1. 系统自带的BarGenerator产生n分钟bar会丢弃一部分bar。
上周升级到了vnpy 2.9.0版本，编写了个策略，用到了30分钟Bar。
self.dir_bg = BarGenerator(on_bar = self.on_bar,window = 30,
on_window_bar = self.on_30m_bar,interval = Interval.MINUTE)那个意思就是创建一个30分钟bar合成器。
策略的on_30m_bar()是这样的，先打印出来看看：
def on_30m_bar(self, bar: BarData):
"""
收到方向周期的K线
"""
print(f"{self.strategy_name}收到30分钟周期K线{bar}")结果杯具了：
GsjyDemo2收到30分钟周期K线BarData(gateway_name='RQ', symbol='rb2205', exchange=<Exchange.SHFE: 'SHFE'>, datetime=datetime.datetime(2022, 2, 23, 21, 0, tzinfo=<DstTzInfo 'Asia/Shanghai' CST+8:00:00 STD>), interval=None, volume=225506.0, turnover=10790057010.0, open_interest=1921172.0, open_price=4788.0, high_price=4808.0, low_price=4762.0, close_price=4777.0)
GsjyDemo2收到30分钟周期K线BarData(gateway_name='RQ', symbol='rb2205', exchange=<Exchange.SHFE: 'SHFE'>, datetime=datetime.datetime(2022, 2, 23, 21, 30, tzinfo=<DstTzInfo 'Asia/Shanghai' CST+8:00:00 STD>), interval=None, volume=179987.0, turnover=8570390020.0, open_interest=1903437.0, open_price=4778.0, high_price=4778.0, low_price=4751.0, close_price=4760.0)
GsjyDemo2收到30分钟周期K线BarData(gateway_name='RQ', symbol='rb2205', exchange=<Exchange.SHFE: 'SHFE'>, datetime=datetime.datetime(2022, 2, 23, 22, 0, tzinfo=<DstTzInfo 'Asia/Shanghai' CST+8:00:00 STD>), interval=None, volume=99381.0, turnover=4723786710.0, open_interest=1905948.0, open_price=4760.0, high_price=4766.0, low_price=4743.0, close_price=4746.0)
GsjyDemo2收到30分钟周期K线BarData(gateway_name='RQ', symbol='rb2205', exchange=<Exchange.SHFE: 'SHFE'>, datetime=datetime.datetime(2022, 2, 23, 22, 30, tzinfo=<DstTzInfo 'Asia/Shanghai' CST+8:00:00 STD>), interval=None, volume=83782.0, turnover=3985661600.0, open_interest=1904511.0, open_price=4745.0, high_price=4767.0, low_price=4744.0, close_price=4763.0)
GsjyDemo2收到30分钟周期K线BarData(gateway_name='RQ', symbol='rb2205', exchange=<Exchange.SHFE: 'SHFE'>, datetime=datetime.datetime(2022, 2, 24, 9, 0, tzinfo=<DstTzInfo 'Asia/Shanghai' CST+8:00:00 STD>), interval=None, volume=99253.0, turnover=4714720470.0, open_interest=1916969.0, open_price=4763.0, high_price=4766.0, low_price=4738.0, close_price=4748.0)
GsjyDemo2收到30分钟周期K线BarData(gateway_name='RQ', symbol='rb2205', exchange=<Exchange.SHFE: 'SHFE'>, datetime=datetime.datetime(2022, 2, 24, 9, 30, tzinfo=<DstTzInfo 'Asia/Shanghai' CST+8:00:00 STD>), interval=None, volume=85886.0, turnover=4076563050.0, open_interest=1930796.0, open_price=4750.0, high_price=4760.0, low_price=4735.0, close_price=4736.0)
GsjyDemo2收到30分钟周期K线BarData(gateway_name='RQ', symbol='rb2205', exchange=<Exchange.SHFE: 'SHFE'>, datetime=datetime.datetime(2022, 2, 24, 10, 0, tzinfo=<DstTzInfo 'Asia/Shanghai' CST+8:00:00 STD>), interval=None, volume=491666.0, turnover=23080991050.0, open_interest=1982231.0, open_price=4736.0, high_price=4741.0, low_price=4660.0, close_price=4665.0)
