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[bugfix] 增强tick得时间过滤

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This commit is contained in:
msincenselee 2021-10-01 09:35:14 +08:00
parent f7e94a8a0b
commit 6826564622
1 changed files with 10 additions and 4 deletions
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14
vnpy/app/index_tick_publisher/engine.py
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@ -71,6 +71,7 @@ class IndexTickPublisherV2(BaseEngine):
self.subscribed_symbols = set() # 已订阅合约代码 self.subscribed_symbols = set() # 已订阅合约代码
self.ticks = {} self.ticks = {}
self.dt = datetime.now()
# 本地/vnpy/data/tdx/future_contracts.json # 本地/vnpy/data/tdx/future_contracts.json
self.all_contracts = get_future_contracts() self.all_contracts = get_future_contracts()
# 需要订阅的短合约 # 需要订阅的短合约
@ -108,12 +109,12 @@ class IndexTickPublisherV2(BaseEngine):
def process_timer_event(self, event): def process_timer_event(self, event):
"""定时执行""" """定时执行"""
dt = datetime.now() self.dt = datetime.now()
if self.last_minute and dt.minute == self.last_minute: if self.last_minute and self.dt.minute == self.last_minute:
return return
self.last_minute = dt.minute self.last_minute = self.dt.minute
self.check_status() self.check_status()
@ -208,6 +209,11 @@ class IndexTickPublisherV2(BaseEngine):
def on_tick(self, tick): def on_tick(self, tick):
""" tick到达事件""" """ tick到达事件"""
# 排除tick时间与当前时间不一致tick
if abs((tick.datetime - self.dt).total_seconds()) > 20:
return
short_symbol = get_underlying_symbol(tick.symbol).upper() short_symbol = get_underlying_symbol(tick.symbol).upper()
# 更新tick # 更新tick
tick_dict = self.ticks.get(short_symbol, None) tick_dict = self.ticks.get(short_symbol, None)
@ -269,7 +275,7 @@ class IndexTickPublisherV2(BaseEngine):
# 更新未指数的持仓量、交易量，最后价格，ask1，bid1 # 更新未指数的持仓量、交易量，最后价格，ask1，bid1
d.update({'open_interest': all_interest, 'volume': all_volume, d.update({'open_interest': all_interest, 'volume': all_volume,
'last_price': last_price, 'ask_price_1': ask_price_1, 'bid_price_1': bid_price_1}) 'last_price': last_price, 'ask_price_1': ask_price_1, 'bid_price_1': bid_price_1})
print('{} {}:{}'.format(d.get('datetime'), d.get("vt_symbol"), d.get('last_price'))) #print('{} {}:{}'.format(d.get('datetime'), d.get("vt_symbol"), d.get('last_price')))
d = json.dumps(d) d = json.dumps(d)
self.pub.pub(d) self.pub.pub(d)