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期货部分合约有10:15-10:30停盘休息时间,如果按照vnpy原有K线合成逻辑操作,合成出来的周期K线多数情况下都是错误的,在使用前需要对合成逻辑进行修改。
以下合成逻辑修改仅适合从数据库读取1分钟K线数据再合成情况,其它数据来源自己斟酌是否适用。不保证以下修改逻辑完全正确,只做抛砖引玉之用,望大家共享参与探讨。

(注:以下代码注释部分为修改部分)

合成后的数据时间截图如下

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.interval_minute: int = 0    # 此处增加一个变量,用于记数K线条数。

    self.hour_bar: BarData = None

    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 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)

    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:

-------以下为K线合成逻辑主要修改部分:

        self.window_bar.datetime = bar.datetime
        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

-------以下为K线合成逻辑主要修改部分

    # Check if window bar completed
    self.interval_minute += 1
    if not self.interval_minute % self.window:
        self.interval_minute = 0
        self.on_window_bar(self.window_bar)
        self.window_bar = None
    elif bar.datetime.time() == time(15, 00):
        self.interval_minute = 0
        self.on_window_bar(self.window_bar)
        self.window_bar = None

------修改结束————

  • list text here
      # Cache last bar object
      self.last_bar = bar 
    
    以下代码略

以下为6分钟周期K线合成后的时间截图
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