[Add]初步完成OptionMaster手动交易模块

examples/OptionMaster/data/TRADE_MARKET_110100001088sop.dat

@@ -1 +1 @@
-B7/DvEptJ5IBD1LIj9SEFg==
+HqLpRXdyn/k8CK6bQvjTlg==

vnpy/pricing/black.py

@@ -43,6 +43,10 @@ DX_TARGET = 0.00001
 #----------------------------------------------------------------------
 def calculatePrice(f, k, r, t, v, cp):
     """计算期权价格"""
+    # 如果波动率为0，则直接返回期权空间价值
+    if v <= 0:
+        return max(0, cp * (f - k))
+    
     d1 = (log(f / k) + (0.5 * pow(v, 2) + r) * t) / (v * sqrt(t))
     d2 = d1 - v * sqrt(t)
     price = cp * (f * cdf(cp * d1) - k * cdf(cp * d2) * exp(-r * t))
@@ -121,9 +125,13 @@ def calculateImpv(price, f, k, r, t, cp):
     for i in range(50):
         # 计算当前猜测波动率对应的期权价格和vega值
         p = calculatePrice(f, k, r, t, v, cp)
-        #print 'calculating vega', f, k, r, t, v, cp
+        
         vega = calculateOriginalVega(f, k, r, t, v, cp)
         
+        # 如果vega过小接近0，则直接返回
+        if not vega:
+            return v
+        
         # 计算误差
         dx = (price - p) / vega
         

vnpy/trader/app/optionMaster/omBase.py

@@ -376,6 +376,7 @@ class OmPortfolio(object):
         self.underlyingDict = OrderedDict()
         self.chainDict = OrderedDict()
         self.optionDict = {}
+        self.instrumentDict = {}
         
         for underlying in underlyingList:
             self.underlyingDict[underlying.symbol] = underlying
@@ -385,6 +386,9 @@ class OmPortfolio(object):
             self.optionDict.update(chain.callDict)
             self.optionDict.update(chain.putDict)
         
+        self.instrumentDict.update(self.underlyingDict)
+        self.instrumentDict.update(self.optionDict)
+        
         # 持仓数据
         self.longPos = EMPTY_INT
         self.shortPos = EMPTY_INT

vnpy/trader/app/optionMaster/uiOmBase.py

@@ -0,0 +1,41 @@
+# encoding: UTF-8
+
+from vnpy.trader.uiQt import QtGui, QtWidgets, QtCore
+
+COLOR_BID = QtGui.QColor(255,174,201)
+COLOR_ASK = QtGui.QColor(160,255,160)
+COLOR_STRIKE = QtGui.QColor(0,0,160)
+COLOR_POS = QtGui.QColor(225,255,255)
+COLOR_SYMBOL = QtGui.QColor('white')
+COLOR_BLACK = QtGui.QColor('black')
+
+CALL_SUFFIX = '_call'
+PUT_SUFFIX = '_put'
+
+STYLESHEET_START = "background-color: rgb(111,255,244); color: black"
+STYLESHEET_STOP = "background-color: rgb(255,201,111); color: black"
+
+
+########################################################################
+class OmCell(QtWidgets.QTableWidgetItem):
+    """单元格"""
+
+    #----------------------------------------------------------------------
+    def __init__(self, text=None, background=None, foreground=None, data=None):
+        """Constructor"""
+        super(OmCell, self).__init__()
+        
+        self.data = data
+        self.background = None
+        
+        if text:
+            self.setText(text)
+            
+        if foreground:
+            self.setForeground(foreground)
+            
+        if background:
+            self.setBackground(background)
+            self.background = background
+        
+        self.setTextAlignment(QtCore.Qt.AlignCenter)

