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CTA引擎处理行情tick时，增加对异常数据的捕捉和过滤

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This commit is contained in:
vn.py 2017-07-09 21:11:00 +08:00
parent a26cb7e09d
commit 08fc156595
2 changed files with 11 additions and 6 deletions
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4
examples/VnTrader/CTP_connect.json
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@ -2,6 +2,6 @@
"brokerID": "9999", "brokerID": "9999",
"mdAddress": "tcp://180.168.146.187:10011", "mdAddress": "tcp://180.168.146.187:10011",
"tdAddress": "tcp://180.168.146.187:10001", "tdAddress": "tcp://180.168.146.187:10001",
"userID": "000300", "userID": "simnow申请",
"password": "19890624" "password": "simnow申请"
} }

13
vnpy/trader/app/ctaStrategy/ctaEngine.py
View File

@ -254,10 +254,15 @@ class CtaEngine(object):
# 推送tick到对应的策略实例进行处理 # 推送tick到对应的策略实例进行处理
if tick.vtSymbol in self.tickStrategyDict: if tick.vtSymbol in self.tickStrategyDict:
# 添加datetime字段 # tick时间可能出现异常数据，使用try...except实现捕捉和过滤
if not tick.datetime: try:
tick.datetime = datetime.strptime(' '.join([tick.date, tick.time]), '%Y%m%d %H:%M:%S.%f') # 添加datetime字段
if not tick.datetime:
tick.datetime = datetime.strptime(' '.join([tick.date, tick.time]), '%Y%m%d %H:%M:%S.%f')
except ValueError:
self.writeCtaLog(traceback.format_exc())
return
# 逐个推送到策略实例中 # 逐个推送到策略实例中
l = self.tickStrategyDict[tick.vtSymbol] l = self.tickStrategyDict[tick.vtSymbol]
for strategy in l: for strategy in l: