237 lines
9.5 KiB
Python
237 lines
9.5 KiB
Python
# encoding: UTF-8
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from __future__ import division
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import re
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from math import floor
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from datetime import datetime
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from vnpy.trader.vtConstant import (EMPTY_INT, EMPTY_FLOAT,
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EMPTY_STRING, EMPTY_UNICODE)
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EVENT_SPREADTRADING_TICK = 'eSpreadTradingTick.'
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EVENT_SPREADTRADING_POS = 'eSpreadTradingPos.'
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EVENT_SPREADTRADING_LOG = 'eSpreadTradingLog'
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EVENT_SPREADTRADING_ALGO = 'eSpreadTradingAlgo.'
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EVENT_SPREADTRADING_ALGOLOG = 'eSpreadTradingAlgoLog'
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########################################################################
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class StLeg(object):
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""""""
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#----------------------------------------------------------------------
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def __init__(self):
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"""Constructor"""
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self.vtSymbol = EMPTY_STRING # 代码
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self.ratio = EMPTY_INT # 实际交易时的比例
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self.multiplier = EMPTY_FLOAT # 计算价差时的乘数
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self.payup = EMPTY_INT # 对冲时的超价tick
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self.bidPrice = EMPTY_FLOAT
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self.askPrice = EMPTY_FLOAT
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self.bidVolume = EMPTY_INT
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self.askVolume = EMPTY_INT
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self.longPos = EMPTY_INT
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self.shortPos = EMPTY_INT
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self.netPos = EMPTY_INT
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self.opcode = EMPTY_STRING
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self.legname = EMPTY_STRING
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########################################################################
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class StSpread(object):
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""""""
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#----------------------------------------------------------------------
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def __init__(self):
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"""Constructor"""
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self.name = EMPTY_UNICODE # 名称
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self.symbol = EMPTY_STRING # 代码（基于组成腿计算）
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self.formula = EMPTY_STRING
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self.code =None
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self.activeLeg = None # 主动腿
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self.passiveLegs = [] # 被动腿（支持多条）
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self.allLegs = [] # 所有腿
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self.bidPrice = EMPTY_FLOAT
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self.askPrice = EMPTY_FLOAT
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self.bidVolume = EMPTY_INT
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self.askVolume = EMPTY_INT
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self.time = EMPTY_STRING
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self.longPos = EMPTY_INT
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self.shortPos = EMPTY_INT
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self.netPos = EMPTY_INT
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#----------------------------------------------------------------------
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def initSpread(self):
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"""初始化价差"""
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# 价差最少要有一条主动腿
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if not self.activeLeg:
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return
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# 生成所有腿列表
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self.allLegs.append(self.activeLeg)
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self.allLegs.extend(self.passiveLegs)
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# 生成价差代码
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legSymbolList = []
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self.symbol = self.formula
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for leg in self.allLegs:
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self.symbol = re.sub(leg.legname, leg.vtSymbol , self.symbol)
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#self.symbol = ''.join(legSymbolList)
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#----------------------------------------------------------------------
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def calculatePrice(self):
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"""计算价格"""
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# 清空价格和委托量数据
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self.bidPrice = EMPTY_FLOAT
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self.askPrice = EMPTY_FLOAT
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self.askVolume = EMPTY_INT
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self.bidVolume = EMPTY_INT
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if not self.code :
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raise ValueError("Formula Error Can't Calculate Price")
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legbidglobal = {}
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legaskglobal = {}
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# 遍历价差腿列表
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for n, leg in enumerate(self.allLegs):
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# 计算价格
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if leg.askPrice == leg.bidPrice and leg.bidPrice == EMPTY_FLOAT:
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# 清空价格和委托量数据
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self.bidPrice = EMPTY_FLOAT
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self.askPrice = EMPTY_FLOAT
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self.askVolume = EMPTY_INT
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self.bidVolume = EMPTY_INT
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else:
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if leg.ratio > 0:
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legbidglobal[leg.legname] = leg.bidPrice
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legaskglobal[leg.legname] = leg.askPrice
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else :
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legbidglobal[leg.legname] = leg.askPrice
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legaskglobal[leg.legname] = leg.bidPrice
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#tick数据有误，暂时不计算
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#if leg.opcode == "add":
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#if leg.ratio > 0:
