def _on_update_quotes(self, symbol, position, quote, underlying_quote):
# 调整持仓保证金和盈亏
position = self._positions.get(symbol)
underlying_last_price = underlying_quote[
"last_price"] if underlying_quote else float('nan')
future_margin = _get_future_margin(quote)
if position["volume_long"] > 0 or position["volume_short"] > 0:
if position["last_price"] != quote["last_price"] \
or (math.isnan(future_margin) or future_margin != position["future_margin"]) \
or (underlying_quote and (
math.isnan(underlying_last_price) or underlying_last_price != position["underlying_last_price"])):
self._adjust_position_account(
symbol,
quote,
underlying_quote,
pre_last_price=position["last_price"],
last_price=quote["last_price"],
pre_underlying_last_price=position[
"underlying_last_price"],
underlying_last_price=underlying_last_price)
position["future_margin"] = future_margin
position["last_price"] = quote["last_price"]
position["underlying_last_price"] = underlying_last_price
else:
# 修改辅助变量
position["future_margin"] = future_margin
position["last_price"] = quote["last_price"]
position["underlying_last_price"] = underlying_last_price
self._append_to_diffs(
['positions', symbol],
position) # 一定要返回 position，下游会用到 future_margin 字段判断修改保证金是否成功
self._append_to_diffs(['accounts', 'CNY'], self._account)
def get_margin(self, symbol: str):
"""
获取指定合约模拟交易的每手保证金。
Args:
symbol (str): 合约代码
Returns:
float: 返回合约模拟交易的每手保证金
Example::
from tqsdk import TqSim, TqApi, TqAuth
sim = TqSim()
api = TqApi(sim, auth=TqAuth("信易账户", "账户密码"))
quote = api.get_quote("SHFE.cu2112")
print(sim.get_margin("SHFE.cu2112"))
"""
return _get_future_margin(self._data.get("quotes", {}).get(symbol, {}))
def _adjust_position_account(self,
symbol,
quote,
underlying_quote=None,
pre_last_price=float('nan'),
last_price=float('nan'),
pre_underlying_last_price=float('nan'),
underlying_last_price=float('nan'),
buy_open=0,
buy_close=0,
sell_open=0,
sell_close=0):
"""
价格变化，使得 position 中的以下计算字段需要修改，这个函数计算出需要修改的差值部分，计算出差值部分修改 position、account
有两种情况下调用
1. 委托单 FINISHED，且全部成交，分为4种：buy_open, buy_close, sell_open, sell_close
2. 行情跳动
"""
position = self._positions[symbol]
float_profit_long = 0 # 多头浮动盈亏
float_profit_short = 0 # 空头浮动盈亏
position_profit_long = 0 # 多头持仓盈亏，期权持仓盈亏为0
position_profit_short = 0 # 空头持仓盈亏，期权持仓盈亏为0
margin_long = 0 # 多头占用保证金
margin_short = 0 # 空头占用保证金
market_value_long = 0 # 期权权利方市值(始终 >= 0)
market_value_short = 0 # 期权义务方市值(始终 <= 0)
assert [buy_open, buy_close, sell_open, sell_close
].count(0) >= 3 # 只有一个大于0, 或者都是0，表示价格变化导致的字段修改
if buy_open > 0:
# 买开，pre_last_price 应该是成交价格，last_price 应该是 position['last_price']
float_profit_long = (last_price - pre_last_price
) * buy_open * quote["volume_multiple"]
if quote["ins_class"].endswith("OPTION"):
market_value_long = last_price * buy_open * quote[
"volume_multiple"]
else:
margin_long = buy_open * _get_future_margin(quote)
position_profit_long = (last_price - pre_last_price
) * buy_open * quote["volume_multiple"]
elif sell_close > 0:
# 卖平，pre_last_price 应该是 position['last_price']，last_price 应该是 0
float_profit_long = -position["float_profit_long"] / position[
"volume_long"] * sell_close
if quote["ins_class"].endswith("OPTION"):
market_value_long = -pre_last_price * sell_close * quote[
"volume_multiple"]
else:
