在CTP接口层添加对无效数据的过滤

2017-03-10 23:24:24 +08:00 · 2017-03-10 23:24:24 +08:00 · 1517117b8e
commit 1517117b8e
parent 65b8551677
1 changed files with 5 additions and 0 deletions
--- a/vn.trader/ctpGateway/ctpGateway.py
+++ b/vn.trader/ctpGateway/ctpGateway.py
@ -338,6 +338,11 @@ class CtpMdApi(MdApi):
    #----------------------------------------------------------------------  
    def onRtnDepthMarketData(self, data):
        """行情推送"""
+        # 忽略成交量为0的无效tick数据
+        if not data['Volume']:
+            return
+        
+        # 创建对象
        tick = VtTickData()
        tick.gatewayName = self.gatewayName