def __init__(self,
account=None,
platform=None,
strategy=None,
order_no=None,
symbol=None,
action=None,
price=0,
quantity=0,
remain=0,
status=ORDER_STATUS_NONE,
avg_price=0,
order_type=ORDER_TYPE_LIMIT,
trade_type=TRADE_TYPE_NONE,
ctime=None,
utime=None):
self.platform = platform
self.account = account
self.strategy = strategy
self.order_no = order_no
self.action = action
self.order_type = order_type
self.symbol = symbol
self.price = price
self.quantity = quantity
self.remain = remain if remain else quantity
self.status = status
self.avg_price = avg_price
self.trade_type = trade_type
self.ctime = ctime if ctime else tools.get_cur_timestamp_ms()
self.utime = utime if utime else tools.get_cur_timestamp_ms()
def _update_asset(self, data):
""" Asset update.
Args:
data: asset data.
Returns:
None.
"""
assets = {}
for item in data["data"]:
symbol = item["symbol"].upper()
total = float(item["margin_balance"])
free = float(item["margin_available"])
locked = float(item["margin_frozen"])
premium_frozen = float(item.get("premium_frozen", 0))
premium_in = float(item.get("premium_in", 0))
premium_out = float(item.get("premium_out", 0))
delta = float(item.get("delta", 0))
gamma = float(item.get("gamma", 0))
theta = float(item.get("theta", 0))
vega = float(item.get("vega", 0))
option_value = float(item["option_value"])
if total > 0:
assets[symbol] = {
"total": "%.8f" % total,
"free": "%.8f" % free,
"locked": "%.8f" % locked,
"premium_frozen": "%.8f" % premium_frozen,
"premium_in": "%.8f" % premium_in,
"premium_out": "%.8f" % premium_out,
"delta": "%.8f" % delta,
"gamma": "%.8f" % gamma,
"theta": "%.8f" % theta,
"vega": "%.8f" % vega,
"option_value": "%.8f" % option_value
}
if assets == self._assets:
update = False
else:
update = True
if hasattr(self._assets, "assets") is False:
info = {
"platform": self._platform,
"account": self._account,
"assets": assets,
"timestamp": tools.get_cur_timestamp_ms(),
"update": update
}
asset = Asset(**info)
self._assets = asset
SingleTask.run(self._asset_update_callback,
copy.copy(self._assets))
else:
for symbol in assets:
self._assets.assets.update({symbol: assets[symbol]})
self._assets.timestamp = tools.get_cur_timestamp_ms()
SingleTask.run(self._asset_update_callback,
copy.copy(self._assets))
def _update_asset(self, data):
""" Asset update.
Args:
data: asset data.
Returns:
None.
"""
assets = {}
for item in data["data"]:
symbol = item["symbol"].upper()
total = float(item["margin_balance"])
free = float(item["margin_available"])
locked = float(item["margin_frozen"])
if total > 0:
assets[symbol] = {
"total": "%.8f" % total,
"free": "%.8f" % free,
"locked": "%.8f" % locked
}
if assets == self._assets:
update = False
else:
update = True
info = {
"platform": self._platform,
"account": self._account,
"assets": assets,
"timestamp": tools.get_cur_timestamp_ms(),
"update": update
}
asset = Asset(**info)
self._assets = asset
def __init__(self, platform=None, account=None, strategy=None, symbol=None, leverage=None,\
short_quantity=None, short_avg_price=None, short_pnl_ratio=None, short_pnl_unreal=None,\
short_pnl=None, long_quantity=None, long_avg_price=None, long_pnl_ratio=None, long_pnl_unreal=None,\
long_pnl=None, long_pos_margin=None, short_pos_margin=None, liquid_price=None, maint_margin_ratio=None, utime=None ):
""" 初始化持仓对象
@param platform 交易平台
@param account 账户
@param strategy 策略名称
@param symbol 合约名称
"""
self.platform = platform
self.account = account
self.strategy = strategy
self.symbol = symbol
self.leverage = leverage # 杠杆倍数
self.short_quantity = short_quantity # 空仓数量
self.short_avg_price = short_avg_price # 空仓持仓平均价格
self.short_pnl_ratio = short_pnl_ratio # 空仓收益率
self.short_pnl_unreal = short_pnl_unreal # 空仓未实现盈亏
self.short_pnl = short_pnl # 空仓已实现盈亏
self.long_quantity = long_quantity # 多仓数量
self.long_avg_price = long_avg_price # 多仓持仓平均价格
self.long_pnl_ratio = long_pnl_ratio # 多仓收益率
self.long_pnl_unreal = long_pnl_unreal # 多仓未实现盈亏
self.long_pnl = long_pnl # 多仓已实现盈亏
self.long_pos_margin = long_pos_margin # 多仓持仓保证金
self.short_pos_margin = short_pos_margin # 空仓持仓保证金
self.liquid_price = liquid_price # 预估爆仓价格
self.maint_margin_ratio = maint_margin_ratio # 保证金率
self.utime = utime if utime else tools.get_cur_timestamp_ms()
def _update_asset(self, data):
""" Asset update.
Args:
data: asset data.
Returns:
None.
"""
assets = {}
for item in data["data"]:
symbol = item["margin_account"].upper()
total = float(item["margin_balance"])
#free = float(item["margin_available"])
locked = float(item["margin_frozen"]) + float(
item["margin_position"])
free = total - locked
if total > 0:
assets[symbol] = {
"total": "%.8f" % total,
"free": "%.8f" % free,
"locked": "%.8f" % locked
}
if assets == self._assets:
update = False
else:
update = True
if hasattr(self._assets, "assets") is False:
info = {
"platform": self._platform,
"account": self._account,
"assets": assets,
"timestamp": tools.get_cur_timestamp_ms(),
"update": update
}
asset = Asset(**info)
self._assets = asset
SingleTask.run(self._asset_update_callback,
copy.copy(self._assets))
else:
for symbol in assets:
self._assets.assets.update({symbol: assets[symbol]})
self._assets.timestamp = tools.get_cur_timestamp_ms()
SingleTask.run(self._asset_update_callback,
copy.copy(self._assets))
def update(self,
short_quantity=0,
short_avg_price=0,
long_quantity=0,
long_avg_price=0,
liquid_price=0,
utime=None):
self.short_quantity = short_quantity
self.short_avg_price = short_avg_price
self.long_quantity = long_quantity
self.long_avg_price = long_avg_price
self.liquid_price = liquid_price
self.utime = utime if utime else tools.get_cur_timestamp_ms()