margin_long = -sell_close * _get_future_margin(quote)
position_profit_long = -position[
"position_profit_long"] / position[
"volume_long"] * sell_close
elif sell_open > 0:
# 卖开
float_profit_short = (pre_last_price - last_price
) * sell_open * quote["volume_multiple"]
if quote["ins_class"].endswith("OPTION"):
market_value_short = -last_price * sell_open * quote[
"volume_multiple"]
margin_short = sell_open * _get_option_margin(
quote, last_price, underlying_last_price)
else:
margin_short = sell_open * _get_future_margin(quote)
position_profit_short = (
pre_last_price -
last_price) * sell_open * quote["volume_multiple"]
elif buy_close > 0:
# 买平
float_profit_short = -position["float_profit_short"] / position[
"volume_short"] * buy_close
if quote["ins_class"].endswith("OPTION"):
market_value_short = pre_last_price * buy_close * quote[
"volume_multiple"]
margin_short = -buy_close * _get_option_margin(
quote, pre_last_price, pre_underlying_last_price)
else:
margin_short = -buy_close * _get_future_margin(quote)
position_profit_short = -position[
"position_profit_short"] / position[
"volume_short"] * buy_close
else:
float_profit_long = (
last_price - pre_last_price
) * position["volume_long"] * quote["volume_multiple"] # 多头浮动盈亏
float_profit_short = (
pre_last_price - last_price
) * position["volume_short"] * quote["volume_multiple"] # 空头浮动盈亏
if quote["ins_class"].endswith("OPTION"):
margin_short = _get_option_margin(
quote, last_price, underlying_last_price
) * position["volume_short"] - position["margin_short"]
market_value_long = (
last_price - pre_last_price
) * position["volume_long"] * quote["volume_multiple"]
market_value_short = (
pre_last_price - last_price
) * position["volume_short"] * quote["volume_multiple"]
else:
# 期权持仓盈亏为 0
position_profit_long = float_profit_long # 多头持仓盈亏
position_profit_short = float_profit_short # 空头持仓盈亏
margin_long = _get_future_margin(
quote) * position["volume_long"] - position["margin_long"]
margin_short = _get_future_margin(quote) * position[
"volume_short"] - position["margin_short"]
if any([buy_open, buy_close, sell_open, sell_close]):
# 修改 position volume 相关的计算字段
# 在上面 sell_close buy_close 两种情况，计算浮动盈亏时，用到了修改前的手数，所以需改手数字段的代码放在这个位置
self._adjust_position_volume(position)
self._adjust_position(quote, position, float_profit_long,
float_profit_short, position_profit_long,
position_profit_short, margin_long, margin_short,
market_value_long, market_value_short)
self._adjust_account_by_position(
float_profit=float_profit_long + float_profit_short,
position_profit=position_profit_long + position_profit_short,
margin=margin_long + margin_short,
market_value=market_value_long + market_value_short)
def _generate_position(self, symbol, quote, underlying_quote) -> dict:
return {
"exchange_id":
symbol.split(".", maxsplit=1)[0],
"instrument_id":
symbol.split(".", maxsplit=1)[1],
"pos_long_his":
0,
"pos_long_today":
0,
"pos_short_his":
0,
"pos_short_today":
0,
"volume_long_today":
0,
"volume_long_his":
0,
"volume_long":
0,
"volume_long_frozen_today":
0,
"volume_long_frozen_his":
0,
"volume_long_frozen":
0,
"volume_short_today":
0,
"volume_short_his":
0,
"volume_short":
0,
"volume_short_frozen_today":
0,
"volume_short_frozen_his":
0,
"volume_short_frozen":
0,
"open_price_long":
float("nan"),
