def update_position(self, current_position, order_amount, current_price,
order_type, timestamp):
"""
:param timestamp:
:type timestamp:
:param current_position:
:type current_position: Position
:param order_amount:
:type order_amount:
:param current_price:
:type current_price:
:param order_type:
:type order_type:
"""
if order_type == ORDER_TYPE_LONG:
need_money = (order_amount * current_price) * (1 + self.slippage +
self.buy_cost)
if self.account.cash < need_money:
if self.rich_mode:
self.input_money()
else:
raise NotEnoughMoneyError()
self.account.cash -= need_money
# 计算平均价
long_amount = current_position.long_amount + order_amount
if long_amount == 0:
current_position.average_long_price = 0
current_position.average_long_price = (
current_position.average_long_price *
current_position.long_amount +
current_price * order_amount) / long_amount
current_position.long_amount = long_amount
if current_position.trading_t == 0:
current_position.available_long += order_amount
elif order_type == ORDER_TYPE_SHORT:
need_money = (order_amount * current_price) * (1 + self.slippage +
self.buy_cost)
if self.account.cash < need_money:
if self.rich_mode:
self.input_money()
else:
raise NotEnoughMoneyError()
self.account.cash -= need_money
short_amount = current_position.short_amount + order_amount
current_position.average_short_price = (
current_position.average_short_price *
current_position.short_amount +
current_price * order_amount) / short_amount
current_position.short_amount = short_amount
if current_position.trading_t == 0:
current_position.available_short += order_amount
elif order_type == ORDER_TYPE_CLOSE_LONG:
self.account.cash += (order_amount * current_price *
(1 - self.slippage - self.sell_cost))
# FIXME:如果没卖完，重新计算计算平均价
current_position.available_long -= order_amount
current_position.long_amount -= order_amount
elif order_type == ORDER_TYPE_CLOSE_SHORT:
self.account.cash += 2 * (order_amount *
current_position.average_short_price)
self.account.cash -= order_amount * current_price * (
1 + self.slippage + self.sell_cost)
current_position.available_short -= order_amount
current_position.short_amount -= order_amount
# save the order info to db
order_id = '{}_{}_{}_{}'.format(
self.trader_name, order_type, current_position.entity_id,
to_time_str(timestamp, TIME_FORMAT_ISO8601))
order = Order(id=order_id,
timestamp=to_pd_timestamp(timestamp),
trader_name=self.trader_name,
entity_id=current_position.entity_id,
order_price=current_price,
order_amount=order_amount,
order_type=order_type,
level=self.level.value,
status='success')
self.session.add(order)
self.session.commit()
def update_position(self, current_position, order_amount, current_price,
order_type, timestamp):
"""
:param timestamp:
:type timestamp:
:param current_position:
:type current_position: Position
:param order_amount:
:type order_amount:
:param current_price:
:type current_price:
:param order_type:
:type order_type:
"""
if order_type == ORDER_TYPE_LONG:
need_money = (order_amount * current_price) * (1 + self.slippage +
self.buy_cost)
if self.latest_account['cash'] < need_money:
raise NotEnoughMoneyError()
self.latest_account['cash'] -= need_money
# 计算平均价
long_amount = current_position['long_amount'] + order_amount
current_position['average_long_price'] = (
current_position['average_long_price'] *
current_position['long_amount'] +
current_price * order_amount) / long_amount
current_position['long_amount'] = long_amount
if current_position['trading_t'] == 0:
current_position['available_long'] += order_amount
elif order_type == ORDER_TYPE_SHORT:
need_money = (order_amount * current_price) * (1 + self.slippage +
self.buy_cost)
if self.latest_account['cash'] < need_money:
raise NotEnoughMoneyError()
self.latest_account['cash'] -= need_money
short_amount = current_position['short_amount'] + order_amount
current_position['average_short_price'] = (
current_position['average_short_price'] *
current_position['short_amount'] +
current_price * order_amount) / short_amount
current_position['short_amount'] = short_amount
if current_position['trading_t'] == 0:
current_position['available_short'] += order_amount
elif order_type == ORDER_TYPE_CLOSE_LONG:
self.latest_account['cash'] += (
order_amount * current_price *
(1 - self.slippage - self.sell_cost))
current_position['available_long'] -= order_amount
current_position['long_amount'] -= order_amount
elif order_type == ORDER_TYPE_CLOSE_SHORT:
self.latest_account['cash'] += 2 * (
order_amount * current_position['average_short_price'])
self.latest_account['cash'] -= order_amount * current_price * (
1 + self.slippage + self.sell_cost)
current_position['available_short'] -= order_amount
current_position['short_amount'] -= order_amount
# save the order info to db
order_id = '{}_{}_{}_{}'.format(
self.trader_name, order_type, current_position['entity_id'],
to_time_str(timestamp, TIME_FORMAT_ISO8601))
order = Order(id=order_id,
timestamp=to_pd_timestamp(timestamp),
trader_name=self.trader_name,
entity_id=current_position['entity_id'],
order_price=current_price,
order_amount=order_amount,
order_type=order_type,
level=self.level.value,
status='success')
self.session.add(order)
self.session.commit()