[Mod]增加BarGenerator计算成交量时对tick成交量的负值过滤

2018-05-07 23:08:38 +08:00 · 2018-05-07 23:08:38 +08:00 · a2180e48ee
commit a2180e48ee
parent a89d64dc32
1 changed files with 2 additions and 1 deletions
--- a/vnpy/trader/app/ctaStrategy/ctaTemplate.py
+++ b/vnpy/trader/app/ctaStrategy/ctaTemplate.py
@ -398,7 +398,8 @@ class BarGenerator(object):
        self.bar.openInterest = tick.openInterest
   
        if self.lastTick:
-            self.bar.volume += (tick.volume - self.lastTick.volume) # 当前K线内的成交量
+            volumeChange = tick.volume - self.lastTick.volume   # 当前K线内的成交量
+            self.bar.volume += max(volumeChange, 0)             # 避免夜盘开盘lastTick.volume为昨日收盘数据，导致成交量变化为负的情况
            
        # 缓存Tick
        self.lastTick = tick