vnpy/trader/app/optionMaster/uiOmManualTrader.py

@@ -0,0 +1,411 @@
+# encoding: UTF-8
+
+from vnpy.event import Event
+
+from vnpy.trader.vtConstant import DIRECTION_LONG, DIRECTION_SHORT, OFFSET_OPEN, OFFSET_CLOSE, PRICETYPE_LIMITPRICE
+from vnpy.trader.vtObject import VtOrderReq
+from vnpy.trader.vtEvent import EVENT_TICK, EVENT_TRADE
+from vnpy.trader.uiBasicWidget import WorkingOrderMonitor, PositionMonitor
+
+from uiOmBase import *
+
+
+
+########################################################################
+class ChainMonitor(QtWidgets.QTableWidget):
+    """期权链监控"""
+    headers = [
+        u'代码',
+        u'买价',
+        u'买量',
+        u'买隐波',
+        u'卖价',
+        u'卖量',
+        u'卖隐波',
+        u'净仓',
+        u'行权价',
+        u'净仓',
+        u'买价',
+        u'买量',
+        u'买隐波',
+        u'卖价',
+        u'卖量',
+        u'卖隐波',
+        u'代码'
+    ]
+    
+    signalTick = QtCore.pyqtSignal(type(Event()))
+    signalPos = QtCore.pyqtSignal(type(Event()))
+    signalTrade = QtCore.pyqtSignal(type(Event()))
+
+    #----------------------------------------------------------------------
+    def __init__(self, omEngine, eventEngine, parent=None):
+        """Constructor"""
+        super(ChainMonitor, self).__init__(parent)
+        
+        self.omEngine = omEngine
+        self.eventEngine = eventEngine
+        
+        # 保存代码和持仓的字典
+        self.bidPriceDict = {}
+        self.bidVolumeDict = {}
+        self.bidImpvDict = {}
+        self.askPriceDict = {}
+        self.askVolumeDict = {}
+        self.askImpvDict = {}
+        self.posDict = {}
+        
+        # 保存期权对象的字典
+        portfolio = omEngine.portfolio
+        
+        self.instrumentDict = {}
+        self.instrumentDict.update(portfolio.optionDict)
+        self.instrumentDict.update(portfolio.underlyingDict)
+        
+        # 初始化
+        self.initUi()
+        self.registerEvent()
+        
+    #----------------------------------------------------------------------
+    def initUi(self):
+        """初始化界面"""
+        portfolio = self.omEngine.portfolio
+        
+        # 初始化表格
+        self.setColumnCount(len(self.headers))
+        self.setHorizontalHeaderLabels(self.headers)
+
+        rowCount = 0
+        rowCount += len(portfolio.underlyingDict)
+        rowCount += len(portfolio.chainDict)
+        for chain in portfolio.chainDict.values():
+            rowCount += len(chain.callDict)
+        self.setRowCount(rowCount)
+        
+        self.verticalHeader().setVisible(False)
+        self.setEditTriggers(self.NoEditTriggers)
+        
+        for i in range(self.columnCount()):
+            self.horizontalHeader().setResizeMode(i, QtWidgets.QHeaderView.Stretch)
+        self.horizontalHeader().setResizeMode(0, QtWidgets.QHeaderView.ResizeToContents)
+        self.horizontalHeader().setResizeMode(self.columnCount()-1, QtWidgets.QHeaderView.ResizeToContents)
+        
+        # 初始化标的单元格
+        row = 0
+        
+        for underlying in portfolio.underlyingDict.values():
+            symbol = underlying.symbol
+            
+            cellSymbol = OmCell(symbol, COLOR_SYMBOL, COLOR_BLACK, underlying)
+            cellBidPrice = OmCell(str(underlying.bidPrice1), COLOR_BID, COLOR_BLACK, underlying)
+            cellBidVolume = OmCell(str(underlying.bidVolume1), COLOR_BID, COLOR_BLACK, underlying)
+            cellAskPrice = OmCell(str(underlying.askPrice1), COLOR_ASK, COLOR_BLACK, underlying)
+            cellAskVolume = OmCell(str(underlying.askVolume1), COLOR_ASK, COLOR_BLACK, underlying)
+            cellPos = OmCell(str(underlying.netPos), COLOR_POS, COLOR_BLACK, underlying)
+            
+            self.setItem(row, 0, cellSymbol)
+            self.setItem(row, 1, cellBidPrice)
+            self.setItem(row, 2, cellBidVolume)
+            self.setItem(row, 4, cellAskPrice)
+            self.setItem(row, 5, cellAskVolume)
+            self.setItem(row, 7, cellPos)
+            
+            self.bidPriceDict[symbol] = cellBidPrice
+            self.bidVolumeDict[symbol] = cellBidVolume
+            self.askPriceDict[symbol] = cellAskPrice
+            self.askVolumeDict[symbol] = cellAskVolume
+            self.posDict[symbol] = cellPos
+            
+            row += 1
