senset/vnpy
1
0
Fork 0
Code Issues Pull Requests Packages Projects Releases Wiki Activity

[Mod] move leg multiplier to SpreadData

Browse Source
This commit is contained in:
vn.py 2019-09-16 17:22:47 +08:00
parent 80c9dfe378
commit f46f796475
3 changed files with 58 additions and 40 deletions
Show Stats Download Patch File Download Diff File Expand all files Collapse all files

67
vnpy/app/spread_trading/base.py
View File

@ -15,21 +15,10 @@ EVENT_SPREAD_STRATEGY = "eSpreadStrategy"
class LegData:
""""""
def __init__(
self,
vt_symbol: str,
price_multiplier: float,
trading_multiplier: float
):
def __init__(self, vt_symbol: str):
""""""
self.vt_symbol: str = vt_symbol
# For calculating spread price
self.price_multiplier: float = price_multiplier
# For calculating spread pos and sending orders
self.trading_multiplier: float = trading_multiplier
# Price and position data
self.bid_price: float = 0
self.ask_price: float = 0
@ -66,6 +55,8 @@ class SpreadData:
self,
name: str,
legs: List[LegData],
price_multipliers: Dict[str, int],
trading_multipliers: Dict[str, int],
active_symbol: str
):
""""""
@ -75,6 +66,12 @@ class SpreadData:
self.active_leg: LegData = None
self.passive_legs: List[LegData] = []
# For calculating spread price
self.price_multipliers: Dict[str: int] = price_multipliers
# For calculating spread pos and sending orders
self.trading_multipliers: Dict[str: int] = trading_multipliers
self.price_formula: str = ""
self.trading_formula: str = ""
@ -85,15 +82,17 @@ class SpreadData:
else:
self.passive_legs.append(leg)
if leg.price_multiplier > 0:
self.price_formula += f"+{leg.trading_multiplier}*{leg.vt_symbol}"
price_multiplier = self.price_multipliers[leg.vt_symbol]
if price_multiplier > 0:
self.price_formula += f"+{price_multiplier}*{leg.vt_symbol}"
else:
self.price_formula += f"{leg.trading_multiplier}*{leg.vt_symbol}"
self.price_formula += f"{price_multiplier}*{leg.vt_symbol}"
if leg.trading_multiplier > 0:
self.trading_formula += f"+{leg.trading_multiplier}*{leg.vt_symbol}"
trading_multiplier = self.trading_multipliers[leg.vt_symbol]
if trading_multiplier > 0:
self.trading_formula += f"+{trading_multiplier}*{leg.vt_symbol}"
else:
self.trading_formula += f"{leg.trading_multiplier}*{leg.vt_symbol}"
self.trading_formula += f"{trading_multiplier}*{leg.vt_symbol}"
# Spread data
self.bid_price: float = 0
@ -116,24 +115,27 @@ class SpreadData:
return
# Calculate price
if leg.price_multiplier > 0:
self.bid_price += leg.bid_price * leg.price_multiplier
self.ask_price += leg.ask_price * leg.price_multiplier
price_multiplier = self.price_multipliers[leg.vt_symbol]
if price_multiplier > 0:
self.bid_price += leg.bid_price * price_multiplier
self.ask_price += leg.ask_price * price_multiplier
else:
self.bid_price += leg.ask_price * leg.price_multiplier
self.ask_price += leg.bid_price * leg.price_multiplier
self.bid_price += leg.ask_price * price_multiplier
self.ask_price += leg.bid_price * price_multiplier
# Calculate volume
if leg.trading_multiplier > 0:
trading_multiplier = self.trading_multipliers[leg.vt_symbol]
if trading_multiplier > 0:
adjusted_bid_volume = floor(
leg.bid_volume / leg.trading_multiplier)
leg.bid_volume / trading_multiplier)
adjusted_ask_volume = floor(
leg.ask_volume / leg.trading_multiplier)
leg.ask_volume / trading_multiplier)
else:
adjusted_bid_volume = floor(
leg.ask_volume / abs(leg.trading_multiplier))
leg.ask_volume / abs(trading_multiplier))
adjusted_ask_volume = floor(
leg.bid_volume / abs(leg.trading_multiplier))
leg.bid_volume / abs(trading_multiplier))
# For the first leg, just initialize
if not n:
@ -152,7 +154,8 @@ class SpreadData:
self.net_pos = 0
for n, leg in enumerate(self.legs.values()):
adjusted_net_pos = leg.net_pos / leg.trading_multiplier
trading_multiplier = self.trading_multipliers[leg.vt_symbol]
adjusted_net_pos = leg.net_pos / trading_multiplier
if adjusted_net_pos > 0:
adjusted_net_pos = floor(adjusted_net_pos)
@ -177,13 +180,15 @@ class SpreadData:
def calculate_leg_volume(self, vt_symbol: str, spread_volume: float) -> float:
""""""
leg = self.legs[vt_symbol]
leg_volume = spread_volume * leg.trading_multiplier
trading_multiplier = self.trading_multipliers[leg.vt_symbol]
leg_volume = spread_volume * trading_multiplier
return leg_volume
def calculate_spread_volume(self, vt_symbol: str, leg_volume: float) -> float:
""""""
leg = self.legs[vt_symbol]
spread_volume = leg_volume / leg.trading_multiplier
trading_multiplier = self.trading_multipliers[leg.vt_symbol]
spread_volume = leg_volume / trading_multiplier
if spread_volume > 0:
spread_volume = floor(spread_volume)

