gcc -pthread -B /home/zhangr/anaconda2/envs/vnpy3/compiler_compat -Wl,--sysroot=/ -Wsign-compare -DNDEBUG -g -fwrapv -O3 -Wall -Wstrict-prototypes -fPIC -DBRIGAND_NO_BOOST_SUPPORT=1 -Ivnpy/api/oes/include -Ivnpy/api/oes/vnoes -I/home/zhangr/anaconda2/envs/vnpy3/include/python3.7m -c vnpy/api/oes/vnoes/generated_files/classes_1.cpp -o build/temp.linux-x86_64-3.7/vnpy/api/oes/vnoes/generated_files/classes_1.o -std=c++17 -O3 -Wno-delete-incomplete -Wno-sign-compare
gcc: error: vnpy/api/oes/vnoes/generated_files/classes_1.cpp: No such file or directory
error: command 'gcc' failed with exit status 1

ERROR: Failed building wheel for vnpy

请问是我错过了什么吗？

好像是这个脚本的问题？

script_autocxxpy_version="autocxxpy 0.4.0"
autocxxpy_version=python -m autocxxpy version
if [[ $autocxxpy_version != $script_autocxxpy_version ]]; then
echo "autocxxpy version not match!"
echo "current: " $autocxxpy_version
echo "script: " $script_autocxxpy_version
echo "to continue, change version of autocxxpy or modify this script."
exit 1
fi

请使用Ubuntu 18.04，GCC版本 > 7

gcc 和 ubuntu 版本是对的：
gcc (Ubuntu 7.3.0-27ubuntu1~18.04) 7.3.0
看到 git 上有 issue 提到这个问题：
https://github.com/vnpy/vnpy/issues/1906
要使用 master 分支？

编译 master 分支又出现如下问题：
from vnpy/api/oes/vnoes/generated_files/generated_functions_0.cpp:8:
vnpy/api/oes/vnoes/include/autocxxpy/cross_assign.hpp:11:11: warning: ‘autocxxpy::cross_assign’ declared with greater visibility than the type of its field ‘autocxxpy::cross_assign::_delay_assings’ [-Wattributes]
class cross_assign
^_~~~~~
gcc: internal compiler error: Killed (program cc1plus)
Please submit a full bug report,
with preprocessed source if appropriate.
See file:///usr/share/doc/gcc-7/README.Bugs for instructions.
error: command 'gcc' failed with exit status 4

In file included from vnpy/api/oes/vnoes/include/autocxxpy/autocxxpy.hpp:8:0,
from vnpy/api/oes/vnoes/generated_files/generated_functions_0.cpp:8:
vnpy/api/oes/vnoes/include/autocxxpy/callback_wrapper.hpp:80:106: warning: ‘selectany’ attribute directive ignored [-Wattributes]
AUTOCXXPY_SELECT_ANY pybind11::detail::overload_caster_t<ret_type> pybind11_static_caster<ret_type>::caster;
^_~~~
vnpy/api/oes/vnoes/include/autocxxpy/callback_wrapper.hpp:82:12: warning: ‘autocxxpy::async_dispatch_exception’ declared with greater visibility than the type of its field ‘autocxxpy::async_dispatch_exception::instance’ [-Wattributes]
struct async_dispatch_exception : public std::exception
^_~~~~~~~~~
vnpy/api/oes/vnoes/include/autocxxpy/callback_wrapper.hpp:138:107: warning: ‘selectany’ attribute directive ignored [-Wattributes]
AUTOCXXPY_SELECT_ANY async_callback_exception_handler::handler_type async_callback_exception_handler::custom_handler;
^_~~~~~
In file included from vnpy/api/oes/vnoes/include/autocxxpy/autocxxpy.hpp:12:0,
from vnpy/api/oes/vnoes/generated_files/generated_functions_0.cpp:8:
vnpy/api/oes/vnoes/include/autocxxpy/cross_assign.hpp:11:11: warning: ‘autocxxpy::cross_assign’ declared with greater visibility than the type of its field ‘autocxxpy::cross_assign::_delay_assings’ [-Wattributes]
class cross_assign
^_~~~~~
gcc: internal compiler error: Killed (program cc1plus)
Please submit a full bug report,
with preprocessed source if appropriate.
See file:///usr/share/doc/gcc-7/README.Bugs for instructions.
error: command 'gcc' failed with exit status 4

ERROR: Failed building wheel for vnpy

呃，请使用DEV分支，之前Master分支的编译有点问题

dev 和 master 的编译也太吃内存了吧， 8 g + 4 g 的虚拟内存都跑不下来。
之前 v2.0.4 跑起来都很轻松的。