def get_position_by_direction(self, direction):
if direction == Direction.LONG:
return PositionData(
symbol=self.symbol,
volume=self.long_pos,
exchange=EXCHANGE_MAPPING[self.exchange],
direction=direction,
pnl=self.long_pnl,
price=self.long_price,
frozen=self.long_pos_frozen,
open_price=self.long_open_price,
yd_volume=self.long_yd,
float_pnl=self.long_stare_pnl,
)
elif direction == Direction.SHORT:
return PositionData(
symbol=self.symbol,
volume=self.short_pos,
exchange=EXCHANGE_MAPPING[self.exchange],
direction=direction,
pnl=self.short_pnl,
price=self.short_price,
frozen=self.short_pos_frozen,
yd_volume=self.short_yd,
float_pnl=self.short_stare_pnl,
open_price=self.short_open_price,
)
return None
def get_all_position_objects(self):
""" 返回PositionData格式的持仓数据 """
pos = []
for x in self.values():
if len(x.local_symbol) == 0:
continue
if x.long_pos != 0:
p = PositionData(symbol=x.symbol,
exchange=x.exchange,
direction=Direction.LONG,
volume=x.long_pos,
frozen=x.long_pos_frozen,
price=x.long_price,
pnl=x.long_pnl,
yd_volume=x.long_yd)
pos.append(p)
if x.short_pos != 0:
p = PositionData(symbol=x.symbol,
exchange=x.exchange,
direction=Direction.SHORT,
volume=x.short_pos,
frozen=x.short_pos_frozen,
price=x.short_price,
pnl=x.short_pnl,
yd_volume=x.short_yd)
pos.append(p)
return pos
def onRspQryInvestorPosition(self, data: dict, error: dict, reqid: int,
last: bool):
""""""
if not data:
return
# Get buffered position object
key = f"{data['InstrumentID'], data['PosiDirection']}"
position = self.positions.get(key, None)
if not position:
position = PositionData(
symbol=data["InstrumentID"],
exchange=symbol_exchange_map[data["InstrumentID"]],
direction=DIRECTION_CTP2VT[data["PosiDirection"]],
gateway_name=self.gateway_name)
self.positions[key] = position
# For SHFE position data update
if position.exchange == Exchange.SHFE:
if data["YdPosition"] and not data["TodayPosition"]:
position.yd_volume = data["Position"]
# For other exchange position data update
else:
position.yd_volume = data["Position"] - data["TodayPosition"]
# Get contract size (spread contract has no size value)
size = symbol_size_map.get(position.symbol, 0)
# Calculate previous position cost
cost = position.price * position.volume * size
# Update new position volume
position.volume += data["Position"]
position.pnl += data["PositionProfit"]
if position.direction == Direction.LONG:
self.open_cost_dict[position.symbol]["long"] = data['OpenCost']
elif position.direction == Direction.SHORT:
self.open_cost_dict[position.symbol]["short"] = data['OpenCost']
# Calculate average position price
if position.volume and size:
cost += data["PositionCost"]
position.price = cost / (position.volume * size)
# Get frozen volume
if position.direction == Direction.LONG:
position.frozen += data["ShortFrozen"]
else:
position.frozen += data["LongFrozen"]
if last:
for position in self.positions.values():
self.on_event(type=EVENT_POSITION, data=position)
self.positions.clear()
def to_position(self):
""" 返回为持仓 """
try:
return PositionData(symbol=self.local_symbol.split(".")[0],
exchange=self.exchange,
volume=self.volume,
price=self.price)
except Exception:
raise ValueError(f"本地维护符号有问题,请检查,当前符号为{self.local_symbol}")