senset/vnpy
1
0
Fork 0
Code Issues Pull Requests Packages Projects Releases Wiki Activity

[bug fix]

Browse Source
This commit is contained in:
msincenselee 2020-02-10 09:06:15 +08:00
parent 7ce42e54a4
commit 4570eab5b9
2 changed files with 11 additions and 13 deletions
Show Stats Download Patch File Download Diff File Expand all files Collapse all files

21
vnpy/app/cta_strategy_pro/cta_line_bar.py
View File

@ -1217,7 +1217,7 @@ class CtaLineBar(object):
return
if len(self.line_sar_sr_up) == 0 and len(self.line_sar_sr_down) == 0:
if self.line_bar[-2].close > self.line_bar[-5].close:
if self.line_bar[-2].close_price > self.line_bar[-5].close_price:
# 标记为上涨趋势
sr0 = min(self.low_array[0:])
af0 = 0
@ -1695,20 +1695,20 @@ class CtaLineBar(object):
# 3.1、计算TR1
# 当前周期最高与最低的价差
high_low_spread = self.line_bar[i].high - self.line_bar[i].low
high_low_spread = self.line_bar[i].high_price - self.line_bar[i].low_price
# 当前周期最高与昨收价的价差
high_preclose_spread = abs(self.line_bar[i].high - self.line_bar[i - 1].close)
high_preclose_spread = abs(self.line_bar[i].high_price - self.line_bar[i - 1].close_price)
# 当前周期最低与昨收价的价差
low_preclose_spread = abs(self.line_bar[i].low - self.line_bar[i - 1].close)
low_preclose_spread = abs(self.line_bar[i].low_price - self.line_bar[i - 1].close_price)
# 最大价差
max_spread = max(high_low_spread, high_preclose_spread, low_preclose_spread)
barTr1 = barTr1 + float(max_spread)
# 今高与昨高的价差
high_prehigh_spread = self.line_bar[i].high - self.line_bar[i - 1].high
high_prehigh_spread = self.line_bar[i].high_price - self.line_bar[i - 1].high_price
# 昨低与今低的价差
low_prelow_spread = self.line_bar[i - 1].low - self.line_bar[i].low
low_prelow_spread = self.line_bar[i - 1].low_price - self.line_bar[i].low_price
# 3.2、计算周期内的做多价差之和
if high_prehigh_spread > 0 and high_prehigh_spread > low_prelow_spread:
@ -3502,7 +3502,7 @@ class CtaLineBar(object):
# 收盘价 = 结算bar + 最后一个未结束得close
close_list = self.close_array[-data_len:]
close_list.append(self.line_bar[-1].close)
# close_list = [x.close for x in self.lineBar[-data_len:]]
# close_list = [x.close_price for x in self.lineBar[-data_len:]]
# 计算最后得动态RSI值
last_rsi = ta.RSI(self.close_array[-2 * self.para_skd_fast_len:], self.para_skd_fast_len)[-1]
@ -3739,7 +3739,7 @@ class CtaLineBar(object):
return
# 3、获取前InputN周期(包含当前周期）的K线
list_mid3 = [x.mid3 for x in self.line_bar[-ema_len * 4:-1]]
last_bar_mid3 = (self.line_bar[-1].close + self.line_bar[-1].high + self.line_bar[-1].low) / 3
last_bar_mid3 = (self.line_bar[-1].close_price + self.line_bar[-1].high_price + self.line_bar[-1].low_price) / 3
list_mid3.append(last_bar_mid3)
bar_mid3_ema10 = ta.EMA(np.array(list_mid3, dtype=float), ema_len)[-1]
self._rt_yb = round(float(bar_mid3_ema10), self.round_n)
@ -4501,9 +4501,6 @@ class CtaMinuteBar(CtaLineBar):
:param bar_freq, bar对象得frequency
:return:
"""
# self.write_log("addBar(): {}, o={}, h={}, l={}, c={}, v={}".format(bar.datetime.strftime("%Y%m%d %H:%M:%S"),
# bar.open, bar.high, bar.low_price, bar.close_price, bar.volume
# ))
if bar.trading_day is None:
if self.is_7x24:
bar.trading_day = bar.datetime.strftime('%Y-%m-%d')
@ -4690,7 +4687,7 @@ class CtaMinuteBar(CtaLineBar):
self.barFirstTick = False
# 更新最高价、最低价、收盘价、成交量
lastBar.high_price = max(lastBar.high, tick.last_price)
lastBar.high_price = max(lastBar.high_price, tick.last_price)
lastBar.low_price = min(lastBar.low_price, tick.last_price)
lastBar.close_price = tick.last_price
lastBar.open_interest = tick.open_interest

3
vnpy/app/cta_strategy_pro/template.py
View File

@ -856,7 +856,8 @@ class CtaProTemplate(CtaTemplate):
grid.snapshot.update({'mi_symbol': self.vt_symbol, 'open_price': self.cur_mi_price})
self.gt.dn_grids.append(grid)
order_ids = self.buy(price=self.cur_mi_price, volume=grid.volume, vt_symbol=self.vt_symbol, grid=grid)
order_ids = self.buy(price=self.cur_mi_price + 5 * self.price_tick,
volume=grid.volume, vt_symbol=self.vt_symbol, grid=grid)
if len(order_ids) > 0:
self.write_log(u'切换合约,委托买入主力合约:{},价格:{},数量:{}'
.format(self.vt_symbol, self.cur_mi_price, grid.volume))