def _update_positions(current_positions, deal_positions, trans):
""" 更新持仓
current_positions: 当前持仓
deal_positions: 开平仓对
"""
class PositionsDetail(object):
""" 当前相同合约持仓集合(可能不同时间段下单)。
:ivar cost: 持仓成本。
:ivar total: 持仓总数。
:ivar positions: 持仓集合。
:vartype positions: list
"""
def __init__(self):
self.total = 0
self.positions = []
self.cost = 0
assert trans.quantity > 0
poskey = PositionKey(trans.contract, trans.direction)
p = current_positions.setdefault(poskey, PositionsDetail())
if trans.side == TradeSide.KAI:
# 开仓
p.positions.append(trans)
p.total += trans.quantity
elif trans.side == TradeSide.PING:
# 平仓
assert (len(p.positions) > 0 and '所平合约没有持仓')
left_vol = trans.quantity
last_index = 0
p.total -= trans.quantity
for position in reversed(p.positions):
if position.quantity < left_vol:
# 还需从之前的仓位中平。
left_vol -= position.quantity
last_index -= 1
deal_positions.append(
OneDeal(position, trans, position.quantity))
elif position.quantity == left_vol:
left_vol -= position.quantity
last_index -= 1
deal_positions.append(
OneDeal(position, trans, position.quantity))
break
else:
position.quantity -= left_vol
left_vol = 0
deal_positions.append(OneDeal(position, trans, left_vol))
break
if last_index != 0:
p.positions = p.positions[0:last_index]
assert (left_vol == 0) # 会被catch捕获 AssertError
def _update_positions(self, current_positions, deal_positions, trans):
""" 根据交易明细计算开平仓对。 """
class PositionsDetail(object):
""" 当前相同合约持仓集合(可能不同时间段下单)。
:ivar cost: 持仓成本。
:ivar total: 持仓总数。
:ivar positions: 持仓集合。
:vartype positions: list
"""
def __init__(self):
self.total = 0
self.positions = []
self.cost = 0
assert trans.quantity > 0
poskey = PositionKey(trans.contract, trans.direction)
p = current_positions.setdefault(poskey, PositionsDetail())
if trans.side == TradeSide.KAI:
# 开仓
p.positions.append(trans)
p.total += trans.quantity
elif trans.side == TradeSide.PING:
# 平仓
assert(len(p.positions) > 0 and '所平合约没有持仓')
left_vol = trans.quantity
last_index = 0
search_index = 0
p.total -= trans.quantity
if trans.contract.is_stock:
for position in reversed(p.positions):
# 开仓日期小于平仓时间
if position.datetime.date() < trans.datetime.date():
break
search_index -= 1
if search_index != 0:
positions = p.positions[:search_index]
left_positions = p.positions[search_index:]
else:
positions = p.positions
for position in reversed(positions):
if position.quantity < left_vol:
# 还需从之前的仓位中平。
left_vol -= position.quantity
last_index -= 1
deal_positions.append(
OneDeal(position, trans, position.quantity))
elif position.quantity == left_vol:
left_vol -= position.quantity
last_index -= 1
deal_positions.append(
OneDeal(position, trans, position.quantity))
break
else:
position.quantity -= left_vol
left_vol = 0
deal_positions.append(OneDeal(position, trans, left_vol))
break
if last_index != 0 and search_index != 0:
p.positions = positions[0:last_index] + left_positions
elif last_index != 0:
p.positions = positions[0:last_index]
# last_index == 0, 表示没找到可平的的开仓对，最后一根强平
# 可以被catch捕获 AssertError
assert(left_vol == 0 or last_index == 0)