上期所才要考虑平今平昨
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if contract.exchange != EXCHANGE_SHFE:
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req.offset = OFFSET_CLOSE
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else:
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# 获取持仓缓存数据
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posBuffer = self.posBufferDict.get(vtSymbol, None)
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# 如果获取持仓缓存失败，则默认平昨
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if not posBuffer:
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req.offset = OFFSET_CLOSE
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# 否则如果有多头今仓，则使用平今
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elif posBuffer.longToday:
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req.offset= OFFSET_CLOSETODAY
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# 其他情况使用平昨
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else:
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req.offset = OFFSET_CLOSE
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req.offset = OFFSET_CLOSE
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elif orderType == CTAORDER_SHORT:
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req.direction = DIRECTION_SHORT
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@ -134,22 +115,7 @@ class CtaEngine(object):
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elif orderType == CTAORDER_COVER:
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req.direction = DIRECTION_LONG
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# 只有上期所才要考虑平今平昨
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if contract.exchange != EXCHANGE_SHFE:
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req.offset = OFFSET_CLOSE
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else:
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# 获取持仓缓存数据
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posBuffer = self.posBufferDict.get(vtSymbol, None)
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# 如果获取持仓缓存失败，则默认平昨
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if not posBuffer:
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req.offset = OFFSET_CLOSE
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# 否则如果有空头今仓，则使用平今
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elif posBuffer.shortToday:
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req.offset= OFFSET_CLOSETODAY
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# 其他情况使用平昨
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else:
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req.offset = OFFSET_CLOSE
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req.offset = OFFSET_CLOSE
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vtOrderID = self.mainEngine.sendOrder(req, contract.gatewayName) # 发单
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self.orderStrategyDict[vtOrderID] = strategy # 保存vtOrderID和策略的映射关系
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@ -307,36 +273,12 @@ class CtaEngine(object):
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# 保存策略持仓到数据库
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self.savePosition(strategy)
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# 更新持仓缓存数据
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if trade.vtSymbol in self.tickStrategyDict:
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posBuffer = self.posBufferDict.get(trade.vtSymbol, None)
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if not posBuffer:
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posBuffer = PositionBuffer()
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posBuffer.vtSymbol = trade.vtSymbol
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self.posBufferDict[trade.vtSymbol] = posBuffer
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posBuffer.updateTradeData(trade)
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#----------------------------------------------------------------------
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def processPositionEvent(self, event):
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"""处理持仓推送"""
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pos = event.dict_['data']
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# 更新持仓缓存数据
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if pos.vtSymbol in self.tickStrategyDict:
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posBuffer = self.posBufferDict.get(pos.vtSymbol, None)
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if not posBuffer:
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posBuffer = PositionBuffer()
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posBuffer.vtSymbol = pos.vtSymbol
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self.posBufferDict[pos.vtSymbol] = posBuffer
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posBuffer.updatePositionData(pos)
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#----------------------------------------------------------------------
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def registerEvent(self):
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"""注册事件监听"""
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self.eventEngine.register(EVENT_TICK, self.processTickEvent)
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self.eventEngine.register(EVENT_ORDER, self.processOrderEvent)
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self.eventEngine.register(EVENT_TRADE, self.processTradeEvent)
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self.eventEngine.register(EVENT_POSITION, self.processPositionEvent)
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#----------------------------------------------------------------------
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def insertData(self, dbName, collectionName, data):
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@ -616,68 +558,3 @@ class CtaEngine(object):
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"""停止"""
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pass
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########################################################################
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class PositionBuffer(object):
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"""持仓缓存信息（本地维护的持仓数据）"""
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#----------------------------------------------------------------------
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def __init__(self):
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"""Constructor"""
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self.vtSymbol = EMPTY_STRING
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# 多头
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self.longPosition = EMPTY_INT
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self.longToday = EMPTY_INT
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self.longYd = EMPTY_INT
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# 空头
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self.shortPosition = EMPTY_INT
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self.shortToday = EMPTY_INT
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self.shortYd = EMPTY_INT
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#----------------------------------------------------------------------
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def updatePositionData(self, pos):
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"""更新持仓数据"""
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if pos.direction == DIRECTION_LONG:
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self.longPosition = pos.position
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self.longYd = pos.ydPosition
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self.longToday = self.longPosition - self.longYd
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else:
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self.shortPosition = pos.position
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self.shortYd = pos.ydPosition
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self.shortToday = self.shortPosition - self.shortYd
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#----------------------------------------------------------------------
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def updateTradeData(self, trade):
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"""更新成交数据"""
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if trade.direction == DIRECTION_LONG:
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# 多方开仓，则对应多头的持仓和今仓增加
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if trade.offset == OFFSET_OPEN:
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self.longPosition += trade.volume
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self.longToday += trade.volume
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# 多方平今，对应空头的持仓和今仓减少
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elif trade.offset == OFFSET_CLOSETODAY:
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self.shortPosition -= trade.volume
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self.shortToday -= trade.volume
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# 多方平昨，对应空头的持仓和昨仓减少
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else:
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self.shortPosition -= trade.volume
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self.shortYd -= trade.volume
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else:
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# 空头和多头相同
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if trade.offset == OFFSET_OPEN:
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self.shortPosition += trade.volume
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self.shortToday += trade.volume
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elif trade.offset == OFFSET_CLOSETODAY:
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self.longPosition -= trade.volume
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self.longToday -= trade.volume
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else:
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self.longPosition -= trade.volume
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self.longYd -= trade.volume
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@ -467,8 +467,6 @@ class DataEngine(object):
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detail.updateOrderReq(req, vtOrderID)
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########################################################################
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class LogEngine(object):
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"""日志引擎"""
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