118 lines
3.5 KiB
Python
118 lines
3.5 KiB
Python
# encoding: UTF-8
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from vtConstant import *
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from ctaBase import *
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import talib as ta
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from datetime import datetime
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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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"""
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def __init__(self, strategy):
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self.strategy = strategy
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self.pos = 0 # 持仓状态 0:空仓 >=1 多仓 <=-1 空仓
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self.maxPos = 1 # 最大持仓量
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self.step = 1 # 增仓数量
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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.pos)
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def openPos(self, direction, vol, price = EMPTY_FLOAT):
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"""开、加仓"""
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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 self.pos + vol > self.maxPos:
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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))
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return False
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self.writeCtaLog(u'仓位:{0}->{1}'.format(self.pos, self.pos+vol))
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self.pos = self.pos + vol
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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 self.pos - vol < 0 - self.maxPos:
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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))
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return False
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self.writeCtaLog(u'仓位:{0}->{1}'.format(self.pos, self.pos-vol))
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self.pos = self.pos - vol
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self.strategy.pos = self.pos
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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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if direction == DIRECTION_LONG: # 平空仓 Cover
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if self.pos + vol > 0:
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self.writeCtaLog(u'异常，超出仓位，当前仓位：{0},平仓:{1}'.format(self.pos,vol))
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self.strategy.pos = self.pos
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return False
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self.writeCtaLog(u'仓位:{0}->{1}'.format(self.pos, self.pos+vol))
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self.pos = self.pos + vol
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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.pos - vol < 0 :
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self.writeCtaLog(u'异常，超出仓位，当前仓位：{0},加仓:{1}'.format(self.pos, vol))
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self.strategy.pos = self.pos
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return False
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self.writeCtaLog(u'仓位:{0}->{1}'.format(self.pos, self.pos-vol))
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self.pos = self.pos - vol
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self.strategy.pos = self.pos
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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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# ----------------------------------------------------------------------
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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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