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vnpy的1分钟行情记录是把当前tick的时间当做K线的起始时间的, 比如我要记录期货合约9:00到11:30的行情, 实际写入到数据库的行情的时间是9:00, 9:01, 9:02......11:29, 米筐数据是9.01,9.02,9.03,...11:30

请问如何修改BarGenerator源码能使其生成bar数据的时间戳同米筐数据保持一致呢,感谢!

下面是BarGenerator源码:

class BarGenerator:
"""
For:

1. generating 1 minute bar data from tick data
2. generateing 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
):
    """Constructor"""
    self.bar: BarData = None
    self.on_bar: Callable = on_bar

    self.interval: Interval = interval
    self.interval_count: int = 0

    self.window: int = window
    self.window_bar: BarData = None
    self.on_window_bar: Callable = on_window_bar

    self.last_tick: TickData = None
    self.last_bar: BarData = None

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 less intraday trading volume (i.e. older timestamp)
    if self.last_tick and tick.volume and tick.volume < self.last_tick.volume:
        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)
        self.bar.low_price = min(self.bar.low_price, tick.last_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)

    self.last_tick = tick

def update_bar(self, bar: BarData) -> None:
    """
    Update 1 minute bar into generator
    """
    # If not inited, creaate window bar object
    if not self.window_bar:
        # Generate timestamp for bar data
        if self.interval == Interval.MINUTE:
            dt = bar.datetime.replace(second=0, microsecond=0)
        else:
            dt = bar.datetime.replace(minute=0, 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 into window bar
    self.window_bar.close_price = bar.close_price
    self.window_bar.volume += int(bar.volume)
    self.window_bar.open_interest = bar.open_interest

    # Check if window bar completed
    finished = False

    if self.interval == Interval.MINUTE:
        # x-minute bar
        if not (bar.datetime.minute + 1) % self.window:
            finished = True
    elif self.interval == Interval.HOUR:
        if self.last_bar and bar.datetime.hour != self.last_bar.datetime.hour:
            # 1-hour bar
            if self.window == 1:
                finished = True
            # x-hour bar
            else:
                self.interval_count += 1

                if not self.interval_count % self.window:
                    finished = True
                    self.interval_count = 0

    if finished:
        self.on_window_bar(self.window_bar)
        self.window_bar = None

    # Cache last bar object
    self.last_bar = bar
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不建议修改bg,建议把数据处理过再导入使用比较好

Administrator
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vn.py在和RQData的对接层,已经对时间戳进行了转化,不需要额外处理

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