"open_price_short":
float("nan"),
"open_cost_long":
0.0,
"open_cost_short":
0.0,
"position_price_long":
float("nan"),
"position_price_short":
float("nan"),
"position_cost_long":
0.0,
"position_cost_short":
0.0,
"float_profit_long":
0.0,
"float_profit_short":
0.0,
"float_profit":
0.0,
"position_profit_long":
0.0,
"position_profit_short":
0.0,
"position_profit":
0.0,
"margin_long":
0.0,
"margin_short":
0.0,
"margin":
0.0,
"last_price":
quote["last_price"],
"underlying_last_price":
underlying_quote["last_price"]
if underlying_quote else float("nan"),
"market_value_long":
0.0, # 权利方市值(始终 >= 0)
"market_value_short":
0.0, # 义务方市值(始终 <= 0)
"market_value":
0.0,
"future_margin":
_get_future_margin(quote),
}
def _check_insert_order(self,
order,
symbol,
position,
quote,
underlying_quote=None):
# 无法计入 orderbook, 各种账户都需要判断的
if ("commission" not in quote or "margin"
not in quote) and not quote["ins_class"].endswith("OPTION"):
order["last_msg"] = "不支持的合约类型，TqSim 目前不支持组合，股票，etf期权模拟交易"
order["status"] = "FINISHED"
if order["status"] == "ALIVE" and not self._is_in_trading_time(quote):
order["last_msg"] = "下单失败, 不在可交易时间段内"
order["status"] = "FINISHED"
if order["status"] == "ALIVE" and order["offset"].startswith('CLOSE'):
if order["exchange_id"] in ["SHFE", "INE"]:
if order["offset"] == "CLOSETODAY":
if order["direction"] == "BUY" and position[
"volume_short_today"] - position[
"volume_long_frozen_today"] < order[
"volume_orign"]:
order["last_msg"] = "平今仓手数不足"
elif order["direction"] == "SELL" and position[
"volume_long_today"] - position[
"volume_long_frozen_today"] < order[
"volume_orign"]:
order["last_msg"] = "平今仓手数不足"
if order["offset"] == "CLOSE":
if order["direction"] == "BUY" and position[
"volume_short_his"] - position[
"volume_short_frozen_his"] < order[
"volume_orign"]:
order["last_msg"] = "平昨仓手数不足"
elif order["direction"] == "SELL" and position[
"volume_long_his"] - position[
"volume_long_frozen_his"] < order[
"volume_orign"]:
order["last_msg"] = "平昨仓手数不足"
else:
if order["direction"] == "BUY" and position[
"volume_short"] - position[
"volume_short_frozen"] < order["volume_orign"]:
order["last_msg"] = "平仓手数不足"
elif order["direction"] == "SELL" and position[
"volume_long"] - position[
"volume_long_frozen"] < order["volume_orign"]:
order["last_msg"] = "平仓手数不足"
if order["last_msg"].endswith("手数不足"):
order["status"] = "FINISHED"
if order["status"] == "ALIVE" and order["offset"] == "OPEN":
# 计算冻结保证金，冻结权利金
if quote["ins_class"].endswith("OPTION"):
if order["direction"] == "SELL": # 期权的SELL义务仓，开仓需要冻结保证金
order["frozen_margin"] = order[
"volume_orign"] * _get_option_margin(
quote, quote["last_price"],
underlying_quote["last_price"])
else: # 期权的BUY权利仓（市价单使用 last_price 计算需要冻结的权利金）
price = quote["last_price"] if order[
"price_type"] == "ANY" else order["limit_price"]
order["frozen_premium"] = order["volume_orign"] * quote[
"volume_multiple"] * price
else:
order["frozen_margin"] = order[
"volume_orign"] * _get_future_margin(quote)
if order["frozen_margin"] + order[
"frozen_premium"] > self._account["available"]:
order["frozen_margin"] = 0.0
order["frozen_premium"] = 0.0
order["last_msg"] = '开仓资金不足'
order["status"] = "FINISHED"
if order["status"] == "FINISHED":
self._append_to_diffs(['orders', order["order_id"]], order)