153 lines
5.2 KiB
Python
153 lines
5.2 KiB
Python
# encoding: UTF-8
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from datetime import datetime
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import talib as ta
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from ctaBase import *
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from trader.vtConstant import *
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DEBUGCTALOG = True
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class CtaPosition:
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"""策略的仓位管理类
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v 0.1 简单的数值，代表多仓数量和空仓数量
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v 0.2 增加多仓和空仓的持仓，去除持仓均价
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"""
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def __init__(self, strategy):
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self.strategy = strategy
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self.longPos = 0 # 多仓持仓
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self.shortPos = 0 # 空仓持仓
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self.pos = 0 # 持仓状态 0:空仓/对空平等； >=1 净多仓 ；<=-1 净空仓
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self.maxPos = 1 # 最大持仓量（多仓+空仓总量）
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self.step = 1 # 增仓数量
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# disabled in v0.2
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#self.posList = []
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#self.avgPrice = EMPTY_FLOAT
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def avaliablePos2Add(self):
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"""剩余可加的仓位数量"""
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return self.maxPos - abs(self.longPos) - abs(self.shortPos)
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def openPos(self, direction, vol, price=EMPTY_FLOAT):
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"""开、加仓"""
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# vol: 正整数
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# disabled in v0.2
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#if self.pos == 0:
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# self.posList = []
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if direction == DIRECTION_LONG: # 加多仓
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if (max(self.pos, self.longPos) + vol) > self.maxPos:
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self.writeCtaError(u'异常，超出仓位。净:{0},多:{1},加多:{2},最大:{3}'
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.format(self.pos, self.longPos, vol, self.maxPos))
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# 只告警
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#return False
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# 更新
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self.writeCtaLog(u'多仓:{0}->{1}'.format(self.longPos, self.longPos + vol))
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self.writeCtaLog(u'净:{0}->{1}'.format(self.pos, self.pos + vol))
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self.longPos += vol
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self.pos += vol
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# 更新上层策略的pos。该方法不推荐使用
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self.strategy.pos = self.pos
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if direction == DIRECTION_SHORT: # 加空仓
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if (min(self.pos, self.shortPos) - vol) < (0 - self.maxPos):
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self.writeCtaError(u'异常，超出仓位。净:{0},空:{1},加空:{2},最大:{3}'
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.format(self.pos, self.shortPos, vol, self.maxPos))
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#return False
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self.writeCtaLog(u'空仓:{0}->{1}'.format(self.shortPos, self.shortPos - vol))
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self.writeCtaLog(u'净:{0}->{1}'.format(self.pos, self.pos-vol))
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self.shortPos -= vol
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self.pos -= vol
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# 更新上层策略的pos。该方法不推荐使用
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self.strategy.pos = self.pos
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# v0.2 disabled
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#if price > EMPTY_FLOAT:
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# self.posList.append(price)
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# 计算持仓均价
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#if len(self.posList) > 0:
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# self.avgPrice = sum(self.posList)/len(self.posList)
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# self.avgPrice = round(self.avgPrice, 3)
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return True
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def closePos(self, direction, vol):
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"""平、减仓"""
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# vol: 正整数
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if direction == DIRECTION_LONG: # 平空仓 Cover
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if self.shortPos + vol > 0:
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self.writeCtaError(u'异常，超出仓位。净:{0},空:{1},平仓:{2}'.format(self.pos, self.shortPos, vol))
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#self.strategy.pos = self.pos
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#return False
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self.writeCtaLog(u'空仓:{0}->{1}'.format(self.shortPos, self.shortPos + vol))
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self.writeCtaLog(u'净:{0}->{1}'.format(self.pos, self.pos + vol))
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self.shortPos += vol
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self.pos += vol
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# 更新上层策略的pos。该方法不推荐使用
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self.strategy.pos = self.pos
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if direction == DIRECTION_SHORT: # 平多仓
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if self.longPos - vol < 0:
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self.writeCtaError(u'异常，超出仓位。净:{0},多:{1},平仓:{2}'.format(self.pos, self.longPos, vol))
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#self.strategy.pos = self.pos
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#return False
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self.writeCtaLog(u'多仓:{0}->{1}'.format(self.longPos, self.longPos - vol))
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self.writeCtaLog(u'净:{0}->{1}'.format(self.pos, self.pos-vol))
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self.longPos -= vol
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self.pos -= vol
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self.strategy.pos = self.pos
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# disabled in v0.2
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#if abs(self.pos) > 0:
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# self.posList = self.posList[:-vol]
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#else:
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# self.posList = []
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# 计算持仓均价
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#if len(self.posList) > 0:
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# self.avgPrice = sum(self.posList)/len(self.posList)
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# self.avgPrice = round(self.avgPrice, 3)
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return True
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def clear(self):
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"""清除状态"""
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self.writeCtaLog(u'清除所有持仓状态')
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self.pos = 0
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self.longPos = 0
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self.shortPos = 0
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# 更新上层策略的pos
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self.strategy.pos = 0
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# ----------------------------------------------------------------------
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def writeCtaError(self, content):
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"""记录CTA日志错误"""
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self.strategy.writeCtaLog(content)
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# ----------------------------------------------------------------------
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def writeCtaLog(self, content):
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"""记录CTA日志"""
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self.strategy.writeCtaLog(content)
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def debugCtaLog(self, content):
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"""记录CTA日志"""
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if DEBUGCTALOG:
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self.strategy.writeCtaLog('[DEBUG]'+content)
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