就差最后一步可以交易。救助~~~！
可以正常接收tick，on_tick里能正常print
bg里可以正常运转，bg里可以print,
on_bar里无法pirnt,不知道数据合成后，为什么无法正常返回
`
from vnpy.app.cta_strategy import (
CtaTemplate,
StopOrder,
TickData,
BarData,
TradeData,
OrderData,
BarGenerator,
ArrayManager,
)
from vnpy.app.cta_strategy.base import StopOrderStatus
from vnpy.trader.constant import Interval
from vnpy.trader.object import BarData, TickData
class s30Strategy(CtaTemplate):
""""""
author = "amber"
# 策略参数
fixedSize = 100
initDays = 0
# 策略变量
posPrice = 0 # 持仓价格
pos = 0 # 持仓数量
def __init__(self, cta_engine, strategy_name, vt_symbol, setting):
""""""
super().__init__(cta_engine, strategy_name, vt_symbol, setting)
self.bg30=newBarGenerator(self.on_30sbar)
self.vt_orderids = []
self.am = ArrayManager(size=30)
def on_init(self):
"""
Callback when strategy is inited.
"""
self.write_log("策略初始化")
self.load_bar(30)#,use_database=True
def on_start(self):
"""
Callback when strategy is started.
"""
self.write_log("策略启动")
def on_stop(self):
"""
Callback when strategy is stopped.
"""
self.write_log("策略停止")
def on_tick(self, tick: TickData):
"""
Callback of new tick data update.
"""
self.bg30.update_tick(tick)
def on_30sbar(self, bar: BarData):
"""
Callback of new tick data update.
"""
am = self.am
am.update_bar(bar)
print(bar)
if not am.inited:
return
self.put_event()
def on_order(self, order: OrderData):
"""
Callback of new order data update.
"""
self.put_event()
def on_trade(self, trade: TradeData):
"""
Callback of new trade data update.
"""
print(trade.datetime,trade.direction,trade.price)
# 删掉已经下单的成功的ID
td_orderid = 'BACKTESTING.'+trade.orderid
if td_orderid in self.vt_orderids:
self.vt_orderids.remove(td_orderid)
self.put_event()
class newBarGenerator(BarGenerator):#继承
"""
30秒tick合成
"""
def __init__(self,
on_bar: Callable,
window: int = 0,
on_window_bar: Callable = None,
interval: Interval = Interval.TICK
):
super().__init__(on_bar,window,on_window_bar,interval)
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.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:
"""收到新的tick
Update new tick data into generator.
"""
new_minute = False
# Filter tick data with 0 last price
#print(self.last_tick)
if not tick.last_price:#
return
try:#self.last_tick是否存在的代理变量
if len(self.last_tick)>0:
lt_exc=True
except:
lt_exc=False
# Filter tick data with older timestamp
if lt_exc and tick.datetime < self.last_tick.datetime: #
return
if (lt_exc and (tick.datetime.second ==30) & (self.last_tick.datetime.second ==29)) \
or (lt_exc and (tick.datetime.second ==0) & (self.last_tick.datetime.second ==59)):
self.bar.datetime = self.bar.datetime.replace(second=0, microsecond=0)
self.on_bar(self.bar)
new_minute = True
elif not self.bar:
new_minute = True
if new_minute:
self.bar = BarData(
symbol=tick.symbol,
exchange=tick.exchange,
interval=Interval.TICK,
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:#不是新的bar，继续和旧的比较
self.bar.high_price = max(self.bar.high_price, tick.last_price)
if tick.last_price > self.last_tick.last_price:
self.bar.high_price = max(self.bar.high_price, tick.last_price)
self.bar.low_price = min(self.bar.low_price, tick.last_price)
if tick.last_price < self.last_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 lt_exc:
volume_change = tick.volume - self.last_tick.volume
self.bar.volume += max(volume_change, 0)
self.last_tick = tick
`
