From b439a419e7b4b5e2092168b81c3b9ff7b3d5b835 Mon Sep 17 00:00:00 2001 From: msincenselee Date: Sat, 8 Feb 2020 14:18:14 +0800 Subject: [PATCH] =?UTF-8?q?[bug=20fix]=E5=8E=BB=E9=99=A4dayVolume?= MIME-Version: 1.0 Content-Type: text/plain; charset=UTF-8 Content-Transfer-Encoding: 8bit --- vnpy/app/cta_strategy_pro/cta_line_bar.py | 89 +++-------------------- 1 file changed, 12 insertions(+), 77 deletions(-) diff --git a/vnpy/app/cta_strategy_pro/cta_line_bar.py b/vnpy/app/cta_strategy_pro/cta_line_bar.py index c8f4170b..c0489f9f 100644 --- a/vnpy/app/cta_strategy_pro/cta_line_bar.py +++ b/vnpy/app/cta_strategy_pro/cta_line_bar.py @@ -300,10 +300,9 @@ class CtaLineBar(object): """移除Pickle dump()时不支持的Attribute""" state = self.__dict__.copy() # Remove the unpicklable entries. + remove_keys = ['strategy', 'cb_on_bar', 'cb_on_period'] for key in self.__dict__.keys(): - if 'strategy' in key: - del state[key] - if 'onBarFunc' in key: + if key in remove_keys: del state[key] return state @@ -1052,16 +1051,10 @@ class CtaLineBar(object): # K线的日期时间（去除秒）设为第一个Tick的时间 self.cur_bar.datetime = self.cur_bar.datetime.replace(second=0, microsecond=0) self.cur_bar.time = self.cur_bar.datetime.strftime('%H:%M:%S') - - # K线的日总交易量，k线内交易量 - self.cur_bar.dayVolume = tick.volume + self.cur_bar.volume = tick.volume if self.cur_trading_day != self.cur_bar.trading_day or not self.line_bar: - # bar的交易日与记录的当前交易日不一致：即该bar为新的交易日,bar的交易量为当前的tick.volume - self.cur_bar.volume = tick.volume + # bar的交易日与记录的当前交易日不一致： self.cur_trading_day = self.cur_bar.trading_day - else: - # bar的交易日与记录的当前交易日一致, 交易量为tick的volume，减去上一根bar的日总交易量 - self.cur_bar.volume = tick.volume - self.line_bar[-1].dayVolume self.is_first_tick = True # 标识该Tick属于该Bar的第一个tick数据 @@ -1164,20 +1157,6 @@ class CtaLineBar(object): # 触发OnBar事件 self.on_bar(lastBar) - # 存为Bar文件，For TradeBlazer WJ - # barMsg = u"{},{},{},{},{},{},{}\n".format(lastBar.datetime.strftime('%Y/%m/%d %H:%M'), lastBar.open, lastBar.high, - # lastbar.low_price, lastbar.close_price, lastBar.volume, lastbar.open_interest) - # self.write_log('drawLineBar: ' + barMsg) - # self.min1File.write(barMsg) - # - # # 存为Bar文件，For VNPY Min1 WJ - # # "datetime,close,date,high,instrument_id,limit_down,limit_up,low,open,open_interest,time,trading_date,total_turnover,volume,symbol\n" - # lastBar.datetime = lastBar.datetime + timedelta(seconds=60) - # barMsg = u"{},{},{},{},{},{},{},{},{},{},{},{},{},{},{}\n".format(lastBar.datetime.strftime('%Y%m%d%H%M%S'), lastbar.close_price, lastBar.datetime.strftime('%Y%m%d'), - # lastBar.high, lastBar.symbol, 0, 99999, lastbar.low_price, lastBar.open, lastbar.open_interest, lastBar.datetime.strftime('%H%M%S'), - # lastBar.trading_day, 100, lastBar.volume, lastBar.vt_symbol) - # self.min1File.write(barMsg) - else: # 更新当前最后一个bar self.is_first_tick = False @@ -1188,12 +1167,6 @@ class CtaLineBar(object): lastBar.close_price = tick.last_price lastBar.open_interest = tick.open_interest lastBar.volume += tick.volume - # 更新日内总交易量，和bar内交易量 - lastBar.volume = tick.volume - if self.bar_len > 1 and lastBar.trading_day == self.line_bar[-2].trading_day: - lastBar.dayVolume = self.line_bar[-2].dayVolume + lastBar.volume - else: - lastBar.dataVolume = tick.volume # 更新Bar的颜色 if lastBar.close_price > lastBar.open_price: @@ -4492,14 +4465,7 @@ class CtaMinuteBar(CtaLineBar): def __getstate__(self): """移除Pickle dump()时不支持的Attribute""" - state = self.