27
vnpy/app/spread_trading/engine.py
View File

@ -107,10 +107,13 @@ class SpreadDataEngine:
for spread in self.spreads.values():
leg_settings = []
for leg in spread.legs.values():
price_multiplier = spread.price_multipliers[leg.vt_symbol]
trading_multiplier = spread.trading_multipliers[leg.vt_symbol]
leg_setting = {
"vt_symbol": leg.vt_symbol,
"price_multiplier": leg.price_multiplier,
"trading_multiplier": leg.trading_multiplier
"price_multiplier": price_multiplier,
"trading_multiplier": trading_multiplier
}
leg_settings.append(leg_setting)
@ -185,21 +188,28 @@ class SpreadDataEngine:
return
legs: List[LegData] = []
price_multipliers: Dict[str, int] = {}
trading_multipliers: Dict[str, int] = {}
for leg_setting in leg_settings:
vt_symbol = leg_setting["vt_symbol"]
leg = self.legs.get(vt_symbol, None)
if not leg:
leg = LegData(
vt_symbol,
leg_setting["price_multiplier"],
leg_setting["trading_multiplier"]
)
leg = LegData(vt_symbol)
self.legs[vt_symbol] = leg
legs.append(leg)
price_multipliers[vt_symbol] = leg_setting["price_multiplier"]
trading_multipliers[vt_symbol] = leg_setting["trading_multiplier"]
spread = SpreadData(name, legs, active_symbol)
spread = SpreadData(
name,
legs,
price_multipliers,
trading_multipliers,
active_symbol
)
self.spreads[name] = spread
for leg in spread.legs.values():
@ -221,6 +231,7 @@ class SpreadDataEngine:
for leg in spread.legs:
self.symbol_spread_map[leg.vt_symbol].remove(spread)
self.save_setting()
self.write_log("价差删除成功：{}".format(name))

4
vnpy/app/spread_trading/template.py
View File

@ -211,7 +211,9 @@ class SpreadAlgoTemplate:
for n, leg in enumerate(self.spread.legs.values()):
leg_traded = self.leg_traded[leg.vt_symbol]
adjusted_leg_traded = leg_traded / leg.trading_multiplier
trading_multiplier = self.spread.trading_multipliers[
leg.vt_symbol]
adjusted_leg_traded = leg_traded / trading_multiplier
if adjusted_leg_traded > 0:
adjusted_leg_traded = floor(adjusted_leg_traded)