+            
+        row += 1
+            
+        # 初始化期权单元格
+        for chain in portfolio.chainDict.values():
+            
+            # call
+            callRow = row
+            
+            for option in chain.callDict.values():    
+                cellSymbol = OmCell(option.symbol, COLOR_SYMBOL, COLOR_BLACK, option)
+                cellBidPrice = OmCell(str(option.bidPrice1), COLOR_BID, COLOR_BLACK, option)
+                cellBidVolume = OmCell(str(option.bidVolume1), COLOR_BID, COLOR_BLACK, option)
+                cellBidImpv = OmCell('%.1f' %(option.bidImpv*100), COLOR_BID, COLOR_BLACK, option)
+                cellAskPrice = OmCell(str(option.askPrice1), COLOR_ASK, COLOR_BLACK, option)
+                cellAskVolume = OmCell(str(option.askVolume1), COLOR_ASK, COLOR_BLACK, option)
+                cellAskImpv = OmCell('%.1f' %(option.askImpv*100), COLOR_ASK, COLOR_BLACK, option)
+                cellPos = OmCell(str(option.netPos), COLOR_POS, COLOR_BLACK, option)
+                cellStrike = OmCell(str(option.k), COLOR_STRIKE)
+                
+                self.setItem(callRow, 0, cellSymbol)
+                self.setItem(callRow, 1, cellBidPrice)
+                self.setItem(callRow, 2, cellBidVolume)
+                self.setItem(callRow, 3, cellBidImpv)
+                self.setItem(callRow, 4, cellAskPrice)
+                self.setItem(callRow, 5, cellAskVolume)
+                self.setItem(callRow, 6, cellAskImpv)
+                self.setItem(callRow, 7, cellPos)
+                self.setItem(callRow, 8, cellStrike)
+                
+                self.bidPriceDict[option.symbol] = cellBidPrice
+                self.bidVolumeDict[option.symbol] = cellBidVolume
+                self.bidImpvDict[option.symbol] = cellBidImpv
+                self.askPriceDict[option.symbol] = cellAskPrice
+                self.askVolumeDict[option.symbol] = cellAskVolume            
+                self.askImpvDict[option.symbol] = cellAskImpv
+                self.posDict[option.symbol] = cellPos
+                
+                callRow += 1
+            
+            # put
+            putRow = row
+            
+            for option in chain.putDict.values():
+                cellSymbol = OmCell(option.symbol, COLOR_SYMBOL, COLOR_BLACK, option)
+                cellBidPrice = OmCell(str(option.bidPrice1), COLOR_BID, COLOR_BLACK, option)
+                cellBidVolume = OmCell(str(option.bidVolume1), COLOR_BID, COLOR_BLACK, option)
+                cellBidImpv = OmCell('%.1f' %(option.bidImpv*100), COLOR_BID, COLOR_BLACK, option)
+                cellAskPrice = OmCell(str(option.askPrice1), COLOR_ASK, COLOR_BLACK, option)
+                cellAskVolume = OmCell(str(option.askVolume1), COLOR_ASK, COLOR_BLACK, option)
+                cellAskImpv = OmCell('%.1f' %(option.askImpv*100), COLOR_ASK, COLOR_BLACK, option)
+                cellPos = OmCell(str(option.netPos), COLOR_POS, COLOR_BLACK, option)
+                
+                self.setItem(putRow, 9, cellPos)
+                self.setItem(putRow, 10, cellBidPrice)
+                self.setItem(putRow, 11, cellBidVolume)
+                self.setItem(putRow, 12, cellBidImpv)
+                self.setItem(putRow, 13, cellAskPrice)
+                self.setItem(putRow, 14, cellAskVolume)
+                self.setItem(putRow, 15, cellAskImpv)
+                self.setItem(putRow, 16, cellSymbol)
+                
+                self.bidPriceDict[option.symbol] = cellBidPrice
+                self.bidVolumeDict[option.symbol] = cellBidVolume
+                self.bidImpvDict[option.symbol] = cellBidImpv
+                self.askPriceDict[option.symbol] = cellAskPrice
+                self.askVolumeDict[option.symbol] = cellAskVolume            
+                self.askImpvDict[option.symbol] = cellAskImpv
+                self.posDict[option.symbol] = cellPos  
+                
+                putRow += 1
+            
+            row = putRow + 1
+            
+    #----------------------------------------------------------------------
+    def registerEvent(self):
+        """注册事件监听"""
+        self.signalTick.connect(self.processTickEvent)
+        self.signalTrade.connect(self.processTradeEvent)