GsjyDemo2收到30分钟周期K线BarData(gateway_name='RQ', symbol='rb2205', exchange=<Exchange.SHFE: 'SHFE'>, datetime=datetime.datetime(2022, 2, 24, 11, 0, tzinfo=<DstTzInfo 'Asia/Shanghai' CST+8:00:00 STD>), interval=None, volume=279000.0, turnover=13059711390.0, open_interest=2005223.0, open_price=4666.0, high_price=4713.0, low_price=4654.0, close_price=4676.0)
GsjyDemo2收到30分钟周期K线BarData(gateway_name='RQ', symbol='rb2205', exchange=<Exchange.SHFE: 'SHFE'>, datetime=datetime.datetime(2022, 2, 24, 13, 30, tzinfo=<DstTzInfo 'Asia/Shanghai' CST+8:00:00 STD>), interval=None, volume=271595.0, turnover=12701729900.0, open_interest=2021599.0, open_price=4664.0, high_price=4709.0, low_price=4648.0, close_price=4673.0)
GsjyDemo2收到30分钟周期K线BarData(gateway_name='RQ', symbol='rb2205', exchange=<Exchange.SHFE: 'SHFE'>, datetime=datetime.datetime(2022, 2, 24, 14, 0, tzinfo=<DstTzInfo 'Asia/Shanghai' CST+8:00:00 STD>), interval=None, volume=266018.0, turnover=12358486960.0, open_interest=2082998.0, open_price=4673.0, high_price=4674.0, low_price=4622.0, close_price=4623.0)
GsjyDemo2收到30分钟周期K线BarData(gateway_name='RQ', symbol='rb2205', exchange=<Exchange.SHFE: 'SHFE'>, datetime=datetime.datetime(2022, 2, 24, 14, 30, tzinfo=<DstTzInfo 'Asia/Shanghai' CST+8:00:00 STD>), interval=None, volume=175873.0, turnover=8162467860.0, open_interest=2081475.0, open_price=4624.0, high_price=4654.0, low_price=4624.0, close_price=4637.0)
GsjyDemo2收到30分钟周期K线BarData(gateway_name='RQ', symbol='rb2205', exchange=<Exchange.SHFE: 'SHFE'>, datetime=datetime.datetime(2022, 2, 24, 21, 0, tzinfo=<DstTzInfo 'Asia/Shanghai' CST+8:00:00 STD>), interval=None, volume=312119.0, turnover=14487421790.0, open_interest=2043795.0, open_price=4635.0, high_price=4664.0, low_price=4613.0, close_price=4655.0)
GsjyDemo2收到30分钟周期K线BarData(gateway_name='RQ', symbol='rb2205', exchange=<Exchange.SHFE: 'SHFE'>, datetime=datetime.datetime(2022, 2, 24, 21, 30, tzinfo=<DstTzInfo 'Asia/Shanghai' CST+8:00:00 STD>), interval=None, volume=106717.0, turnover=4970359120.0, open_interest=2025130.0, open_price=4656.0, high_price=4666.0, low_price=4648.0, close_price=4655.0)
GsjyDemo2收到30分钟周期K线BarData(gateway_name='RQ', symbol='rb2205', exchange=<Exchange.SHFE: 'SHFE'>, datetime=datetime.datetime(2022, 2, 24, 22, 0, tzinfo=<DstTzInfo 'Asia/Shanghai' CST+8:00:00 STD>), interval=None, volume=60255.0, turnover=2807077210.0, open_interest=2011503.0, open_price=4657.0, high_price=4665.0, low_price=4652.0, close_price=4659.0)
