量化交易之vn.py篇 - 同步持仓发单逻辑（非净头寸净头寸）

"""同步持仓 非净头寸发单（逻辑部分的代码）
"""for market_vt_symbol, bar in bars.items():# strategy positionstrategy_position = TQZSymbolOperator.tqz_get_strategy_position(market_vt_symbol=market_vt_symbol,strategy_data=self.strategy_position_dictionary)# real positionreal_position = self.tqz_get_real_position(market_vt_symbol=market_vt_symbol,direction=Direction.NET)if real_position is not strategy_position:self.real_pos[market_vt_symbol] = real_positionprint("vt_symbol:" + market_vt_symbol, end="  ")print("bar.datetime:" + str(bar.datetime), end="  ")if strategy_position == 0:if real_position > 0:lot = TQZPositionData.tqz_risk_control(lot=real_position)print("平多 " + str(lot) + " 手")# self.sell(vt_symbol=market_vt_symbol, price=bar.close_price, volume=lot)elif real_position < 0:lot = TQZPositionData.tqz_risk_control(lot=abs(real_position))print("平空 " + str(lot) + " 手")# self.cover(vt_symbol=market_vt_symbol, price=bar.close_price, volume=lot)elif real_position == 0:print("不做处理")passelif strategy_position > 0:if real_position > 0:if strategy_position > real_position:lot = TQZPositionData.tqz_risk_control(lot=(strategy_position - real_position))print("开多 " + str(lot) + " 手")# self.buy(vt_symbol=market_vt_symbol, price=bar.close_price, volume=lot)elif strategy_position < real_position:lot = TQZPositionData.tqz_risk_control(lot=(real_position - strategy_position))print("平多 " + str(lot) + " 手")# self.sell(vt_symbol=market_vt_symbol, price=bar.close_price, volume=lot)elif strategy_position == real_position:print("不做处理")passelif real_position < 0:lot_sell = TQZPositionData.tqz_risk_control(lot=abs(real_position))print("平空 " + str(lot_sell) + " 手 |", end=" ")# self.sell(vt_symbol=market_vt_symbol, price=bar.close_price, volume=lot_sell)lot_buy = TQZPositionData.tqz_risk_control(lot=strategy_position)print("开多 " + str(lot_buy) + " 手")# self.buy(vt_symbol=market_vt_symbol, price=bar.close_price, volume=lot_buy)elif real_position == 0:lot = TQZPositionData.tqz_risk_control(lot=strategy_position)print("开多 " + str(lot) + " 手")# self.buy(vt_symbol=market_vt_symbol, price=bar.close_price, volume=lot)elif strategy_position < 0:if real_position > 0:lot_buy = TQZPositionData.tqz_risk_control(lot=real_position)print("平多 " + str(lot_buy) + " 手 |", end=" ")# self.sell(vt_symbol=market_vt_symbol, price=bar.close_price, volume=lot_buy)lot_sell = TQZPositionData.tqz_risk_control(lot=abs(strategy_position))print("开空 " + str(lot_sell) + " 手")# self.short(vt_symbol=market_vt_symbol, price=bar.close_price, volume=lot_sell)elif real_position < 0:if abs(strategy_position) > abs(real_position):lot = TQZPositionData.tqz_risk_control(lot=abs(strategy_position) - abs(real_position))print("开空 " + str(lot) + " 手")# self.short(vt_symbol=market_vt_symbol, price=bar.close_price, volume=lot)elif abs(strategy_position) < abs(real_position):lot = TQZPositionData.tqz_risk_control(lot=abs(real_position) - abs(strategy_position))print("平空 " + str(lot) + " 手")# self.cover(vt_symbol=market_vt_symbol, price=bar.close_price, volume=lot)elif strategy_position == real_position:print("不做处理")passelif real_position == 0:lot = TQZPositionData.tqz_risk_control(lot=abs(strategy_position))print("开空 " + str(lot) + " 手")# self.short(vt_symbol=market_vt_symbol, price=bar.close_price, volume=lot)"""同步持仓 净头寸发单（逻辑部分的代码）
