为双向套利修改pos

vn.trader/ctaStrategy/ctaPosition.py

@@ -11,98 +11,139 @@ DEBUGCTALOG = True
 class CtaPosition:
     """策略的仓位管理类
     v 0.1 简单的数值，代表多仓数量和空仓数量
-
+    v 0.2 增加多仓和空仓的持仓，去除持仓均价
     """
 
     def __init__(self, strategy):
         self.strategy = strategy
-
+        self.longPos = 0    # 多仓持仓
-        self.pos = 0        # 持仓状态 0:空仓 >=1 多仓 <=-1 空仓
+        self.shortPos = 0   # 空仓持仓
-        self.maxPos = 1        # 最大持仓量
+        self.pos = 0        # 持仓状态 0:空仓/对空平等； >=1 净多仓 ；<=-1 净空仓
+        self.maxPos = 1        # 最大持仓量（多仓+空仓总量）
         self.step = 1       # 增仓数量
 
-        self.posList = []
+        # disabled in v0.2
-        self.avgPrice = EMPTY_FLOAT
+        #self.posList = []
+        #self.avgPrice = EMPTY_FLOAT
 
     def avaliablePos2Add(self):
         """剩余可加的仓位数量"""
-        return self.maxPos - abs(self.pos)
+        return self.maxPos - abs(self.longPos) - abs(self.shortPos)
 
-    def openPos(self, direction, vol, price = EMPTY_FLOAT):
+    def openPos(self, direction, vol, price=EMPTY_FLOAT):
         """开、加仓"""
-        if self.pos == 0:
+        # vol: 正整数
-            self.posList = []
+
+        # disabled in v0.2
+        #if self.pos == 0:
+        #    self.posList = []
 
         if direction == DIRECTION_LONG:     # 加多仓
-            if self.pos + vol > self.maxPos:
+            if (max(self.pos, self.longPos) + vol) > self.maxPos:
-                self.writeCtaLog(u'异常，超出仓位，当前仓位：{0},加仓:{1},最大仓位:{2}'.format(self.pos,vol,self.maxPos))
+                self.writeCtaError(u'异常，超出仓位。净:{0},多:{1},加多:{2},最大:{3}'
-                return False
+                                 .format(self.pos, self.longPos, vol, self.maxPos))
-            #print u'仓位:{0}->{1}'.format(self.pos, self.pos+vol)
+
-            self.writeCtaLog(u'仓位:{0}->{1}'.format(self.pos, self.pos+vol))
+                # 只告警
-            self.pos = self.pos + vol
+                #return False
+
+            # 更新
+            self.writeCtaLog(u'多仓:{0}->{1}'.format(self.longPos, self.longPos + vol))
+            self.writeCtaLog(u'净:{0}->{1}'.format(self.pos, self.pos + vol))
+            self.longPos += vol
+            self.pos += vol
+
+            # 更新上层策略的pos。该方法不推荐使用
             self.strategy.pos = self.pos
 
         if direction == DIRECTION_SHORT:    # 加空仓
-            if self.pos - vol < 0 - self.maxPos:
+            if (min(self.pos, self.shortPos) - vol) < (0 - self.maxPos):
-                self.writeCtaLog(u'异常，超出仓位，当前仓位：{0},加仓:{1},最大仓位:{2}'.format(self.pos, vol, self.maxPos))
+                self.writeCtaError(u'异常，超出仓位。净:{0},空:{1},加空:{2},最大:{3}'
-                return False
+                                 .format(self.pos, self.shortPos, vol, self.maxPos))
-            #print u'仓位:{0}->{1}'.format(self.pos, self.pos-vol)
+                #return False
-            self.writeCtaLog(u'仓位:{0}->{1}'.format(self.pos, self.pos-vol))
+
-            self.pos = self.pos - vol
+            self.writeCtaLog(u'空仓:{0}->{1}'.format(self.shortPos, self.shortPos - vol))
+            self.writeCtaLog(u'净:{0}->{1}'.format(self.pos, self.pos-vol))
+            self.shortPos -= vol
+            self.pos -= vol
+
+            # 更新上层策略的pos。该方法不推荐使用
             self.strategy.pos = self.pos
 
-        if price > EMPTY_FLOAT:
+        # v0.2 disabled
-                self.posList.append(price)
+        #if price > EMPTY_FLOAT:
+        #        self.posList.append(price)
 