GsjyDemo2收到30分钟周期K线BarData(gateway_name='RQ', symbol='rb2205', exchange=<Exchange.SHFE: 'SHFE'>, datetime=datetime.datetime(2022, 2, 24, 22, 30, tzinfo=<DstTzInfo 'Asia/Shanghai' CST+8:00:00 STD>), interval=None, volume=184047.0, turnover=8524883500.0, open_interest=1989335.0, open_price=4660.0, high_price=4661.0, low_price=4608.0, close_price=4614.0)错误：居然把每天10:00-11:00的1分钟bar合成为1个30分钟bar ！无论怎样也是错误的，因为10:00-11:00一共有45分钟到交易数据，怎么也不能合成为1个30分钟bar，肯定错误了。
2. 错在哪里了？
找到BarGenerator的错误了：
def update_bar_minute_window(self, bar: BarData) -> None:
""""""
# If not inited, create window bar object
if not self.window_bar:
dt = bar.datetime.replace(second=0, microsecond=0)
self.window_bar = BarData(
symbol=bar.symbol,
exchange=bar.exchange,
datetime=dt,
gateway_name=bar.gateway_name,
open_price=bar.open_price,
high_price=bar.high_price,
low_price=bar.low_price
)
# Otherwise, update high/low price into window bar
else:
self.window_bar.high_price = max(
self.window_bar.high_price,
bar.high_price
)
self.window_bar.low_price = min(
self.window_bar.low_price,
bar.low_price
)
# Update close price/volume/turnover into window bar
self.window_bar.close_price = bar.close_price
self.window_bar.volume += bar.volume
self.window_bar.turnover += bar.turnover
self.window_bar.open_interest = bar.open_interest
Check if window bar completed
# 这里错误了，用当前1分钟到分钟数+1与30取模来决定一个30分钟K线是否结束，
# 先推送已合成bar,在生成下一个新的30分钟bar。
# 可是10:15-10:30是休市时间段，永远也等不到10:29分钟到那个1分钟bar，所以只能在10:59符合条件，
# 因此这个30分钟bar实际上包含了45分钟到交易数据，错误！！！
if not (bar.datetime.minute + 1) % self.window:
self.on_window_bar(self.window_bar)
self.window_bar = None3. 如何解决？
问题分析清楚了，就不再解释怎么修改了，直接上修改的BarGenerator完整代码吧。
BarGenerator在vnpy.trader.utility中，拷贝过去替换就OK了。
测试过了，和文华6产生的30分钟K线一模一样。
如果想知道哪里修改了，查找 # hxxjava就可以找到修改处。
3.1 修改的代码
vnpy/trader/utility.py的前面添加引用：
from datetime import timedeltaBarGenerator的修改如下：
class BarGenerator:
"""
For:
1. generating 1 minute bar data from tick data
2. generating x minute bar/x hour bar data from 1 minute data
Notice:
1. for x minute bar, x must be able to divide 60: 2, 3, 5, 6, 10, 15, 20, 30
2. for x hour bar, x can be any number
"""
def __init__(
self,
on_bar: Callable,
window: int = 0,
on_window_bar: Callable = None,
interval: Interval = Interval.MINUTE,
daily_close_time:str = "15:00"
):
"""Constructor"""
self.bar: BarData = None
self.on_bar: Callable = on_bar
self.interval: Interval = interval
self.interval_count: int = 0
self.hour_bar: BarData = None
self.window: int = window
self.count_for_window : int = 0 # hxxjava add
self.window_bar: BarData = None
self.on_window_bar: Callable = on_window_bar
self.last_tick: TickData = None
self.daily_close_time = daily_close_time
def update_tick(self, tick: TickData) -> None:
"""
Update new tick data into generator.