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#self.bidPrice += leg.bidPrice * leg.multiplier
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#self.askPrice += leg.askPrice * leg.multiplier
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#else:
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#self.bidPrice += leg.askPrice * leg.multiplier
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#self.askPrice += leg.bidPrice * leg.multiplier
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#elif leg.opcode == "div":
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#if n == 0 :
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#if leg.ratio > 0:
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#self.bidPrice = 1 / (leg.bidPrice * leg.multiplier)
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#self.askPrice = 1 / (leg.askPrice * leg.multiplier)
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#else:
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#self.bidPrice = 1 / (leg.askPrice * leg.multiplier)
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#self.askPrice = 1 / (leg.bidPrice * leg.multiplier)
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#else:
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#if leg.ratio > 0:
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#self.bidPrice = self.bidPrice / (leg.bidPrice * leg.multiplier)
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#self.askPrice = self.askPrice / (leg.askPrice * leg.multiplier)
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#else:
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#self.bidPrice = self.bidPrice / (leg.askPrice * leg.multiplier)
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#self.askPrice = self.askPrice / (leg.bidPrice * leg.multiplier)
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#elif leg.opcode == "mul":
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#if n == 0 :
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#if leg.ratio > 0:
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#self.bidPrice = (leg.bidPrice * leg.multiplier)
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#self.askPrice = (leg.askPrice * leg.multiplier)
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#else:
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#self.bidPrice = (leg.bidPrice * leg.multiplier)
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#self.askPrice = (leg.askPrice * leg.multiplier)
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#else:
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#if leg.ratio > 0:
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#self.bidPrice = self.bidPrice * (leg.bidPrice * leg.multiplier)
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#self.askPrice = self.askPrice * (leg.askPrice * leg.multiplier)
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#else:
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#self.bidPrice = self.bidPrice * (leg.askPrice * leg.multiplier)
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#self.askPrice = self.askPrice * (leg.bidPrice * leg.multiplier)
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# 计算报单量
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if leg.ratio > 0:
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legAdjustedBidVolume = floor(leg.bidVolume / leg.ratio)
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legAdjustedAskVolume = floor(leg.askVolume / leg.ratio)
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else:
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legAdjustedBidVolume = floor(leg.askVolume / abs(leg.ratio))
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legAdjustedAskVolume = floor(leg.bidVolume / abs(leg.ratio))
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if n == 0:
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self.bidVolume = legAdjustedBidVolume # 对于第一条腿，直接初始化
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self.askVolume = legAdjustedAskVolume
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else:
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self.bidVolume = min(self.bidVolume, legAdjustedBidVolume) # 对于后续的腿，价差可交易报单量取较小值
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self.askVolume = min(self.askVolume, legAdjustedAskVolume)
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bidok = True
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askok = True
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for k in self.code.co_names :
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bidok = bidok and k in legbidglobal
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askok = askok and k in legaskglobal
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if bidok and askok :
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self.bidPrice = eval(self.code,legbidglobal)
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self.askPrice = eval(self.code,legaskglobal)
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# 更新时间
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self.time = datetime.now().strftime('%H:%M:%S.%f')[:-3]
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#----------------------------------------------------------------------
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def calculatePos(self):
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"""计算持仓"""
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# 清空持仓数据
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self.longPos = EMPTY_INT
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self.shortPos = EMPTY_INT
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self.netPos = EMPTY_INT
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# 遍历价差腿列表
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for n, leg in enumerate(self.allLegs):
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if leg.ratio > 0:
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legAdjustedLongPos = floor(leg.longPos / leg.ratio)
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legAdjustedShortPos = floor(leg.shortPos / leg.ratio)
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else:
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legAdjustedLongPos = floor(leg.shortPos / abs(leg.ratio))
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legAdjustedShortPos = floor(leg.longPos / abs(leg.ratio))
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if n == 0:
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self.longPos = legAdjustedLongPos
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self.shortPos = legAdjustedShortPos
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else:
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self.longPos = min(self.longPos, legAdjustedLongPos)
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self.shortPos = min(self.shortPos, legAdjustedShortPos)
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# 计算净仓位
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self.longPos = int(self.longPos)
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self.shortPos = int(self.shortPos)
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self.netPos = self.longPos - self.shortPos
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#----------------------------------------------------------------------
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def addActiveLeg(self, leg):
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"""添加主动腿"""
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self.activeLeg = leg
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#----------------------------------------------------------------------
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def addPassiveLeg(self, leg):
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"""添加被动腿"""
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self.passiveLegs.append(leg)
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