量化交易之vnpy篇 - 几种同步发单模式（中金所股指锁仓模式、最小单边轧差操作模式、双边同步模式，净头寸模式）

""" 发单逻辑部分 """def tqz_synchronization_position_cffex_lock_mode(self, market_vt_symbol, now_price, offset_price, strategy_position_net, real_position_net):"""synchronization position with lock mode(cffex mode)"""vt_orderids = []buy_price = min(now_price + offset_price, self.vt_symbols_limit_prices[market_vt_symbol].limit_up)sell_price = max(now_price - offset_price, self.vt_symbols_limit_prices[market_vt_symbol].limit_down)if strategy_position_net >= 0 and real_position_net >= 0:if strategy_position_net > real_position_net:lot = TQZPositionData.tqz_risk_control(lot=strategy_position_net-real_position_net)print(f'开多 {str(lot)} 手', end="  ")vt_orderids = self.buy(vt_symbol=market_vt_symbol, price=buy_price, volume=lot, lock=True)print(f'vt_orderids: {vt_orderids}')elif strategy_position_net < real_position_net:lot = TQZPositionData.tqz_risk_control(lot=real_position_net - strategy_position_net)print(f'平多 {str(lot)} 手', end="  ")vt_orderids = self.sell(vt_symbol=market_vt_symbol, price=sell_price, volume=lot, lock=True)print(f'vt_orderids: {vt_orderids}')elif strategy_position_net is real_position_net:print(f'净仓相等, 不做处理')elif strategy_position_net >= 0 and real_position_net <= 0:lot = TQZPositionData.tqz_risk_control(lot=strategy_position_net-real_position_net)print(f'开多 {str(lot)} 手', end="  ")vt_orderids = self.buy(vt_symbol=market_vt_symbol, price=buy_price, volume=lot, lock=True)print(f'vt_orderids: {vt_orderids}')elif strategy_position_net <= 0 and real_position_net >= 0:lot = TQZPositionData.tqz_risk_control(lot=real_position_net - strategy_position_net)print(f'开空 {str(lot)} 手', end="  ")vt_orderids = self.short(vt_symbol=market_vt_symbol, price=sell_price, volume=lot, lock=True)print(f'vt_orderids: {vt_orderids}')elif strategy_position_net <= 0 and real_position_net <= 0:if abs(strategy_position_net) > abs(real_position_net):lot = TQZPositionData.tqz_risk_control(lot=abs(strategy_position_net)-abs(real_position_net))print(f'开空 {str(lot)} 手', end="  ")vt_orderids = self.short(vt_symbol=market_vt_symbol, price=sell_price, volume=lot, lock=True)print(f'vt_orderids: {vt_orderids}')elif abs(strategy_position_net) < abs(real_position_net):lot = TQZPositionData.tqz_risk_control(lot=abs(real_position_net) - abs(strategy_position_net))print(f'平空 {str(lot)} 手', end="  ")vt_orderids = self.cover(vt_symbol=market_vt_symbol, price=buy_price, volume=lot, lock=True)print(f'vt_orderids: {vt_orderids}')elif strategy_position_net is real_position_net:print(f'净仓相等, 不做处理')return vt_orderidsdef tqz_synchronization_position_min_netting_mode(self, market_vt_symbol, now_price, offset_price, strategy_position_buy, strategy_position_sell, real_position_buy, real_position_sell):"""synchronization position in min netting with double direction(buy direction & sell direction) mode."""net_buy_abs = abs(strategy_position_buy - real_position_buy)net_sell_abs = abs(strategy_position_sell - real_position_sell)buy_vt_orderids = []sell_vt_orderids = []buy_price = min(now_price + offset_price, self.vt_symbols_limit_prices[market_vt_symbol].limit_up)sell_price = max(now_price - offset_price, self.vt_symbols_limit_prices[market_vt_symbol].limit_down)interval = " | "print(market_vt_symbol, end="  ")if net_buy_abs >= net_sell_abs:if strategy_position_buy < real_position_buy:lot = TQZPositionData.tqz_risk_control(lot=real_position_buy - strategy_position_buy)print(f'平多 {str(lot)} 手', end="  ")buy_vt_orderids = self.sell(vt_symbol=market_vt_symbol, price=sell_price, volume=lot)print(f'sell_result: {buy_vt_orderids}', end=interval)if strategy_position_sell > real_position_sell:lot = TQZPositionData.tqz_risk_control(lot=strategy_position_sell - real_position_sell)print(f'开空 {str(lot)} 手', end="  ")sell_vt_orderids = self.short(vt_symbol=market_vt_symbol, price=sell_price, volume=lot)print(f'short_result: {sell_vt_orderids}')else:if strategy_position_buy > real_position_buy:lot = TQZPositionData.tqz_risk_control(lot=strategy_position_buy - real_position_buy)print(f'开多 {str(lot)} 手', end="  ")buy_vt_orderids = self.buy(vt_symbol=market_vt_symbol, price=buy_price, volume=lot)print(f'buy_result: {buy_vt_orderids}', end=interval)if strategy_position_sell < real_position_sell:lot = TQZPositionData.tqz_risk_control(lot=real_position_sell - strategy_position_sell)print(f'平空 {str(lot)} 手', end="  ")sell_vt_orderids = self.cover(vt_symbol=market_vt_symbol, price=buy_price, volume=lot)print(f'cover_result: {sell_vt_orderids}')return list(set(buy_vt_orderids + sell_vt_orderids))def tqz_synchronization_position_double_direction_mode(self, market_vt_symbol, now_price, offset_price, strategy_position_buy, strategy_position_sell, real_position_buy, real_position_sell):buy_vt_orderids = []sell_vt_orderids = []buy_price = min(now_price + offset_price, self.vt_symbols_limit_prices[market_vt_symbol].limit_up)sell_price = max(now_price - offset_price, self.vt_symbols_limit_prices[market_vt_symbol].limit_down)interval = " | "print(market_vt_symbol, end="  ")if strategy_position_buy > real_position_buy:lot = TQZPositionData.tqz_risk_control(lot=strategy_position_buy - real_position_buy)print(f'开多 {str(lot)} 手', end="  ")buy_vt_orderids = self.buy(vt_symbol=market_vt_symbol, price=buy_price, volume=lot)print(f'buy_result: {buy_vt_orderids}', end=interval)elif strategy_position_buy < real_position_buy:lot = TQZPositionData.tqz_risk_control(lot=real_position_buy - strategy_position_buy)print(f'平多 {str(lot)} 手', end="  ")buy_vt_orderids = self.sell(vt_symbol=market_vt_symbol, price=sell_price, volume=lot)print(f'sell_result: {buy_vt_orderids}', end=interval)elif strategy_position_buy is real_position_buy:print("多单匹配 不处理", end=interval)if strategy_position_sell > real_position_sell:lot = TQZPositionData.tqz_risk_control(lot=strategy_position_sell - real_position_sell)print(f'开空 {str(lot)} 手', end="  ")sell_vt_orderids = self.short(vt_symbol=market_vt_symbol, price=sell_price, volume=lot)print(f'short_result: {sell_vt_orderids}')elif strategy_position_sell < real_position_sell:lot = TQZPositionData.tqz_risk_control(lot=real_position_sell - strategy_position_sell)print(f'平空 {str(lot)} 手', end="  ")sell_vt_orderids = self.cover(vt_symbol=market_vt_symbol, price=buy_price, volume=lot)print(f'cover_result: {sell_vt_orderids}')elif strategy_position_sell is real_position_sell:print("空单匹配 不处理")return list(set(buy_vt_orderids + sell_vt_orderids))def tqz_synchronization_position_net_mode(self, market_vt_symbol, now_price, offset_price, strategy_position_buy, strategy_position_sell, real_position_buy, real_position_sell):buy_vt_orderids = []sell_vt_orderids = []if strategy_position_buy > strategy_position_sell:strategy_position_buy, strategy_position_sell = strategy_position_buy - strategy_position_sell, 0elif strategy_position_buy < strategy_position_sell:strategy_position_sell, strategy_position_buy = strategy_position_sell - strategy_position_buy, 0elif strategy_position_buy is strategy_position_sell:strategy_position_buy, strategy_position_sell = 0, 0buy_price = min(now_price + offset_price, self.vt_symbols_limit_prices[market_vt_symbol].limit_up)sell_price = max(now_price - offset_price, self.vt_symbols_limit_prices[market_vt_symbol].limit_down)interval = " | "print(market_vt_symbol, end="  ")if strategy_position_buy > real_position_buy:lot = TQZPositionData.tqz_risk_control(lot=strategy_position_buy - real_position_buy)print(f'开多 {str(lot)} 手', end="  ")buy_vt_orderids = self.buy(vt_symbol=market_vt_symbol, price=buy_price, volume=lot)print(f'buy_result: {buy_vt_orderids}', end=interval)elif strategy_position_buy < real_position_buy:lot = TQZPositionData.tqz_risk_control(lot=real_position_buy - strategy_position_buy)print(f'平多 {str(lot)} 手', end="  ")buy_vt_orderids = self.sell(vt_symbol=market_vt_symbol, price=sell_price, volume=lot)print(f'sell_result: {buy_vt_orderids}', end=interval)elif strategy_position_buy is real_position_buy:print("多单匹配 不处理", end=interval)if strategy_position_sell > real_position_sell:lot = TQZPositionData.tqz_risk_control(lot=strategy_position_sell - real_position_sell)print(f'开空 {str(lot)} 手', end="  ")sell_vt_orderids = self.short(vt_symbol=market_vt_symbol, price=sell_price, volume=lot)print(f'short_result: {sell_vt_orderids}')elif strategy_position_sell < real_position_sell:lot = TQZPositionData.tqz_risk_control(lot=real_position_sell - strategy_position_sell)print(f'平空 {str(lot)} 手', end="  ")sell_vt_orderids = self.cover(vt_symbol=market_vt_symbol, price=buy_price, volume=lot)print(f'cover_result: {sell_vt_orderids}')elif strategy_position_sell is real_position_sell:print("空单匹配 不处理")return list(set(buy_vt_orderids + sell_vt_orderids))

量化交易之vnpy篇 - 几种同步发单模式（中金所股指锁仓模式、最小单边轧差操作模式、双边同步模式，净头寸模式）相关推荐

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量化交易之vnpy篇 - 几种同步发单模式（中金所股指锁仓模式、最小单边轧差操作模式、双边同步模式，净头寸模式）相关推荐

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