"""
new_minute = False
# Filter tick data with 0 last price
if not tick.last_price:
return
# Filter tick data with older timestamp
if self.last_tick and tick.datetime < self.last_tick.datetime:
return
if not self.bar:
new_minute = True
elif (
(self.bar.datetime.minute != tick.datetime.minute)
or (self.bar.datetime.hour != tick.datetime.hour)
):
self.bar.datetime = self.bar.datetime.replace(
second=0, microsecond=0
)
self.on_bar(self.bar)
new_minute = True
if new_minute:
self.bar = BarData(
symbol=tick.symbol,
exchange=tick.exchange,
interval=Interval.MINUTE,
datetime=tick.datetime,
gateway_name=tick.gateway_name,
open_price=tick.last_price,
high_price=tick.last_price,
low_price=tick.last_price,
close_price=tick.last_price,
open_interest=tick.open_interest
)
else:
self.bar.high_price = max(self.bar.high_price, tick.last_price)
if tick.high_price > self.last_tick.high_price:
self.bar.high_price = max(self.bar.high_price, tick.high_price)
self.bar.low_price = min(self.bar.low_price, tick.last_price)
if tick.low_price < self.last_tick.low_price:
self.bar.low_price = min(self.bar.low_price, tick.low_price)
self.bar.close_price = tick.last_price
self.bar.open_interest = tick.open_interest
self.bar.datetime = tick.datetime
if self.last_tick:
volume_change = tick.volume - self.last_tick.volume
self.bar.volume += max(volume_change, 0)
turnover_change = tick.turnover - self.last_tick.turnover
self.bar.turnover += max(turnover_change, 0)
self.last_tick = tick
def update_bar(self, bar: BarData) -> None:
"""
Update 1 minute bar into generator
"""
if self.interval == Interval.MINUTE:
self.update_bar_minute_window(bar)
else:
self.update_bar_hour_window(bar)
def update_bar_minute_window(self, bar: BarData) -> None:
""""""
# If not inited, create window bar object
if not self.window_bar:
dt = bar.datetime.replace(second=0, microsecond=0)
self.window_bar = BarData(
symbol=bar.symbol,
exchange=bar.exchange,
datetime=dt,
gateway_name=bar.gateway_name,
open_price=bar.open_price,
high_price=bar.high_price,
low_price=bar.low_price
)
# Otherwise, update high/low price into window bar
else:
self.window_bar.high_price = max(
self.window_bar.high_price,
bar.high_price
)
self.window_bar.low_price = min(
self.window_bar.low_price,
bar.low_price
)
# Update close price/volume/turnover into window bar
self.window_bar.close_price = bar.close_price
self.window_bar.volume += bar.volume
self.window_bar.turnover += bar.turnover
self.window_bar.open_interest = bar.open_interest
# Check if window bar completed
# if not (bar.datetime.minute + 1) % self.window:
# self.on_window_bar(self.window_bar)
# self.window_bar = None
# hxxjava add start
h,m = self.daily_close_time.split(':')
today_close_time = bar.datetime.replace(hour=int(h),minute=int(m),second=0,microsecond=0)
enter_next_day = bar.datetime + timedelta(minutes=1) == today_close_time
if self.count_for_window + 1 == self.window or enter_next_day:
self.on_window_bar(self.window_bar)
self.window_bar = None
if enter_next_day:
self.count_for_window = 0
else:
self.count_for_window += 1
self.count_for_window %= self.window
# hxxjava add end
def update_bar_hour_window(self, bar: BarData) -> None:
""""""
# If not inited, create window bar object
if not self.hour_bar:
dt = bar.datetime.replace(minute=0, second=0, microsecond=0)
self.hour_bar = BarData(
symbol=bar.symbol,
exchange=bar.exchange,
datetime=dt,
gateway_name=bar.gateway_name,
open_price=bar.open_price,
high_price=bar.high_price,