__dict__.copy() - # Remove the unpicklable entries. - for key in self.__dict__.keys(): - if 'strategy' in key: - del state[key] - if 'onBarFunc' in key: - del state[key] - return state + return super().__getstate__() def __setstate__(self, state): """Pickle load()""" @@ -4544,6 +4510,7 @@ class CtaMinuteBar(CtaLineBar): # 更新最后价格 self.cur_price = bar.close_price + self.cur_datetime = bar.datetime bar_len = len(self.line_bar) @@ -4727,13 +4694,6 @@ class CtaMinuteBar(CtaLineBar): lastBar.open_interest = tick.open_interest lastBar.volume += tick.volume - # 更新日内总交易量，和bar内交易量 - if bar_len > 1 and lastBar.trading_day == self.line_bar[-2].trading_day: - lastBar.dayVolume = self.line_bar[-2].dayVolume + lastBar.volume - else: - # 针对第一个bar或者新交易日的tick volume更新 - lastBar.dayVolume = tick.volume - # 更新Bar的颜色 if lastBar.close_price > lastBar.open_price: lastBar.color = Color.RED @@ -4765,14 +4725,7 @@ class CtaHourBar(CtaLineBar): def __getstate__(self): """移除Pickle dump()时不支持的Attribute""" - state = self.__dict__.copy() - # Remove the unpicklable entries. - for key in self.__dict__.keys(): - if 'strategy' in key: - del state[key] - if 'onBarFunc' in key: - del state[key] - return state + return super().__getstate__() def __setstate__(self, state): """Pickle load()""" @@ -4814,7 +4767,7 @@ class CtaHourBar(CtaLineBar): # 更新最后价格 self.cur_price = bar.close_price - + self.cur_datetime = bar.datetime bar_len = len(self.line_bar) if bar_len == 0: @@ -4978,13 +4931,6 @@ class CtaHourBar(CtaLineBar): lastBar.volume += tick.volume - # 更新日内总交易量，和bar内交易量 - if bar_len > 1 and lastBar.trading_day == self.line_bar[-2].trading_day: - lastBar.dayVolume = self.line_bar[-2].dayVolume + lastBar.volume - else: - # 针对第一个bar或者新交易日的tick volume更新 - lastBar.dayVolume = tick.volume - # 更新Bar的颜色 if lastBar.close_price > lastBar.open_price: lastBar.color = Color.RED @@ -5018,14 +4964,7 @@ class CtaDayBar(CtaLineBar): def __getstate__(self): """移除Pickle dump()时不支持的Attribute""" - state = self.__dict__.copy() - # Remove the unpicklable entries. - for key in self.__dict__.keys(): - if 'strategy' in key: - del state[key] - if 'onBarFunc' in key: - del state[key] - return state + return super().__getstate__() def __setstate__(self, state): """Pickle load()""" @@ -5061,6 +5000,7 @@ class CtaDayBar(CtaLineBar): """ # 更新最后价格 self.cur_price = bar.close_price + self.cur_datetime = bar.datetime bar_len = len(self.line_bar) @@ -5103,7 +5043,6 @@ class CtaDayBar(CtaLineBar): lastBar.high_price = max(lastBar.high_price, bar.high_price) lastBar.low_price = min(lastBar.low_price, bar.low_price) lastBar.volume = lastBar.volume + bar.volume - lastBar.dayVolume = lastBar.volume lastBar.open_interest = bar.open_interest # 实时计算 @@ -5226,11 +5165,7 @@ class CtaWeekBar(CtaLineBar): def __getstate__(self): """移除Pickle dump()时不支持的Attribute""" - state = self.__dict__.copy() - # Remove the unpicklable entries. - state.pop('strategy', None) - state.pop('cb_on_bar', None) - return state + return super().__getstate__() def __setstate__(self, state): """Pickle load()""" @@ -5271,6 +5206,7 @@ class CtaWeekBar(CtaLineBar): """ # 更新最后价格 self.cur_price = bar.close_price + self.cur_datetime = bar.datetime bar_len = len(self.line_bar) @@ -5390,7 +5326,6 @@ class CtaWeekBar(CtaLineBar): lastBar.open_interest = tick.open_interest # 更新日内总交易量，和bar内交易量 lastBar.volume += tick.volume - lastBar.dayVolume = tick.volume # 更新Bar的颜色 if lastBar.close_price > lastBar.open_price: