1.vnpy.app新建user_tools文件夹trading_hour.py放入user_tools
trading_hour.py如下：
from datetime import datetime,time,timedelta
import json
class TRADINGHOUR(object):
PATH = "***.vntrader/trading_hour.json" #PATH填trading_hour.json在电脑的绝对路径，trading_hour.json放入在vntrader目录下，如：c:/users/电脑名/vntrader/trading_hour.json
time_switch = 0
start_time = ""
end_time = ""
def get_trading_time(self,symbol): #读取存入json中的标的开收盘时间
with open(self.PATH,"r",encoding="utf_8") as f:
trading_hour = json.load(f)
for key_symbol in trading_hour:
if key_symbol == symbol:
start = trading_hour[symbol][0]
end = trading_hour[symbol][1]
break
self.start_time = datetime.strptime(start,"%H:%M:%S") #datetime对象，后面比较时候要转换成time对象
self.end_time = datetime.strptime(end,"%H:%M:%S")
return self.start_time,self.end_time
def day_night_switch(self): #time_switch = 0 白盘标的，1为夜盘0：00前收盘的标的（如：rb），2为0:00后收盘的标的（如：ag，cu）
if self.start_time.time() < time(hour=20,minute=0):
self.time_switch = 0
elif self.end_time.time() > time(hour=3,minute=0):
self.time_switch = 1
else:
self.time_switch = 2
return self.time_switch
def trading_period(self,bar): #判断标的日内交易时间
DAY_START = time(hour=9,minute=0)
DAY_END = time(hour=14,minute=57)
if self.day_night_switch() == 0:
return bar.datetime.time() < (self.end_time + timedelta(minutes=-3)).time()
elif self.day_night_switch() == 1:
return bar.datetime.time() >= self.start_time.time() and bar.datetime.time() < (self.end_time + timedelta(minutes=-3)).time() \
or (bar.datetime.time() >= DAY_START and bar.datetime.time() < DAY_END )
else:
return bar.datetime.time() >= self.start_time.time() or bar.datetime.time() < (self.end_time + timedelta(minutes=-3)).time() \
or (bar.datetime.time() >= DAY_START and bar.datetime.time() < DAY_END )
2.trading_hour.json如下： #记录了期货白盘期货标的开收盘时间，夜盘标的夜盘开盘以及夜盘收盘时间，遇到特殊日子（比如疫情期间，ag没有夜盘了，那时间要修正“AG”：["9:30:00","15:00:00"]），直接过来修改开收盘时间即可
{
"IF":["9:30:00","15:00:00"],
"IC":["9:30:00","15:00:00"],
"IH":["9:30:00","15:00:00"],
"T":["9:30:00","15:15:00"],
"AU":["21:00:00","2:30:00"],
"AG":["21:00:00","2:30:00"],
"CU":["21:00:00","1:00:00"],
"AL":["21:00:00","1:00:00"],
"ZN":["21:00:00","1:00:00"],
"PB":["21:00:00","1:00:00"],
"NI":["21:00:00","1:00:00"],
"SN":["21:00:00","1:00:00"],
"RB":["21:00:00","23:00:00"],
"I":["21:00:00","23:00:00"],
"HC":["21:00:00","23:00:00"],
"SS":["21:00:00","1:00:00"],
"SF":["9:00:00","15:00:00"],
"SM":["9:00:00","15:00:00"],
"JM":["21:00:00","23:00:00"],
"J":["21:00:00","23:00:00"],
"ZC":["21:00:00","23:00:00"],
"FG":["21:00:00","23:00:00"],
"SP":["21:00:00","23:00:00"],
"FU":["21:00:00","23:00:00"],
"LU":["21:00:00","23:00:00"],
"SC":["21:00:00","2:30:00"],
"BU":["21:00:00","23:00:00"],
"PG":["21:00:00","23:00:00"],
"RU":["21:00:00","23:00:00"],
"NR":["21:00:00","23:00:00"],
"L":["21:00:00","23:00:00"],
"TA":["21:00:00","23:00:00"],
"V":["21:00:00","23:00:00"],
"EG":["21:00:00","23:00:00"],
"MA":["21:00:00","23:00:00"],
"PP":["21:00:00","23:00:00"],
"EB":["21:00:00","23:00:00"],
"UR":["9:00:00","15:00:00"],
"SA":["21:00:00","23:00:00"],
"C":["21:00:00","23:00:00"],
"A":["21:00:00","23:00:00"],
"CS":["21:00:00","23:00:00"],
"B":["21:00:00","23:00:00"],
"M":["21:00:00","23:00:00"],
"Y":["21:00:00","23:00:00"],
"RM":["21:00:00","23:00:00"],
"OI":["21:00:00","23:00:00"],
"P":["21:00:00","23:00:00"],
"CF":["21:00:00","23:00:00"],
"SR":["21:00:00","23:00:00"],
"JD":["9:00:00","15:00:00"],
"AP":["9:00:00","15:00:00"],
"CJ":["9:00:00","15:00:00"]
}
3.在自己的策略中import TRADINHOUR from vnpy.app.user_tools.trading_hour import TRADINGHOUR 同时import re
def --init--():加入
self.tradingtime = TRADINGHOUR()
self.symbol = "".join(re.findall(r"\D+",self.get_data()["vt_symbol"].split(".")[0])).upper() #获取标的代码
self.start_time,self.end_time = self.tradingtime.get_trading_time(self.symbol)
这些完成后，就可以在你的on_bar函数里面调用self.tradingtime.trading_period(bar)获取标的日内交易时段了
例如：def on_bar(self, bar: BarData):
###
###
if self.tradingtime.trading_period(bar): #获取当下交易标的日内交易时段，平仓时间设置为收盘前3min
if self.pos == 0:
###****
if self.pos > 0:
### ****
if self.pos < 0:
###*****
else: #收盘平仓
if self.pos > 0:
self.sell(bar.close_price *0.99, abs(self.pos))
elif self.pos < 0:
self.cover(bar.close_price*1.01, abs(self.pos))