low_price=bar.low_price,
close_price=bar.close_price,
volume=bar.volume,
turnover=bar.turnover,
open_interest=bar.open_interest
)
return
finished_bar = None
# If minute is 59, update minute bar into window bar and push
if bar.datetime.minute == 59:
self.hour_bar.high_price = max(
self.hour_bar.high_price,
bar.high_price
)
self.hour_bar.low_price = min(
self.hour_bar.low_price,
bar.low_price
)
self.hour_bar.close_price = bar.close_price
self.hour_bar.volume += bar.volume
self.hour_bar.turnover += bar.turnover
self.hour_bar.open_interest = bar.open_interest
finished_bar = self.hour_bar
self.hour_bar = None
# If minute bar of new hour, then push existing window bar
elif bar.datetime.hour != self.hour_bar.datetime.hour:
finished_bar = self.hour_bar
dt = bar.datetime.replace(minute=0, second=0, microsecond=0)
self.hour_bar = BarData(
symbol=bar.symbol,
exchange=bar.exchange,
datetime=dt,
gateway_name=bar.gateway_name,
open_price=bar.open_price,
high_price=bar.high_price,
low_price=bar.low_price,
close_price=bar.close_price,
volume=bar.volume,
turnover=bar.turnover,
open_interest=bar.open_interest
)
# Otherwise only update minute bar
else:
self.hour_bar.high_price = max(
self.hour_bar.high_price,
bar.high_price
)
self.hour_bar.low_price = min(
self.hour_bar.low_price,
bar.low_price
)
self.hour_bar.close_price = bar.close_price
self.hour_bar.volume += bar.volume
self.hour_bar.turnover += bar.turnover
self.hour_bar.open_interest = bar.open_interest
# Push finished window bar
if finished_bar:
self.on_hour_bar(finished_bar)
def on_hour_bar(self, bar: BarData) -> None:
""""""
if self.window == 1:
self.on_window_bar(bar)
else:
if not self.window_bar:
self.window_bar = BarData(
symbol=bar.symbol,
exchange=bar.exchange,
datetime=bar.datetime,
gateway_name=bar.gateway_name,
open_price=bar.open_price,
high_price=bar.high_price,
low_price=bar.low_price
)
else:
self.window_bar.high_price = max(
self.window_bar.high_price,
bar.high_price
)
self.window_bar.low_price = min(
self.window_bar.low_price,
bar.low_price
)
self.window_bar.close_price = bar.close_price
self.window_bar.volume += bar.volume
self.window_bar.turnover += bar.turnover
self.window_bar.open_interest = bar.open_interest
self.interval_count += 1
if not self.interval_count % self.window:
self.interval_count = 0
self.on_window_bar(self.window_bar)
self.window_bar = None
def generate(self) -> Optional[BarData]:
"""
Generate the bar data and call callback immediately.
"""
bar = self.bar
if self.bar:
bar.datetime = bar.datetime.replace(second=0, microsecond=0)
self.on_bar(bar)
self.bar = None
return bar3.2 修改说明
本人修改原则是n分钟bar按照日内对齐的原则，即：
- 跨过日内的休市时间段连续合成；
- n分钟生成一个bar并且立即生成一个bar并且推送之；
- 但是遇到收市，无论是否满n分钟并且立即生成一个bar并且推送之。
3.3 使用说明
注意到BarGenerator的构造函数多了个daily_close_time参数，字符串类型，默认值为"15:00"。
例如：
- 如果是国内股票、期货或期权，大部分交易品种都无需特别修改收市时间，忽略即可；例如：
self.bg30m = BarGenerator(on_bar = self.on_bar,window = 30,on_window_bar = self.on_30m_bar,interval = Interval.MINUTE) # 默认15:00收市但是如果有些例如国债等品种，它的收市时间不是15:00，则需要在特别传参，在写作交易策略的时候，可以给出代表收市时间的字符串参数，供创建实例的时候传递给该参数。虽然麻烦了一丢丢，但是已经可以算得上是够方便的啦！
例如：
- 如果交易的是每日16:00收市的品种，这样创建30分钟bar生成器：
self.bg30m = BarGenerator(on_bar = self.on_bar,window = 30,
on_window_bar = self.on_30m_bar,
interval = Interval.MINUTE,
daily_close_time= "16:00" )- 如果交易的是每日伦敦金，每日收市是北京时间5:00，这样创建30分钟bar生成器：
self.bg30m = BarGenerator(on_bar = self.on_bar,window = 30,
on_window_bar = self.on_30m_bar,
interval = Interval.MINUTE,
daily_close_time= "5:00" )