def onRspQryInvestorPosition(self, data: dict, error: dict, reqid: int,
last: bool):
""""""
if not data:
return
# Check if contract data received
if data["InstrumentID"] in symbol_exchange_map:
# 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_SGIT2VT[data["PosiDirection"]],
gateway_name=self.gateway_name)
self.positions[key] = position
# For SHFE and INE position data update
if position.exchange in [Exchange.SHFE, Exchange.INE]:
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"] * data["Position"] * size
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 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
# Get contract size, return if size value not collected
size = symbol_size_map.get(position.symbol, None)
if not size:
return
# 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"]
# 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:
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 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"]
# Calculate previous position cost
cost = position.price * position.volume
# Update new position volume
position.volume += data["Position"]
position.pnl += data["PositionProfit"]
# Calculate average position price
if position.volume:
cost += data["PositionCost"]
position.price = cost / position.volume
# 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 onRspQryPosition(self, data: dict, error: dict, reqid: int,
last: bool) -> None:
""""""
if not data and last:
for position in self.positions.values():
self.gateway.on_position(position)
self.positions.clear()
return
# Check if contract data received
if data["InstrumentID"] in symbol_name_map:
# 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=EXCHANGE_UFT2VT[data["ExchangeID"]],
direction=DIRECTION_UFT2VT[data["Direction"]],
gateway_name=self.gateway_name)
self.positions[key] = position
position.yd_volume = data["PositionVolume"] - data[
"TodayPositionVolume"]
# 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["PositionVolume"]
position.pnl += data["PositionProfit"]
# Calculate average position price
if position.volume and size:
cost += data["PositionCost"]
position.price = cost / (position.volume * size)
position.frozen += data["CloseFrozenVolume"]
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 on_position(self, d):
""""""
symbol = d["symbol"]
position = self.positions.get(symbol, None)
if not position:
position = PositionData(
symbol=d["symbol"],
exchange=Exchange.BITMEX,
direction=Direction.NET,
gateway_name=self.gateway_name,
)
self.positions[symbol] = position
volume = d.get("currentQty", None)
if volume is not None:
position.volume = volume
price = d.get("avgEntryPrice", None)
if price is not None:
position.price = price
self.gateway.on_position(copy(position))
def on_position_info(self, packet: dict) -> None:
""""""
positions = {}
data = packet.get("data", [])
for d in data:
position = PositionData(
symbol=d["symbol"].replace('.', '-'),
exchange=Exchange.OTC,
direction=Direction.NET,
gateway_name=self.gateway_name
)
if d["type"] == POSITION_TYPE_BUY:
position.volume = d["volume"]
else:
position.volume = -d["volume"]
position.price = d["price"]
position.pnl = d["current_profit"]
positions[position.symbol] = position
for symbol in self.position_symbols:
if symbol not in positions:
position = PositionData(
symbol=symbol,
exchange=Exchange.OTC,
direction=Direction.NET,
gateway_name=self.gateway_name
)
positions[symbol] = position
for position in positions.values():
self.position_symbols.add(position.symbol)
self.on_position(position)
def update_order_info(self, packet: dict) -> None:
""""""
data = packet["data"]
# Check Request Event
if data["event_type"] == EVENT_REQUEST:
if not data["magic"]:
return
local_id = str(data["magic"])
sys_id = data["order_"]
self.sys_local_map[sys_id] = local_id
self.local_sys_map[local_id] = sys_id
if sys_id in self.temp_orders.keys():
order = self.orders[local_id]
order.status = self.temp_orders[sys_id]
self.on_order(order)
del self.temp_orders[sys_id]
# Check TradeTransaction Event
else:
order_status = STATUS_MT2VT.get(data["order_state"], None)
sys_id = data["order"]
local_id = self.sys_local_map.get(sys_id, None)
if local_id:
# cheque order status
order = self.orders[local_id]
order.status = order_status
self.on_order(order)
# cheque trade_status
if data["event_type"] == EVENT_HISTORY_ADD:
trade = TradeData(symbol=data["symbol"],
exchange=Exchange.OTC,
tradeid=data["deal"],
orderid=order.orderid,
price=data["price"],
volume=data["volume"],
gateway_name=self.gateway_name,
direction=order.direction,
datetime=datetime.now())
if order.volume == trade.volume:
order.traded = trade.volume
order.status = Status.ALLTRADED
else:
order.traded = trade.volume
order.status = Status.PARTTRADED
self.on_order(order)
self.on_trade(trade)
if trade.direction == Direction.LONG:
otype = TYPE_BUY_LIMIT
elif trade.direction == Direction.SHORT:
otype = TYPE_SELL_LIMIT
key = (trade.symbol, otype)
position = self.positions.get(key, None)
if not position:
position = PositionData(
symbol=trade.symbol,
exchange=Exchange.OTC,
direction=trade.direction,
gateway_name=self.gateway_name,
)
self.positions[key] = position
cost = position.price * position.volume
cost += data["volume"] * data["price"]
position.volume += data["volume"]
position.price = cost / position.volume
self.on_position(position)
self.positions[key] = position
else:
self.temp_orders[sys_id] = order_status