+        
+        portfolio = self.omEngine.portfolio
+        
+        for underlying in portfolio.underlyingDict.values():
+            self.eventEngine.register(EVENT_TICK + underlying.vtSymbol, self.signalTick.emit)
+            self.eventEngine.register(EVENT_TRADE + underlying.vtSymbol, self.signalTick.emit)
+        
+        for chain in portfolio.chainDict.values():
+            for option in chain.optionDict.values():
+                self.eventEngine.register(EVENT_TICK + option.vtSymbol, self.signalTick.emit)
+                self.eventEngine.register(EVENT_TRADE + option.vtSymbol, self.signalTrade.emit)
+    
+    #----------------------------------------------------------------------
+    def processTickEvent(self, event):
+        """行情更新"""
+        tick = event.dict_['data']
+        symbol = tick.symbol
+        
+        if symbol in self.bidImpvDict:
+            option = self.instrumentDict[symbol]
+            self.bidImpvDict[symbol].setText('%.1f' %(option.bidImpv*100))
+            self.askImpvDict[symbol].setText('%.1f' %(option.askImpv*100))
+        
+        self.bidPriceDict[symbol].setText(str(tick.bidPrice1))
+        self.bidVolumeDict[symbol].setText(str(tick.bidVolume1))
+        self.askPriceDict[symbol].setText(str(tick.askPrice1))
+        self.askVolumeDict[symbol].setText(str(tick.askVolume1))
+    
+    #----------------------------------------------------------------------
+    def processTradeEvent(self, event):
+        """成交更新"""
+        trade = event.dict_['data']
+        
+        symbol = trade.symbol
+        instrument = self.instrumentDict[symbol]
+        self.posDict[symbol].setText(str(instrument.netPos))
+
+
+########################################################################
+class TradingWidget(QtWidgets.QWidget):
+    """交易组件"""
+
+    #----------------------------------------------------------------------
+    def __init__(self, omEngine, parent=None):
+        """Constructor"""
+        super(TradingWidget, self).__init__(parent)
+        
+        self.omEngine = omEngine
+        self.mainEngine = omEngine.mainEngine
+        self.portfolio = omEngine.portfolio
+        
+        self.initUi()
+        
+    #----------------------------------------------------------------------
+    def initUi(self):
+        """初始化界面"""
+        self.setFixedWidth(200)
+        
+        labelTradingWidget = QtWidgets.QLabel(u'期权交易')
+        labelSymbol = QtWidgets.QLabel(u'代码')
+        labelDirection = QtWidgets.QLabel(u'方向')
+        labelPrice = QtWidgets.QLabel(u'价格')
+        labelVolume = QtWidgets.QLabel(u'数量')
+        
+        self.lineSymbol = QtWidgets.QLineEdit()
+        self.comboDirection = QtWidgets.QComboBox()
+        self.comboDirection.addItems([DIRECTION_LONG, DIRECTION_SHORT])
+        self.linePrice = QtWidgets.QLineEdit()
+        self.lineVolume = QtWidgets.QLineEdit()
+        self.buttonSendOrder = QtWidgets.QPushButton(u'发单')
+        self.buttonSendOrder.clicked.connect(self.sendOrder)
+        
+        grid = QtWidgets.QGridLayout()
+        grid.addWidget(labelTradingWidget, 0, 0, 1, 2)
+        grid.addWidget(labelSymbol, 1, 0)
+        grid.addWidget(labelDirection, 2, 0)
+        grid.addWidget(labelPrice, 3, 0)
+        grid.addWidget(labelVolume, 4, 0)
+        grid.addWidget(self.lineSymbol, 1, 1)
+        grid.addWidget(self.comboDirection, 2, 1)
+        grid.addWidget(self.linePrice, 3, 1)
+        grid.addWidget(self.lineVolume, 4, 1)
+        grid.addWidget(self.buttonSendOrder, 5, 0, 1, 2)
+        self.setLayout(grid)
+
+    #----------------------------------------------------------------------
+    def sendOrder(self):
+        """发送委托"""
+        try:
+            symbol = str(self.lineSymbol.text())
+            direction = str(self.comboDirection.currentText())
+            price = float(self.linePrice.text())
+            volume = int(self.lineVolume.text())
+        except:
+            return
+        
+        instrument = self.portfolio.instrumentDict.get(symbol, None)
+        if not instrument:
+            return
+        
+        # 做多
+        if direction == DIRECTION_LONG:
+            # 如果空头仓位大于等于买入量，则只需平
+            if instrument.shortPos >= volume:
