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[Mod] spread leg data now supports net_pos_price

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This commit is contained in:
vn.py 2019-11-01 15:02:09 +08:00
parent d065f6c352
commit d8d2506e7a
2 changed files with 59 additions and 17 deletions
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48
vnpy/app/spread_trading/base.py
View File

@ -1,7 +1,7 @@
from typing import Dict, List
from datetime import datetime
from vnpy.trader.object import TickData, PositionData, TradeData
from vnpy.trader.object import TickData, PositionData, TradeData, ContractData
from vnpy.trader.constant import Direction, Offset, Exchange
from vnpy.trader.utility import floor_to, ceil_to
@ -31,12 +31,19 @@ class LegData:
self.net_pos: float = 0
self.last_price: float = 0
self.net_pos_price: float = 0 # Average entry price of net position
# Tick data buf
self.tick: TickData = None
# Contract size
# Contract data
self.size: float = 0
self.net_position: bool = False
def update_contract(self, contract: ContractData):
""""""
self.size = contract.size
self.net_position = contract.net_position
def update_tick(self, tick: TickData):
""""""
@ -52,6 +59,7 @@ class LegData:
""""""
if position.direction == Direction.NET:
self.net_pos = position.volume
self.net_pos_price = position.price
else:
if position.direction == Direction.LONG:
self.long_pos = position.volume
@ -61,6 +69,40 @@ class LegData:
def update_trade(self, trade: TradeData):
""""""
# Only update net pos for contract with net position mode
if self.net_position:
trade_cost = trade.volume * trade.price
old_cost = self.net_pos * self.net_pos_price
if trade.direction == Direction.LONG:
new_pos = self.net_pos + trade.volume
if self.net_pos >= 0:
new_cost = old_cost + trade_cost
self.net_pos_price = new_cost / new_pos
else:
# If all previous short position closed
if not new_pos:
self.net_pos_price = 0
# If only part short position closed
elif new_pos > 0:
self.net_pos_price = trade.price
else:
new_pos = self.net_pos - trade.volume
if self.net_pos <= 0:
new_cost = old_cost - trade_cost
self.net_pos_price = new_cost / new_pos
else:
# If all previous long position closed
if not new_pos:
self.net_pos_price = 0
# If only part long position closed
elif new_pos < 0:
self.net_pos_price = trade.price
self.net_pos = new_pos
else:
if trade.direction == Direction.LONG:
if trade.offset == Offset.OPEN:
self.long_pos += trade.volume
@ -216,7 +258,7 @@ class SpreadData:
net_pos = leg.net_pos
else:
net_pos = calculate_inverse_volume(
leg.net_pos, leg.last_price, leg.size)
leg.net_pos, leg.net_pos_price, leg.size)
adjusted_net_pos = net_pos / trading_multiplier

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

@ -199,8 +199,8 @@ class SpreadDataEngine:
leg = self.legs.get(contract.vt_symbol, None)
if leg:
# Update contract size data
leg.size = contract.size
# Update contract data
leg.update_contract(contract)
req = SubscribeRequest(
contract.symbol, contract.exchange
@ -228,7 +228,7 @@ class SpreadDataEngine:
# Subscribe market data
contract = self.main_engine.get_contract(vt_symbol)
if contract:
leg.size = contract.size
leg.update_contract(contract)
req = SubscribeRequest(
contract.symbol,