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 on_future_account(self, asset, position_details):
pos_objects = []
for uid, details in groupby(position_details, key=lambda e: get_position_uid(e.instrument_id, e.exchange_id, e.direction)):
detail_objects = []
instrument_info = None
for detail in sorted(details, key=lambda detail: (detail.open_date, detail.trade_time)):
args = object_as_dict(detail)
if instrument_info is None:
instrument_info = self.ctx.db.get_instrument_info(detail.instrument_id)
args.update({"contract_multiplier": instrument_info["contract_multiplier"],
"long_margin_ratio": instrument_info["long_margin_ratio"],
"short_margin_ratio": instrument_info["short_margin_ratio"]})
detail_objects.append(FuturePositionDetail(**args))
pos_args = {"details": detail_objects, "trading_day": self.ctx.trading_day}
pos_args.update(instrument_info)
pos = FuturePosition(**pos_args)
pos_objects.append(pos)
account_book = 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_book)
self.publish(json.dumps(ledger.message))
self.ctx.db.dump(ledger)