"""for market_vt_symbol, bar in bars.items():# strategy positionstrategy_position = TQZSymbolOperator.tqz_get_strategy_position(market_vt_symbol=market_vt_symbol,strategy_data=self.strategy_position_dictionary)# real positionreal_position_net = self.tqz_get_real_position(market_vt_symbol=market_vt_symbol,direction=Direction.NET)real_position_buy = self.tqz_get_real_position(market_vt_symbol=market_vt_symbol,direction=Direction.LONG)real_position_sell = self.tqz_get_real_position(market_vt_symbol=market_vt_symbol,direction=Direction.SHORT)if (real_position_net is not strategy_position) or (real_position_buy != 0 and real_position_sell != 0):self.real_pos[market_vt_symbol] = real_position_netself.write_log(str(market_vt_symbol) + "_strategy_position=" + str(strategy_position) + "|realposition=" + str(real_position_net))print("vt_symbol:" + market_vt_symbol, end="  ")if strategy_position == 0:  # 空仓状态if real_position_buy != 0:real_position_buy = TQZPositionData.tqz_risk_control(lot=abs(real_position_buy))print(f"平多 {str(real_position_buy)} 手")# self.sell(vt_symbol=market_vt_symbol, price=bar.close_price, volume=real_position_buy)passif real_position_sell != 0:real_position_sell = TQZPositionData.tqz_risk_control(lot=abs(real_position_sell))print(f"平空 {str(real_position_sell)} 手")# self.cover(vt_symbol=market_vt_symbol, price=bar.close_price, volume=real_position_sell)passelif strategy_position > 0:  # 多单if real_position_sell != 0:real_position_sell = TQZPositionData.tqz_risk_control(lot=abs(real_position_sell))print(f"平空 {str(real_position_sell)} 手")# self.cover(vt_symbol=market_vt_symbol, price=bar.close_price, volume=real_position_sell)passif abs(real_position_buy) > abs(strategy_position):real_position_buy = TQZPositionData.tqz_risk_control(lot=abs(real_position_buy) - abs(strategy_position))print(f"平多 {str(real_position_buy)} 手")# self.sell(vt_symbol=market_vt_symbol, price=bar.close_price, volume=real_position_buy)passelif abs(real_position_buy) < abs(strategy_position):real_position_buy = TQZPositionData.tqz_risk_control(lot=abs(strategy_position) - abs(real_position_buy))print(f"开多 {str(real_position_buy)} 手")# self.buy(vt_symbol=market_vt_symbol, price=bar.close_price, volume=real_position_buy)passelif abs(real_position_buy) == abs(strategy_position):print("正常 不处理")passelif strategy_position < 0:  # 空单if real_position_buy != 0:real_position_buy = TQZPositionData.tqz_risk_control(lot=abs(real_position_buy))print(f"平多 {str(real_position_buy)} 手")# self.sell(vt_symbol=market_vt_symbol, price=bar.close_price, volume=real_position_buy)passif abs(real_position_sell) > abs(strategy_position):real_position_sell = TQZPositionData.tqz_risk_control(lot=abs(real_position_sell) - abs(strategy_position))print(f"开空 {str(real_position_sell)} 手")# self.short(vt_symbol=market_vt_symbol, price=bar.close_price, volume=real_position_sell)passelif abs(real_position_sell) < abs(strategy_position):real_position_sell = TQZPositionData.tqz_risk_control(lot=abs(strategy_position) - abs(real_position_sell))print(f"开空 {str(real_position_sell)} 手")# self.short(vt_symbol=market_vt_symbol, price=bar.close_price, volume=real_position_sell)passelif abs(real_position_sell) == abs(strategy_position):print("正常 不处理")pass

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量化交易之vn.py篇 - 同步持仓发单逻辑（非净头寸净头寸）

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