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[Add] open_interest in tick/bar data

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This commit is contained in:
vn.py 2019-06-13 13:12:53 +08:00
parent 48d1c71e8b
commit 7afbf720a5
4 changed files with 10 additions and 4 deletions
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8
tests/trader/run.py
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@ -3,12 +3,12 @@ from vnpy.event import EventEngine
from vnpy.trader.engine import MainEngine from vnpy.trader.engine import MainEngine
from vnpy.trader.ui import MainWindow, create_qapp from vnpy.trader.ui import MainWindow, create_qapp
from vnpy.gateway.binance import BinanceGateway # from vnpy.gateway.binance import BinanceGateway
# from vnpy.gateway.bitmex import BitmexGateway # from vnpy.gateway.bitmex import BitmexGateway
# from vnpy.gateway.futu import FutuGateway # from vnpy.gateway.futu import FutuGateway
# from vnpy.gateway.ib import IbGateway # from vnpy.gateway.ib import IbGateway
# from vnpy.gateway.ctp import CtpGateway # from vnpy.gateway.ctp import CtpGateway
# from vnpy.gateway.ctptest import CtptestGateway from vnpy.gateway.ctptest import CtptestGateway
# from vnpy.gateway.femas import FemasGateway # from vnpy.gateway.femas import FemasGateway
# from vnpy.gateway.tiger import TigerGateway # from vnpy.gateway.tiger import TigerGateway
# from vnpy.gateway.oes import OesGateway # from vnpy.gateway.oes import OesGateway
@ -36,10 +36,10 @@ def main():
main_engine = MainEngine(event_engine) main_engine = MainEngine(event_engine)
main_engine.add_gateway(BinanceGateway) # main_engine.add_gateway(BinanceGateway)
# main_engine.add_gateway(XtpGateway) # main_engine.add_gateway(XtpGateway)
# main_engine.add_gateway(CtpGateway) # main_engine.add_gateway(CtpGateway)
# main_engine.add_gateway(CtptestGateway) main_engine.add_gateway(CtptestGateway)
# main_engine.add_gateway(FemasGateway) # main_engine.add_gateway(FemasGateway)
# main_engine.add_gateway(IbGateway) # main_engine.add_gateway(IbGateway)
# main_engine.add_gateway(FutuGateway) # main_engine.add_gateway(FutuGateway)

1
vnpy/gateway/ctp/ctp_gateway.py
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@ -294,6 +294,7 @@ class CtpMdApi(MdApi):
datetime=datetime.strptime(timestamp, "%Y%m%d %H:%M:%S.%f"), datetime=datetime.strptime(timestamp, "%Y%m%d %H:%M:%S.%f"),
name=symbol_name_map[symbol], name=symbol_name_map[symbol],
volume=data["Volume"], volume=data["Volume"],
open_interest=data["OpenInterest"],
last_price=data["LastPrice"], last_price=data["LastPrice"],
limit_up=data["UpperLimitPrice"], limit_up=data["UpperLimitPrice"],
limit_down=data["LowerLimitPrice"], limit_down=data["LowerLimitPrice"],

2
vnpy/trader/object.py
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@ -36,6 +36,7 @@ class TickData(BaseData):
name: str = "" name: str = ""
volume: float = 0 volume: float = 0
open_interest: float = 0
last_price: float = 0 last_price: float = 0
last_volume: float = 0 last_volume: float = 0
limit_up: float = 0 limit_up: float = 0
@ -87,6 +88,7 @@ class BarData(BaseData):
interval: Interval = None interval: Interval = None
volume: float = 0 volume: float = 0
open_interest: float = 0
open_price: float = 0 open_price: float = 0
high_price: float = 0 high_price: float = 0
low_price: float = 0 low_price: float = 0

3
vnpy/trader/utility.py
View File

@ -177,11 +177,13 @@ class BarGenerator:
high_price=tick.last_price, high_price=tick.last_price,
low_price=tick.last_price, low_price=tick.last_price,
close_price=tick.last_price, close_price=tick.last_price,
open_interest=tick.open_interest
) )
else: else:
self.bar.high_price = max(self.bar.high_price, tick.last_price) self.bar.high_price = max(self.bar.high_price, tick.last_price)
self.bar.low_price = min(self.bar.low_price, tick.last_price) self.bar.low_price = min(self.bar.low_price, tick.last_price)
self.bar.close_price = tick.last_price self.bar.close_price = tick.last_price
self.bar.open_interest = tick.open_interest
self.bar.datetime = tick.datetime self.bar.datetime = tick.datetime
if self.last_tick: if self.last_tick:
@ -221,6 +223,7 @@ class BarGenerator:
# Update close price/volume into window bar # Update close price/volume into window bar
self.window_bar.close_price = bar.close_price self.window_bar.close_price = bar.close_price
self.window_bar.volume += int(bar.volume) self.window_bar.volume += int(bar.volume)
self.window_bar.open_interest = bar.open_interest
# Check if window bar completed # Check if window bar completed
finished = False finished = False