+                self.fastTrade(symbol, DIRECTION_LONG, OFFSET_CLOSE, price, volume)
+            # 否则先平后开
+            else:
+                openVolume = volume - instrument.shortPos
+                if instrument.shortPos:
+                    self.fastTrade(symbol, DIRECTION_LONG, OFFSET_CLOSE, price, instrument.shortPos)
+                self.fastTrade(symbol, DIRECTION_LONG, OFFSET_OPEN, price, openVolume)
+        # 做空
+        else:
+            if instrument.longPos >= volume:
+                self.fastTrade(symbol, DIRECTION_SHORT, OFFSET_CLOSE, price, volume)
+            else:
+                openVolume = volume - instrument.longPos
+                if instrument.longPos:
+                    self.fastTrade(symbol, DIRECTION_SHORT, OFFSET_CLOSE, price, instrument.longPos)
+                self.fastTrade(symbol ,DIRECTION_SHORT, OFFSET_OPEN, price, openVolume)
+    
+    #----------------------------------------------------------------------
+    def fastTrade(self, symbol, direction, offset, price, volume):
+        """封装下单函数"""
+        contract = self.mainEngine.getContract(symbol)
+        if not contract:
+            return
+        
+        req = VtOrderReq()
+        req.symbol = symbol
+        req.exchange = contract.exchange
+        req.direction = direction
+        req.offset = offset
+        req.price = price
+        req.volume = volume
+        req.priceType = PRICETYPE_LIMITPRICE
+        self.mainEngine.sendOrder(req, contract.gatewayName)
+    
+    #----------------------------------------------------------------------
+    def updateWidget(self, item):
+        """双击监控组件单元格后自动更新组件"""
+        instrument = item.data
+        if not instrument:
+            return
+        
+        self.lineSymbol.setText(instrument.symbol)
+        
+        # short
+        if item.background is COLOR_BID:
+            self.comboDirection.setCurrentIndex(1)
+            self.linePrice.setText(str(instrument.bidPrice1))
+            self.lineVolume.setText(str(instrument.bidVolume1))
+        # long
+        elif item.background is COLOR_ASK:
+            self.comboDirection.setCurrentIndex(0)
+            self.linePrice.setText(str(instrument.askPrice1))
+            self.lineVolume.setText(str(instrument.askVolume1))
+
+
+########################################################################
+class ManualTrader(QtWidgets.QWidget):
+    """手动交易组件"""
+
+    #----------------------------------------------------------------------
+    def __init__(self, omEngine, parent=None):
+        """Constructor"""
+        super(ManualTrader, self).__init__(parent)
+        
+        self.omEngine = omEngine
+        self.mainEngine = omEngine.mainEngine
+        self.eventEngine = omEngine.eventEngine
+        
+        self.initUi()
+        
+    #----------------------------------------------------------------------
+    def initUi(self):
+        """初始化界面"""
+        self.setWindowTitle(u'手动交易')
+        
+        posMonitor = PositionMonitor(self.mainEngine, self.eventEngine)
+        for i in range(posMonitor.columnCount()):
+            posMonitor.horizontalHeader().setResizeMode(QtWidgets.QHeaderView.Stretch)
+        posMonitor.setSorting(False)
+        
+        orderMonitor = WorkingOrderMonitor(self.mainEngine, self.eventEngine)
+        for i in range(orderMonitor.columnCount()):
+            orderMonitor.horizontalHeader().setResizeMode(QtWidgets.QHeaderView.Stretch)
+        orderMonitor.setSorting(False)
+            
+        tradingWidget = TradingWidget(self.omEngine)
+        
+        chainMonitor = ChainMonitor(self.omEngine, self.eventEngine)
+        chainMonitor.itemDoubleClicked.connect(tradingWidget.updateWidget)
+        
+        vbox1 = QtWidgets.QVBoxLayout()
+        vbox1.addWidget(orderMonitor)
+        vbox1.addWidget(posMonitor)
+        
+        vbox2 = QtWidgets.QVBoxLayout()
+        vbox2.addWidget(tradingWidget)
+        vbox2.addStretch()
+        
+        hbox = QtWidgets.QHBoxLayout()
+        hbox.addLayout(vbox1)
+        hbox.addLayout(vbox2)
+        
+        vbox3 = QtWidgets.QVBoxLayout()
+        vbox3.addWidget(chainMonitor)
+        vbox3.addLayout(hbox)
+        
+        self.setLayout(vbox3)
+    
+    