         # 计算持仓均价
-        if len(self.posList) > 0:
+        #if len(self.posList) > 0:
-                self.avgPrice = sum(self.posList)/len(self.posList)
+        #        self.avgPrice = sum(self.posList)/len(self.posList)
-                self.avgPrice = round(self.avgPrice, 3)
+        #        self.avgPrice = round(self.avgPrice, 3)
 
         return True
 
     def closePos(self, direction, vol):
         """平、减仓"""
+        # vol: 正整数
 
         if direction == DIRECTION_LONG:     # 平空仓 Cover
-            if self.pos + vol > 0:
+            if self.shortPos + vol > 0:
-                self.writeCtaLog(u'异常，超出仓位，当前仓位：{0},平仓:{1}'.format(self.pos,vol))
+                self.writeCtaError(u'异常，超出仓位。净:{0},空:{1},平仓:{2}'.format(self.pos, self.shortPos, vol))
-                self.strategy.pos = self.pos
+                #self.strategy.pos = self.pos
-                return False
+                #return False
-            #print u'仓位:{0}->{1}'.format(self.pos, self.pos+vol)
+
-            self.writeCtaLog(u'仓位:{0}->{1}'.format(self.pos, self.pos+vol))
+            self.writeCtaLog(u'空仓:{0}->{1}'.format(self.shortPos, self.shortPos + vol))
-            self.pos = self.pos + vol
+            self.writeCtaLog(u'净:{0}->{1}'.format(self.pos, self.pos + vol))
+            self.shortPos += vol
+            self.pos += vol
+
+            # 更新上层策略的pos。该方法不推荐使用
             self.strategy.pos = self.pos
 
         if direction == DIRECTION_SHORT:    # 平多仓
-            if self.pos - vol < 0 :
+            if self.longPos - vol < 0:
-                self.writeCtaLog(u'异常，超出仓位，当前仓位：{0},加仓:{1}'.format(self.pos, vol))
+                self.writeCtaError(u'异常，超出仓位。净:{0},多:{1},平仓:{2}'.format(self.pos, self.longPos, vol))
-                self.strategy.pos = self.pos
+                #self.strategy.pos = self.pos
-                return False
+                #return False
 
-            #print u'仓位:{0}->{1}'.format(self.pos, self.pos-vol)
+            self.writeCtaLog(u'多仓:{0}->{1}'.format(self.longPos, self.longPos - vol))
-            self.writeCtaLog(u'仓位:{0}->{1}'.format(self.pos, self.pos-vol))
+            self.writeCtaLog(u'净:{0}->{1}'.format(self.pos, self.pos-vol))
-            self.pos = self.pos - vol
+
+            self.shortPos -= vol
+            self.pos -= vol
             self.strategy.pos = self.pos
 
-        if abs(self.pos) > 0:
+        # disabled in v0.2
-            self.posList = self.posList[:-vol]
+        #if abs(self.pos) > 0:
-        else:
+        #    self.posList = self.posList[:-vol]
-            self.posList = []
+        #else:
+        #    self.posList = []
 
         # 计算持仓均价
-        if len(self.posList) > 0:
+        #if len(self.posList) > 0:
-            self.avgPrice = sum(self.posList)/len(self.posList)
+        #    self.avgPrice = sum(self.posList)/len(self.posList)
-            self.avgPrice = round(self.avgPrice, 3)
+        #    self.avgPrice = round(self.avgPrice, 3)
 
         return True
 
+    def clear(self):
+        """清除状态"""
+        self.writeCtaLog(u'清除所有持仓状态')
+        self.pos = 0
+        self.longPos = 0
+        self.shortPos = 0
+        # 更新上层策略的pos
+        self.strategy.pos = 0
+
+    # ----------------------------------------------------------------------
+    def writeCtaError(self, content):
+        """记录CTA日志错误"""
+        self.strategy.writeCtaLog(content)
+
     # ----------------------------------------------------------------------
     def writeCtaLog(self, content):
         """记录CTA日志"""
         self.strategy.writeCtaLog(content)
 
-    def debugCtaLog(self,content):
+    def debugCtaLog(self, content):
         """记录CTA日志"""
         if DEBUGCTALOG:
             self.strategy.writeCtaLog('[DEBUG]'+content)