diff --git a/vnpy/trader/gateway/ctpGateway/ctpGateway.py b/vnpy/trader/gateway/ctpGateway/ctpGateway.py index 193f149f..49f6f518 100644 --- a/vnpy/trader/gateway/ctpGateway/ctpGateway.py +++ b/vnpy/trader/gateway/ctpGateway/ctpGateway.py @@ -13,12 +13,13 @@ import json # 加载经booster编译转换的SO API库 from vnpy.trader.gateway.ctpGateway.vnctpmd import MdApi from vnpy.trader.gateway.ctpGateway.vnctptd import TdApi - +print(u'loaded vnctpmd/vnctptd') from vnpy.trader.vtConstant import * from vnpy.trader.vtGateway import * from vnpy.trader.gateway.ctpGateway.language import text from vnpy.trader.gateway.ctpGateway.ctpDataType import * from vnpy.trader.vtFunction import getJsonPath +from datetime import datetime,timedelta # 以下为一些VT类型和CTP类型的映射字典 # 价格类型映射 @@ -205,12 +206,14 @@ class CtpGateway(VtGateway): def close(self): """关闭""" if self.mdApi is not None: + self.writeLog(u'断开行情API') tmp1 = self.mdApi self.mdApi = None tmp1.close() self.mdConnected = False if self.tdApi is not None: + self.writeLog(u'断开交易API') tmp2 = self.tdApi self.tdApi = None tmp2.close() @@ -379,9 +382,12 @@ 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 + # 忽略成交量为0的无效单合约tick数据 + if not data['Volume'] and '&' not in data['InstrumentID']: + self.writeLog(u'忽略成交量为0的无效单合约tick数据:') + self.writeLog(data) + return + if not self.connectionStatus: self.connectionStatus = True @@ -406,6 +412,23 @@ class CtpMdApi(MdApi): # add by Incense Lee tick.tradingDay = data['TradingDay'] + # 先根据交易日期,生成时间 + tick.datetime = datetime.strptime(tick.date + ' ' + tick.time, '%Y-%m-%d %H:%M:%S') + # 修正时间 + if tick.datetime.hour >= 20: + if tick.datetime.isoweekday() == 1: + # 交易日是星期一,实际时间应该是星期五 + tick.datetime = tick.datetime - timedelta(days=3) + tick.date = tick.datetime.strftime('%Y-%m-%d') + else: + # 第二天 + tick.datetime = tick.datetime - timedelta(days=1) + tick.date = tick.datetime.strftime('%Y-%m-%d') + elif tick.datetime.hour < 8 and tick.datetime.isoweekday() == 1: + # 如果交易日是星期一,并且时间是早上8点前 => 星期六 + tick.datetime = tick.datetime + timedelta(days=2) + tick.date = tick.datetime.strftime('%Y-%m-%d') + tick.openPrice = data['OpenPrice'] tick.highPrice = data['HighestPrice'] tick.lowPrice = data['LowestPrice'] @@ -1571,6 +1594,7 @@ class CtpTdApi(TdApi): log.logContent = content self.gateway.onLog(log) +print(u'fininsh load ctpGateway.py') #---------------------------------------------------------------------- def test():