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)
symbol = data["InstrumentID"]
if "&" in symbol:
exchange = Exchange.SSE
else:
exchange = symbol_exchange_map[data["InstrumentID"]]
if not position:
position = PositionData(
symbol=symbol,
exchange=exchange,
direction=DIRECTION_SOPT2VT[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 onRspQryInvestorPosition(self, data: dict, error: dict, reqid: int, last: bool) -> None:
"""持仓查询回报"""
if not data:
return
# 必须已经收到了合约信息后才能处理
symbol: str = data["InstrumentID"]
contract: ContractData = symbol_contract_map.get(symbol, None)
if contract:
# 获取之前缓存的持仓数据缓存
key: str = f"{data['InstrumentID'], data['PosiDirection']}"
position: PositionData = self.positions.get(key, None)
if not position:
position = PositionData(
symbol=data["InstrumentID"],
exchange=contract.exchange,
direction=DIRECTION_CTP2VT[data["PosiDirection"]],
gateway_name=self.gateway_name
)
self.positions[key] = position
# 对于上期所昨仓需要特殊处理
if position.exchange in [Exchange.SHFE, Exchange.INE]:
if data["YdPosition"] and not data["TodayPosition"]:
position.yd_volume = data["Position"]
# 对于其他交易所昨仓的计算
else:
position.yd_volume = data["Position"] - data["TodayPosition"]
# 获取合约的乘数信息
size: int = contract.size
# 计算之前已有仓位的持仓总成本
cost: float = position.price * position.volume * size
# 累加更新持仓数量和盈亏
position.volume += data["Position"]
position.pnl += data["PositionProfit"]
# 计算更新后的持仓总成本和均价
if position.volume and size:
cost += data["PositionCost"]
position.price = cost / (position.volume * size)
# 更新仓位冻结数量
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
# For SHFE and INE position data update
if position.exchange in [Exchange.SHFE, Exchange.INE]:
if data["YdPositionVolume"] and not data["TodayPositionVolume"]:
position.yd_volume = data["PositionVolume"]
# For other exchange position data update
else:
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['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['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()
