def load(self,
ctx,
ledger_category,
source_id="",
account_id="",
client_id=""):
with session_scope(self.session_factory) as session:
asset_obj = session.query(Asset).filter(
Asset.source_id == source_id, Asset.account_id == account_id,
Asset.client_id == client_id,
Asset.ledger_category == int(ledger_category)).first()
if not asset_obj:
return None
else:
args = object_as_dict(asset_obj)
pos_objs = session.query(Position).filter(
Position.source_id == source_id,
Position.account_id == account_id,
Position.client_id == client_id,
Position.ledger_category == int(ledger_category)).all()
detail_objs = session.query(PositionDetail).filter(
PositionDetail.source_id == source_id,
PositionDetail.account_id == account_id,
PositionDetail.client_id == client_id,
PositionDetail.ledger_category == int(
ledger_category)).all()
pos_dict = {
get_position_uid(pos.instrument_id, pos.exchange_id,
pos.direction): pos
for pos in pos_objs
}
positions = []
for uid, pos in pos_dict.items():
if pos.instrument_type == int(InstrumentType.Stock):
positions.append(StockPosition(**object_as_dict(pos)))
for uid, details in groupby(
detail_objs,
key=lambda e: get_position_uid(
e.instrument_id, e.exchange_id, e.direction)):
details = [
FuturePositionDetail(**object_as_dict(detail))
for detail in sorted(details,
key=lambda obj:
(obj.open_date, obj.trade_time))
]
summary = pos_dict[uid]
pos = FuturePosition(
instrument_id=summary.instrument_id,
exchange_id=summary.exchange_id,
margin_ratio=summary.margin_ratio,
contract_multiplier=summary.contract_multiplier,
realized_pnl=summary.realized_pnl,
details=details,
trading_day=details[0].trading_day)
positions.append(pos)
args.update({
"positions": positions,
"ledger_category": ledger_category
})
return AccountBook(ctx=ctx, **args)
def _get_position(self,
instrument_id,
exchange_id,
direction=Direction.Long):
uid = get_position_uid(instrument_id, exchange_id, direction)
if uid not in self._positions:
instrument_type = get_instrument_type(instrument_id, exchange_id)
if instrument_type == InstrumentType.Stock:
position = StockPosition(ledger=self,
instrument_id=instrument_id,
exchange_id=exchange_id,
trading_day=self.trading_day)
else:
instrument_info = self._ctx.get_inst_info(instrument_id)
margin_ratio = instrument_info[
"short_margin_ratio"] if direction == Direction.Short else instrument_info[
"long_margin_ratio"]
position = FuturePosition(
ledger=self,
instrument_id=instrument_id,
exchange_id=exchange_id,
trading_day=self.trading_day,
margin_ratio=margin_ratio,
contract_multiplier=instrument_info["contract_multiplier"])
self._positions[uid] = position
return self._positions[uid]
def on_stock_account(self, asset, positions):
self.ctx.logger.info("asset: {}".format(asset))
for pos in positions:
self.ctx.logger.info("pos: {}".format(pos))
pos_objects = [StockPosition(**object_as_dict(pos)) for pos in positions]
account = AccountBook(ctx=self.ctx,
trading_day=self.ctx.trading_day,
ledger_category=LedgerCategory.Account,
account_id=asset.account_id,
source_id=asset.source_id,
avail=asset.avail,
positions=pos_objects)
ledger = self._get_ledger(ledger_category=LedgerCategory.Account, source_id = asset.source_id, account_id=asset.account_id).merge(account)
self.publish(json.dumps(ledger.message))
self.ctx.db.dump(ledger)
def _get_position(self, instrument_id, exchange_id):
symbol_id = get_symbol_id(instrument_id, exchange_id)
if symbol_id not in self._positions:
instrument_type = get_instrument_type(instrument_id, exchange_id)
if instrument_type == InstrumentType.Stock:
position = StockPosition(ledger=self,
instrument_id=instrument_id,
exchange_id=exchange_id,
trading_day=self.trading_day)
else:
instrument_info = self._ctx.data_proxy.get_instrument_info(
instrument_id)
position = FuturePosition(
ledger=self,
instrument_id=instrument_id,
exchange_id=exchange_id,
trading_day=self.trading_day,
long_margin_ratio=instrument_info["short_margin_ratio"],
short_margin_ratio=instrument_info["short_margin_ratio"],
contract_multiplier=instrument_info["contract_multiplier"])
self._positions[symbol_id] = position
return self._positions[symbol_id]