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[Mod]实现SpreadTrading模块的平仓委托自动转换功能

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vn.py 2017-10-25 13:00:01 +08:00
parent c700141aaa
commit cc3fdfc569
1 changed files with 13 additions and 26 deletions
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37
vnpy/trader/app/spreadTrading/stEngine.py
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@ -367,8 +367,15 @@ class StAlgoEngine(object):
else: else:
req.price = price - payup * contract.priceTick req.price = price - payup * contract.priceTick
# 委托转换
reqList = self.mainEngine.convertOrderReq(req)
vtOrderIDList = []
for req in reqList:
vtOrderID = self.mainEngine.sendOrder(req, contract.gatewayName) vtOrderID = self.mainEngine.sendOrder(req, contract.gatewayName)
return vtOrderID vtOrderIDList.append(vtOrderID)
return vtOrderIDList
#---------------------------------------------------------------------- #----------------------------------------------------------------------
def cancelOrder(self, vtOrderID): def cancelOrder(self, vtOrderID):
@ -389,45 +396,25 @@ class StAlgoEngine(object):
#---------------------------------------------------------------------- #----------------------------------------------------------------------
def buy(self, vtSymbol, price, volume, payup=0): def buy(self, vtSymbol, price, volume, payup=0):
"""买入""" """买入"""
vtOrderID = self.sendOrder(vtSymbol, DIRECTION_LONG, OFFSET_OPEN, price, volume, payup) l = self.sendOrder(vtSymbol, DIRECTION_LONG, OFFSET_OPEN, price, volume, payup)
l = []
if vtOrderID:
l.append(vtOrderID)
return l return l
#---------------------------------------------------------------------- #----------------------------------------------------------------------
def sell(self, vtSymbol, price, volume, payup=0): def sell(self, vtSymbol, price, volume, payup=0):
"""卖出""" """卖出"""
vtOrderID = self.sendOrder(vtSymbol, DIRECTION_SHORT, OFFSET_CLOSE, price, volume, payup) l = self.sendOrder(vtSymbol, DIRECTION_SHORT, OFFSET_CLOSE, price, volume, payup)
l = []
if vtOrderID:
l.append(vtOrderID)
return l return l
#---------------------------------------------------------------------- #----------------------------------------------------------------------
def short(self, vtSymbol, price, volume, payup=0): def short(self, vtSymbol, price, volume, payup=0):
"""卖空""" """卖空"""
vtOrderID = self.sendOrder(vtSymbol, DIRECTION_SHORT, OFFSET_OPEN, price, volume, payup) l = self.sendOrder(vtSymbol, DIRECTION_SHORT, OFFSET_OPEN, price, volume, payup)
l = []
if vtOrderID:
l.append(vtOrderID)
return l return l
#---------------------------------------------------------------------- #----------------------------------------------------------------------
def cover(self, vtSymbol, price, volume, payup=0): def cover(self, vtSymbol, price, volume, payup=0):
"""平空""" """平空"""
vtOrderID = self.sendOrder(vtSymbol, DIRECTION_LONG, OFFSET_CLOSE, price, volume, payup) l = self.sendOrder(vtSymbol, DIRECTION_LONG, OFFSET_CLOSE, price, volume, payup)
l = []
if vtOrderID:
l.append(vtOrderID)
return l return l
#---------------------------------------------------------------------- #----------------------------------------------------------------------