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上一个更新的bid和ask漏了档位

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This commit is contained in:
chenxy123 2016-06-13 22:53:31 +08:00
parent 005df0bcd6
commit 20d5ec7371
1 changed files with 4 additions and 4 deletions
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8
vn.trader/ctaAlgo/ctaBacktesting.py
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@ -284,10 +284,10 @@ class BacktestingEngine(object):
buyBestCrossPrice = self.bar.open # 在当前时间点前发出的买入委托可能的最优成交价
sellBestCrossPrice = self.bar.open # 在当前时间点前发出的卖出委托可能的最优成交价
else:
buyCrossPrice = self.tick.askPrice
sellCrossPrice = self.tick.bidPrice
buyBestCrossPrice = self.tick.askPrice
sellBestCrossPrice = self.tick.bidPrice
buyCrossPrice = self.tick.askPrice1
sellCrossPrice = self.tick.bidPrice1
buyBestCrossPrice = self.tick.askPrice1
sellBestCrossPrice = self.tick.bidPrice1
# 遍历限价单字典中的所有限价单
for orderID, order in self.workingLimitOrderDict.items():