From 4570eab5b98468a12ef83eaa56f643f513a79c93 Mon Sep 17 00:00:00 2001 From: msincenselee Date: Mon, 10 Feb 2020 09:06:15 +0800 Subject: [PATCH] [bug fix] --- vnpy/app/cta_strategy_pro/cta_line_bar.py | 21 +++++++++------------ vnpy/app/cta_strategy_pro/template.py | 3 ++- 2 files changed, 11 insertions(+), 13 deletions(-) diff --git a/vnpy/app/cta_strategy_pro/cta_line_bar.py b/vnpy/app/cta_strategy_pro/cta_line_bar.py index c6c02259..45e6350c 100644 --- a/vnpy/app/cta_strategy_pro/cta_line_bar.py +++ b/vnpy/app/cta_strategy_pro/cta_line_bar.py @@ -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 diff --git a/vnpy/app/cta_strategy_pro/template.py b/vnpy/app/cta_strategy_pro/template.py index c3296eda..6baf7eed 100644 --- a/vnpy/app/cta_strategy_pro/template.py +++ b/vnpy/app/cta_strategy_pro/template.py @@ -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))