def on_position(self, d):
""""""
pos = PositionData(
symbol=d["instrument_id"],
exchange=Exchange.OKEX,
direction=Direction.LONG,
volume=d["long_qty"],
frozen=float(d["long_qty"]) - float(d["long_avail_qty"]),
price=d["long_avg_cost"],
pnl=d["realised_pnl"],
gateway_name=self.gateway_name,
)
self.gateway.on_position(pos)
pos = PositionData(
symbol=d["instrument_id"],
exchange=Exchange.OKEX,
direction=Direction.SHORT,
volume=d["short_qty"],
frozen=float(d["short_qty"]) - float(d["short_avail_qty"]),
price=d["short_avg_cost"],
pnl=d["realised_pnl"],
gateway_name=self.gateway_name,
)
self.gateway.on_position(pos)
def on_query_position(self, data, request):
""""""
if not data["holding"]:
return
for pos_data in data["holding"][0]:
if float(pos_data["long_qty"]) > 0:
pos = PositionData(
symbol=pos_data["instrument_id"].upper(),
exchange=Exchange.OKEX,
direction=Direction.LONG,
volume=pos_data["long_qty"],
frozen=float(pos_data["long_qty"]) -
float(pos_data["long_avail_qty"]),
price=pos_data["long_avg_cost"],
pnl=pos_data["realised_pnl"],
gateway_name=self.gateway_name,
)
self.gateway.on_position(pos)
if float(pos_data["short_qty"]) > 0:
pos = PositionData(
symbol=pos_data["instrument_id"],
exchange=Exchange.OKEX,
direction=Direction.SHORT,
volume=pos_data["short_qty"],
frozen=float(pos_data["short_qty"]) -
float(pos_data["short_avail_qty"]),
price=pos_data["short_avg_cost"],
pnl=pos_data["realised_pnl"],
gateway_name=self.gateway_name,
)
self.gateway.on_position(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"]
# 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.gateway.on_position(position)
self.positions.clear()
def on_position(self, d):
""""""
position = PositionData(
symbol=d["symbol"],
exchange=Exchange.BITMEX,
direction=Direction.NET,
volume=d["currentQty"],
gateway_name=self.gateway_name,
)
self.gateway.on_position(position)
def on_query_position(self, data, request):
""""""
if self.check_error(data, "查询持仓"):
return
# Clear all buf data
for position in self.positions.values():
position.volume = 0
position.frozen = 0
position.price = 0
position.pnl = 0
for d in data["data"]:
key = f"{d['contract_code']}_{d['direction']}"
position = self.positions.get(key, None)
if not position:
position = PositionData(
symbol=d["contract_code"],
exchange=Exchange.HUOBI,
direction=DIRECTION_HBDM2VT[d["direction"]],
gateway_name=self.gateway_name)
self.positions[key] = position
position.volume = d["volume"]
position.frozen = d["frozen"]
position.price = d["cost_hold"]
position.pnl = d["profit"]
for position in self.positions.values():
self.gateway.on_position(position)
def OnQueryPosition(self, xtp_position: XTPQueryStkPositionRsp,
error_info: XTPRspInfoStruct, request_id: int,
is_last: bool, session_id: int) -> Any:
""""""
position = PositionData(symbol=xtp_position.ticker,
exchange=MARKET_XTP2VT[xtp_position.market],
direction=Direction.NET,
volume=xtp_position.total_qty,
frozen=xtp_position.locked_position,
price=xtp_position.avg_price,
pnl=xtp_position.unrealized_pnl,
yd_volume=xtp_position.yesterday_position,
gateway_name=self.gateway_name)
self.gateway.on_position(position)
def onRspQryInvestorPosition(self, data: dict, error: dict, reqid: int, last: bool):
""""""
if not data:
return
# Get buffered position object
key = f"{data['InstrumentID'], data['Direction']}"
position = self.positions.get(key, None)
if not position:
position = PositionData(
symbol=data["InstrumentID"],
exchange=symbol_exchange_map[data["InstrumentID"]],
direction=DIRECTION_FEMAS2VT[data["Direction"]],
gateway_name=self.gateway_name,
)
self.positions[key] = position
position.yd_volume = data["YdPosition"]
# Calculate previous position cost
cost = position.price * position.volume
# Update new position volume
position.volume += data["Position"]
# Calculate average position price
if position.volume:
cost += data["PositionCost"]
position.price = cost / position.volume
# Get frozen volume
position.frozen += data["FrozenPosition"]
if last:
for position in self.positions.values():
self.gateway.on_position(position)
self.positions.clear()
def updatePortfolio( # pylint: disable=invalid-name
self,
contract: Contract,
position: float,
marketPrice: float,
marketValue: float,
averageCost: float,
unrealizedPNL: float,
realizedPNL: float,
accountName: str,
):
"""
Callback of position update.
"""
super(IbApi, self).updatePortfolio(
contract,
position,
marketPrice,
marketValue,
averageCost,
unrealizedPNL,
realizedPNL,
accountName,
)
ib_size = contract.multiplier
if not ib_size:
ib_size = 1
price = averageCost / ib_size
pos = PositionData(
symbol=contract.conId,
exchange=EXCHANGE_IB2VT.get(contract.exchange, contract.exchange),
direction=Direction.NET,
volume=position,
price=price,
pnl=unrealizedPNL,
gateway_name=self.gateway_name,
)
self.gateway.on_position(pos)
def query_position(self):
""""""
code, data = self.trade_ctx.position_list_query(trd_env=self.env,
acc_id=0)
if code:
self.write_log(f"查询持仓失败：{data}")
return
for ix, row in data.iterrows():
symbol, exchange = convert_symbol_futu2vt(row["code"])
pos = PositionData(
symbol=symbol,
exchange=exchange,
direction=Direction.LONG,
volume=row["qty"],
frozen=(float(row["qty"]) - float(row["can_sell_qty"])),
price=float(row["pl_val"]),
pnl=float(row["cost_price"]),
gateway_name=self.gateway_name,
)
self.on_position(pos)