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更新夜盘日期错误问题

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This commit is contained in:
msincenselee 2018-10-10 18:35:13 +08:00
parent 5f5227ec21
commit 766fe6f266
1 changed files with 40 additions and 28 deletions
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68
vnpy/trader/gateway/ctpGateway/ctpGateway.py
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@ -49,6 +49,7 @@ exchangeMap[EXCHANGE_SHFE] = 'SHFE'
exchangeMap[EXCHANGE_CZCE] = 'CZCE'
exchangeMap[EXCHANGE_DCE] = 'DCE'
exchangeMap[EXCHANGE_SSE] = 'SSE'
exchangeMap[EXCHANGE_SZSE] = 'SZSE'
exchangeMap[EXCHANGE_INE] = 'INE'
exchangeMap[EXCHANGE_UNKNOWN] = ''
exchangeMapReverse = {v:k for k,v in exchangeMap.items()}
@ -66,6 +67,8 @@ productClassMap[PRODUCT_FUTURES] = defineDict["THOST_FTDC_PC_Futures"]
productClassMap[PRODUCT_OPTION] = defineDict["THOST_FTDC_PC_Options"]
productClassMap[PRODUCT_COMBINATION] = defineDict["THOST_FTDC_PC_Combination"]
productClassMapReverse = {v:k for k,v in productClassMap.items()}
productClassMapReverse[defineDict["THOST_FTDC_PC_ETFOption"]] = PRODUCT_OPTION
productClassMapReverse[defineDict["THOST_FTDC_PC_Stock"]] = PRODUCT_EQUITY
# 委托状态映射
statusMap = {}
@ -75,6 +78,12 @@ statusMap[STATUS_NOTTRADED] = defineDict["THOST_FTDC_OST_NoTradeQueueing"]
statusMap[STATUS_CANCELLED] = defineDict["THOST_FTDC_OST_Canceled"]
statusMapReverse = {v:k for k,v in statusMap.items()}
# 全局字典, key:symbol, value:exchange
symbolExchangeDict = {}
# 夜盘交易时间段分隔判断
NIGHT_TRADING = datetime(1900, 1, 1, 20).time()
########################################################################
class CtpGateway(VtGateway):
@ -407,37 +416,40 @@ class CtpMdApi(MdApi):
#tick.time = '.'.join([data['UpdateTime'], str(data['UpdateMillisec']/100)])
# =》 Python 3
tick.time = '.'.join([data['UpdateTime'], str(data['UpdateMillisec'])])
# 上期所和郑商所可以直接使用，大商所需要转换
tick.date = data['ActionDay']
# 大商所日期转换
if tick.exchange is EXCHANGE_DCE:
tick.date = datetime.now().strftime('%Y%m%d')
#tick.date = data['TradingDay']
# 取当前时间
dt = datetime.now()
# add by Incense Lee
tick.tradingDay = data['TradingDay']
if len(tick.tradingDay) == 8:
tradingDay = tick.tradingDay
tick.tradingDay = "{}-{}-{}".format(tradingDay[:4], tradingDay[4:6], tradingDay[6:])
# 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.%f')
# 修正时间
# 不处理开盘前的tick数据
if dt.hour in [8,20] and dt.minute < 59:
return
if tick.exchange is EXCHANGE_CFFEX and dt.hour ==9 and dt.minute < 14:
return
# 日期，取系统时间的日期
tick.date = dt.strftime('%Y-%m-%d')
# 生成dateteime
tick.datetime = datetime.strptime(tick.date + ' ' + tick.time, '%Y-%m-%d %H:%M:%S.%f')
# 生成TradingDay
# 正常日盘时间
tick.tradingDay = tick.date
# 修正夜盘的tradingDay
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.date = tick.datetime.strftime('%Y-%m-%d')
# 周一~周四晚上20点之后的tick，交易日属于第二天
if tick.datetime.isoweekday() in [1,2,3,4]:
trading_day = tick.datetime + timedelta(days=1)
tick.tradingDay = trading_day.strftime('%Y-%m-%d')
# 周五晚上20点之后的tick，交易日属于下周一
elif tick.datetime.isoweekday() == 5:
trading_day = tick.datetime + timedelta(days=3)
tick.tradingDay = trading_day.strftime('%Y-%m-%d')
elif tick.datetime.hour < 3:
# 周六凌晨的tick，交易日属于下周一
if tick.datetime.isoweekday() == 6:
trading_day = tick.datetime + timedelta(days=2)
tick.tradingDay = trading_day.strftime('%Y-%m-%d')
tick.openPrice = data['OpenPrice']
tick.highPrice = data['HighestPrice']