vnpy 查询持仓量_VNPY合成指数合约

Talk is cheap ,show my code(不要纠结我的代码命名，我就喜欢这么搞，自己看着舒服)

#下面只发修改部分的代码

class CtpMdApi(MdApi):

"""CTP行情API实现"""

#----------------------------------------------------------------------

def __init__(self, gateway):

#指数合约字典

self.RBSymbolDict ={} #RBtick行情字典,用于合成指数合约

#----------------------------------------------------------------------

def roundToPriceTick(self, priceTick, price):

"""取整价格到合约最小价格变动"""

if not priceTick:

return price

newPrice = round(price/priceTick, 0) * priceTick

return newPrice

def onRtnDepthMarketData(self, data):

#先推送tick行情

self.gateway.onTick(tick)

#合成指数合约

RBTick99 = VtTickData()

#过滤合约没有挂单导致指数合约一档价格无穷大

if 'rb' in tick.symbol and 'efp' not in tick.symbol and (tick.bidPrice1 < 9999999 or tick.askPrice1 < 9999999):

self.RBSymbolDict[tick.symbol] = tick

if self.RBSymbolDict:

for X in range(len(list(self.RBSymbolDict.values()))):

TickValue = list(self.RBSymbolDict.values())[X]

RBTick99.openInterest += TickValue.openInterest

if RBTick99.openInterest:

for X in range(len(list(self.RBSymbolDict.values()))):

TickValue = list(self.RBSymbolDict.values())[X]

#指数合约持仓量加权

RBTick99.lastPrice += TickValue.lastPrice * (TickValue.openInterest/RBTick99.openInterest)

RBTick99.volume += TickValue.volume * (TickValue.openInterest/RBTick