vnpy/trader/app/optionMaster/uiOmWidget.py

@@ -9,6 +9,7 @@ from vnpy.event import Event
 from vnpy.trader.uiQt import QtWidgets, QtCore
 
 from .omBase import EVENT_OM_LOG
+from .uiOmManualTrader import ManualTrader
 
 
 ########################################################################
@@ -51,12 +52,16 @@ class OmManager(QtWidgets.QWidget):
         self.buttonInit = QtWidgets.QPushButton(u'初始化')
         self.buttonInit.clicked.connect(self.initOmEngine)
         
+        self.buttonManualTrader = QtWidgets.QPushButton(u'手动交易')
+        self.buttonManualTrader.clicked.connect(self.openManualTrader)
+        
         self.logMonitor = QtWidgets.QTextEdit()
         self.logMonitor.setReadOnly(True)
         
         hbox = QtWidgets.QHBoxLayout()
         hbox.addWidget(self.comboSettingFile)
         hbox.addWidget(self.buttonInit)
+        hbox.addWidget(self.buttonManualTrader)
         hbox.addStretch()
         
         hbox2 = QtWidgets.QHBoxLayout()
@@ -99,7 +104,7 @@ class OmManager(QtWidgets.QWidget):
     
     #----------------------------------------------------------------------
     def openManualTrader(self):
-        """打开手动交易"""
+        """打开手动交易组件"""
         try:
             self.widgetDict['manualTrader'].showMaximized()
         except KeyError:
@@ -120,4 +125,3 @@ class OmManager(QtWidgets.QWidget):
         self.signal.connect(self.processLogEvent)
         
         self.eventEngine.register(EVENT_OM_LOG, self.signal.emit)
-