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[bug fix] 中金所股指主力合约提前两天换月

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msincenselee 2021-01-13 15:27:30 +08:00
parent c7d0af81ee
commit 5c394b89b4
1 changed files with 3 additions and 1 deletions
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4
vnpy/data/tdx/tdx_future_data.py
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@ -937,6 +937,7 @@ class TdxFutureData(object):
if underlying_symbol in ['IC', 'IF', 'IH']: if underlying_symbol in ['IC', 'IF', 'IH']:
mi_symbol = convert_cffex_symbol(mi_symbol) mi_symbol = convert_cffex_symbol(mi_symbol)
full_symbol = get_full_symbol(mi_symbol)
# 更新登记 短合约：真实主力合约 # 更新登记 短合约：真实主力合约
self.write_log( self.write_log(
@ -944,8 +945,9 @@ class TdxFutureData(object):
if underlying_symbol in self.future_contracts: if underlying_symbol in self.future_contracts:
info = self.future_contracts.get(underlying_symbol) info = self.future_contracts.get(underlying_symbol)
cur_mi_symbol = info.get('mi_symbol', None) cur_mi_symbol = info.get('mi_symbol', None)
cur_full_symbol = info.get('full_symbol', None)
if cur_mi_symbol is None or mi_symbol > cur_mi_symbol: if cur_mi_symbol is None or mi_symbol > cur_mi_symbol or cur_full_symbol is None or full_symbol > cur_full_symbol:
self.write_log(u'主力合约变化:{} =>{}'.format(info.get('mi_symbol'), mi_symbol)) self.write_log(u'主力合约变化:{} =>{}'.format(info.get('mi_symbol'), mi_symbol))
info.update({'mi_symbol': mi_symbol, 'full_symbol': full_symbol}) info.update({'mi_symbol': mi_symbol, 'full_symbol': full_symbol})
self.future_contracts.update({underlying_symbol: info}) self.future_contracts.update({underlying_symbol: info})