[bug fix]去除dayVolume
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msincenselee
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4b0bdc4e9f
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b439a419e7
@ -300,10 +300,9 @@ class CtaLineBar(object):
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"""移除Pickle dump()时不支持的Attribute"""
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state = self.__dict__.copy()
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# Remove the unpicklable entries.
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remove_keys = ['strategy', 'cb_on_bar', 'cb_on_period']
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for key in self.__dict__.keys():
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if 'strategy' in key:
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del state[key]
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if 'onBarFunc' in key:
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if key in remove_keys:
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del state[key]
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return state
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@ -1052,16 +1051,10 @@ class CtaLineBar(object):
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# K线的日期时间（去除秒）设为第一个Tick的时间
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self.cur_bar.datetime = self.cur_bar.datetime.replace(second=0, microsecond=0)
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self.cur_bar.time = self.cur_bar.datetime.strftime('%H:%M:%S')
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# K线的日总交易量，k线内交易量
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self.cur_bar.dayVolume = tick.volume
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if self.cur_trading_day != self.cur_bar.trading_day or not self.line_bar:
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# 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
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self.cur_bar.volume = tick.volume
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if self.cur_trading_day != self.cur_bar.trading_day or not self.line_bar:
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# bar的交易日与记录的当前交易日不一致：
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self.cur_trading_day = self.cur_bar.trading_day
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else:
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# 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
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self.cur_bar.volume = tick.volume - self.line_bar[-1].dayVolume
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self.is_first_tick = True # 标识该Tick属于该Bar的第一个tick数据
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@ -1164,20 +1157,6 @@ class CtaLineBar(object):
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# 触发OnBar事件
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self.on_bar(lastBar)
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# 存为Bar文件，For TradeBlazer WJ
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# barMsg = u"{},{},{},{},{},{},{}\n".format(lastBar.datetime.strftime('%Y/%m/%d %H:%M'), lastBar.open, lastBar.high,
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# lastbar.low_price, lastbar.close_price, lastBar.volume, lastbar.open_interest)
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# self.write_log('drawLineBar: ' + barMsg)
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# self.min1File.write(barMsg)
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#
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# # 存为Bar文件，For VNPY Min1 WJ
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# # "datetime,close,date,high,instrument_id,limit_down,limit_up,low,open,open_interest,time,trading_date,total_turnover,volume,symbol\n"
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# lastBar.datetime = lastBar.datetime + timedelta(seconds=60)
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# barMsg = u"{},{},{},{},{},{},{},{},{},{},{},{},{},{},{}\n".format(lastBar.datetime.strftime('%Y%m%d%H%M%S'), lastbar.close_price, lastBar.datetime.strftime('%Y%m%d'),
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# lastBar.high, lastBar.symbol, 0, 99999, lastbar.low_price, lastBar.open, lastbar.open_interest, lastBar.datetime.strftime('%H%M%S'),
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# lastBar.trading_day, 100, lastBar.volume, lastBar.vt_symbol)
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# self.min1File.write(barMsg)
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else:
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# 更新当前最后一个bar
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self.is_first_tick = False
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@ -1188,12 +1167,6 @@ class CtaLineBar(object):
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lastBar.close_price = tick.last_price
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lastBar.open_interest = tick.open_interest
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lastBar.volume += tick.volume
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# 更新日内总交易量，和bar内交易量
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lastBar.volume = tick.volume
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if self.bar_len > 1 and lastBar.trading_day == self.line_bar[-2].trading_day:
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lastBar.dayVolume = self.line_bar[-2].dayVolume + lastBar.volume
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else:
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lastBar.dataVolume = tick.volume
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# 更新Bar的颜色
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if lastBar.close_price > lastBar.open_price:
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@ -4492,14 +4465,7 @@ class CtaMinuteBar(CtaLineBar):
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def __getstate__(self):
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"""移除Pickle dump()时不支持的Attribute"""
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state = self.__dict__.copy()
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# Remove the unpicklable entries.
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for key in self.__dict__.keys():
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if 'strategy' in key:
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del state[key]
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if 'onBarFunc' in key:
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del state[key]
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return state
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return super().__getstate__()
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def __setstate__(self, state):
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"""Pickle load()"""
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@ -4544,6 +4510,7 @@ class CtaMinuteBar(CtaLineBar):
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# 更新最后价格
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self.cur_price = bar.close_price
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self.cur_datetime = bar.datetime
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bar_len = len(self.line_bar)
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@ -4727,13 +4694,6 @@ class CtaMinuteBar(CtaLineBar):
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lastBar.open_interest = tick.open_interest
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lastBar.volume += tick.volume
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# 更新日内总交易量，和bar内交易量
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if bar_len > 1 and lastBar.trading_day == self.line_bar[-2].trading_day:
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lastBar.dayVolume = self.line_bar[-2].dayVolume + lastBar.volume
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else:
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# 针对第一个bar或者新交易日的tick volume更新
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lastBar.dayVolume = tick.volume
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# 更新Bar的颜色
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if lastBar.close_price > lastBar.open_price:
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lastBar.color = Color.RED
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@ -4765,14 +4725,7 @@ class CtaHourBar(CtaLineBar):
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def __getstate__(self):
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"""移除Pickle dump()时不支持的Attribute"""
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state = self.__dict__.copy()
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# Remove the unpicklable entries.
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for key in self.__dict__.keys():
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if 'strategy' in key:
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del state[key]
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if 'onBarFunc' in key:
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del state[key]
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return state
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return super().__getstate__()
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def __setstate__(self, state):
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"""Pickle load()"""
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@ -4814,7 +4767,7 @@ class CtaHourBar(CtaLineBar):
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# 更新最后价格
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self.cur_price = bar.close_price
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self.cur_datetime = bar.datetime
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bar_len = len(self.line_bar)
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if bar_len == 0:
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@ -4978,13 +4931,6 @@ class CtaHourBar(CtaLineBar):
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lastBar.volume += tick.volume
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# 更新日内总交易量，和bar内交易量
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if bar_len > 1 and lastBar.trading_day == self.line_bar[-2].trading_day:
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lastBar.dayVolume = self.line_bar[-2].dayVolume + lastBar.volume
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else:
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# 针对第一个bar或者新交易日的tick volume更新
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lastBar.dayVolume = tick.volume
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# 更新Bar的颜色
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if lastBar.close_price > lastBar.open_price:
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lastBar.color = Color.RED
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@ -5018,14 +4964,7 @@ class CtaDayBar(CtaLineBar):
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def __getstate__(self):
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"""移除Pickle dump()时不支持的Attribute"""
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state = self.__dict__.copy()
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# Remove the unpicklable entries.
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for key in self.__dict__.keys():
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if 'strategy' in key:
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del state[key]
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if 'onBarFunc' in key:
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del state[key]
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return state
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return super().__getstate__()
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def __setstate__(self, state):
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"""Pickle load()"""
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@ -5061,6 +5000,7 @@ class CtaDayBar(CtaLineBar):
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"""
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# 更新最后价格
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self.cur_price = bar.close_price
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self.cur_datetime = bar.datetime
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bar_len = len(self.line_bar)
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@ -5103,7 +5043,6 @@ class CtaDayBar(CtaLineBar):
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lastBar.high_price = max(lastBar.high_price, bar.high_price)
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lastBar.low_price = min(lastBar.low_price, bar.low_price)
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lastBar.volume = lastBar.volume + bar.volume
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lastBar.dayVolume = lastBar.volume
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lastBar.open_interest = bar.open_interest
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# 实时计算
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@ -5226,11 +5165,7 @@ class CtaWeekBar(CtaLineBar):
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def __getstate__(self):
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"""移除Pickle dump()时不支持的Attribute"""
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state = self.__dict__.copy()
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# Remove the unpicklable entries.
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state.pop('strategy', None)
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state.pop('cb_on_bar', None)
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return state
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return super().__getstate__()
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def __setstate__(self, state):
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"""Pickle load()"""
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@ -5271,6 +5206,7 @@ class CtaWeekBar(CtaLineBar):
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"""
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# 更新最后价格
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self.cur_price = bar.close_price
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self.cur_datetime = bar.datetime
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bar_len = len(self.line_bar)
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@ -5390,7 +5326,6 @@ class CtaWeekBar(CtaLineBar):
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lastBar.open_interest = tick.open_interest
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# 更新日内总交易量，和bar内交易量
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lastBar.volume += tick.volume
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lastBar.dayVolume = tick.volume
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# 更新Bar的颜色
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if lastBar.close_price > lastBar.open_price:
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