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

[bug fix] 修复大连、郑州的on_trade日期错误

Browse Source
This commit is contained in:
msincenselee 2020-11-24 16:26:48 +08:00
parent 1d7fbcfe1b
commit 4ed16b48ac
2 changed files with 42 additions and 1 deletions
Show Stats Download Patch File Download Diff File Expand all files Collapse all files

24
vnpy/gateway/ctp/ctp_gateway.py
View File

@ -653,7 +653,7 @@ class CtpMdApi(MdApi):
# 不处理开盘前的tick数据
if dt.hour in [8, 20] and dt.minute < 59:
return
if exchange is Exchange.CFFEX and dt.hour == 9 and dt.minute < 14:
if exchange is Exchange.CFFEX and dt.hour == 9 and dt.minute < 29:
return
tick = TickData(
@ -1181,6 +1181,28 @@ class CtpTdApi(TdApi):
trade_date = trade_date[0:4] + '-' + trade_date[4:6] + '-' + trade_date[6:8]
trade_time = data['TradeTime']
trade_datetime = datetime.strptime(f'{trade_date} {trade_time}', '%Y-%m-%d %H:%M:%S')
#print(f'raw_data:{print_dict(data)}')
# 修正 郑商所、大商所的TradeDate错误
if exchange in [Exchange.DCE, Exchange.CZCE]:
dt_now = datetime.now()
# 交易发生在夜盘
if trade_datetime.hour >= 21:
# 系统时间在夜盘，使用系统时间
if dt_now.hour >= 21:
trade_date = dt_now.strftime('%Y-%m-%d')
trade_datetime = datetime.strptime(f'{trade_date} {trade_time}', '%Y-%m-%d %H:%M:%S')
# 系统时间在日盘
else:
# 星期一 =》 星期五
if dt_now.isoweekday() == 1:
trade_datetime -= timedelta(days=3)
#print(f'trade time =>{trade_datetime}')
# 星期二~星期五 =》上一天
else:
trade_datetime -= timedelta(days=1)
#print(f'trade time =>{trade_datetime}')
tradeid = data["TradeID"]
trade = TradeData(
accountid=self.accountid,

19
vnpy/gateway/rohon/rohon_gateway.py
View File

@ -1108,6 +1108,25 @@ class RohonTdApi(TdApi):
trade_date = trade_date[0:4] + '-' + trade_date[4:6] + '-' + trade_date[6:8]
trade_time = data['TradeTime']
trade_datetime = datetime.strptime(f'{trade_date} {trade_time}', '%Y-%m-%d %H:%M:%S')
# 修正 郑商所、大商所的TradeDate错误
if exchange in [Exchange.DCE, Exchange.CZCE]:
dt_now = datetime.now()
# 交易发生在夜盘
if trade_datetime.hour >= 21:
# 系统时间在夜盘，使用系统时间
if dt_now.hour >= 21:
trade_date = dt_now.strftime('%Y-%m-%d')
trade_datetime = datetime.strptime(f'{trade_date} {trade_time}', '%Y-%m-%d %H:%M:%S')
# 系统时间在日盘
else:
# 星期一 =》 星期五
if dt_now.isoweekday() == 1:
trade_datetime -= timedelta(days=3)
# 星期二~星期五 =》上一天
else:
trade_datetime -= timedelta(days=1)
tradeid = data["TradeID"]
trade = TradeData(
accountid=self.accountid,