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[bug fix]去除dayVolume

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This commit is contained in:
msincenselee 2020-02-08 14:18:14 +08:00
parent 4b0bdc4e9f
commit b439a419e7
1 changed files with 12 additions and 77 deletions
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89
vnpy/app/cta_strategy_pro/cta_line_bar.py
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@ -300,10 +300,9 @@ class CtaLineBar(object):
"""移除Pickle dump()时不支持的Attribute""" """移除Pickle dump()时不支持的Attribute"""
state = self.__dict__.copy() state = self.__dict__.copy()
# Remove the unpicklable entries. # Remove the unpicklable entries.
remove_keys = ['strategy', 'cb_on_bar', 'cb_on_period']
for key in self.__dict__.keys(): for key in self.__dict__.keys():
if 'strategy' in key: if key in remove_keys:
del state[key]
if 'onBarFunc' in key:
del state[key] del state[key]
return state 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 # 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.datetime = self.cur_bar.datetime.replace(second=0, microsecond=0)
self.cur_bar.time = self.cur_bar.datetime.strftime('%H:%M:%S') self.cur_bar.time = self.cur_bar.datetime.strftime('%H:%M:%S')
self.cur_bar.volume = tick.volume
# K线的日总交易量，k线内交易量
self.cur_bar.dayVolume = tick.volume
if self.cur_trading_day != self.cur_bar.trading_day or not self.line_bar: 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 # bar的交易日与记录的当前交易日不一致：
self.cur_bar.volume = tick.volume
self.cur_trading_day = self.cur_bar.trading_day 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 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 # 触发OnBar事件
self.on_bar(lastBar) 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: else:
# 更新当前最后一个bar # 更新当前最后一个bar
self.is_first_tick = False self.is_first_tick = False
@ -1188,12 +1167,6 @@ class CtaLineBar(object):
lastBar.close_price = tick.last_price lastBar.close_price = tick.last_price
lastBar.open_interest = tick.open_interest lastBar.open_interest = tick.open_interest
lastBar.volume += tick.volume 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 # 更新Bar的颜色
if lastBar.close_price > lastBar.open_price: if lastBar.close_price > lastBar.open_price:
@ -4492,14 +4465,7 @@ class CtaMinuteBar(CtaLineBar):
def __getstate__(self): def __getstate__(self):
"""移除Pickle dump()时不支持的Attribute""" """移除Pickle dump()时不支持的Attribute"""
state = self.__dict__.copy() return super().__getstate__()
# 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
def __setstate__(self, state): def __setstate__(self, state):
"""Pickle load()""" """Pickle load()"""
@ -4544,6 +4510,7 @@ class CtaMinuteBar(CtaLineBar):
# 更新最后价格 # 更新最后价格
self.cur_price = bar.close_price self.cur_price = bar.close_price
self.cur_datetime = bar.datetime
bar_len = len(self.line_bar) bar_len = len(self.line_bar)
@ -4727,13 +4694,6 @@ class CtaMinuteBar(CtaLineBar):
lastBar.open_interest = tick.open_interest lastBar.open_interest = tick.open_interest
lastBar.volume += tick.volume 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 # 更新Bar的颜色
if lastBar.close_price > lastBar.open_price: if lastBar.close_price > lastBar.open_price:
lastBar.color = Color.RED lastBar.color = Color.RED
@ -4765,14 +4725,7 @@ class CtaHourBar(CtaLineBar):
def __getstate__(self): def __getstate__(self):
"""移除Pickle dump()时不支持的Attribute""" """移除Pickle dump()时不支持的Attribute"""
state = self.__dict__.copy() return super().__getstate__()
# 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
def __setstate__(self, state): def __setstate__(self, state):
"""Pickle load()""" """Pickle load()"""
@ -4814,7 +4767,7 @@ class CtaHourBar(CtaLineBar):
# 更新最后价格 # 更新最后价格
self.cur_price = bar.close_price self.cur_price = bar.close_price
self.cur_datetime = bar.datetime
bar_len = len(self.line_bar) bar_len = len(self.line_bar)
if bar_len == 0: if bar_len == 0:
@ -4978,13 +4931,6 @@ class CtaHourBar(CtaLineBar):
lastBar.volume += tick.volume 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 # 更新Bar的颜色
if lastBar.close_price > lastBar.open_price: if lastBar.close_price > lastBar.open_price:
lastBar.color = Color.RED lastBar.color = Color.RED
@ -5018,14 +4964,7 @@ class CtaDayBar(CtaLineBar):
def __getstate__(self): def __getstate__(self):
"""移除Pickle dump()时不支持的Attribute""" """移除Pickle dump()时不支持的Attribute"""
state = self.__dict__.copy() return super().__getstate__()
# 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
def __setstate__(self, state): def __setstate__(self, state):
"""Pickle load()""" """Pickle load()"""
@ -5061,6 +5000,7 @@ class CtaDayBar(CtaLineBar):
""" """
# 更新最后价格 # 更新最后价格
self.cur_price = bar.close_price self.cur_price = bar.close_price
self.cur_datetime = bar.datetime
bar_len = len(self.line_bar) bar_len = len(self.line_bar)
@ -5103,7 +5043,6 @@ class CtaDayBar(CtaLineBar):
lastBar.high_price = max(lastBar.high_price, bar.high_price) lastBar.high_price = max(lastBar.high_price, bar.high_price)
lastBar.low_price = min(lastBar.low_price, bar.low_price) lastBar.low_price = min(lastBar.low_price, bar.low_price)
lastBar.volume = lastBar.volume + bar.volume lastBar.volume = lastBar.volume + bar.volume
lastBar.dayVolume = lastBar.volume
lastBar.open_interest = bar.open_interest lastBar.open_interest = bar.open_interest
# 实时计算 # 实时计算
@ -5226,11 +5165,7 @@ class CtaWeekBar(CtaLineBar):
def __getstate__(self): def __getstate__(self):
"""移除Pickle dump()时不支持的Attribute""" """移除Pickle dump()时不支持的Attribute"""
state = self.__dict__.copy() return super().__getstate__()
# Remove the unpicklable entries.
state.pop('strategy', None)
state.pop('cb_on_bar', None)
return state
def __setstate__(self, state): def __setstate__(self, state):
"""Pickle load()""" """Pickle load()"""
@ -5271,6 +5206,7 @@ class CtaWeekBar(CtaLineBar):
""" """
# 更新最后价格 # 更新最后价格
self.cur_price = bar.close_price self.cur_price = bar.close_price
self.cur_datetime = bar.datetime
bar_len = len(self.line_bar) bar_len = len(self.line_bar)
@ -5390,7 +5326,6 @@ class CtaWeekBar(CtaLineBar):
lastBar.open_interest = tick.open_interest lastBar.open_interest = tick.open_interest
# 更新日内总交易量，和bar内交易量 # 更新日内总交易量，和bar内交易量
lastBar.volume += tick.volume lastBar.volume += tick.volume
lastBar.dayVolume = tick.volume
# 更新Bar的颜色 # 更新Bar的颜色
if lastBar.close_price > lastBar.open_price: if lastBar.close_price > lastBar.open_price: