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[Fix]Close #716，SpreadTrading模块当价差某条腿行情未初始化时，禁止交易

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vn.py 2018-01-26 10:46:27 +08:00
parent 5b7c190882
commit c6bd7a6d1a
2 changed files with 12 additions and 1 deletions
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8
vnpy/trader/app/spreadTrading/stBase.py
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@ -98,6 +98,14 @@ class StSpread(object):
# 遍历价差腿列表 # 遍历价差腿列表
for n, leg in enumerate(self.allLegs): for n, leg in enumerate(self.allLegs):
# 过滤有某条腿尚未初始化的情况（无挂单量）
if not leg.bidVolume or not leg.askVolume:
self.bidPrice = EMPTY_FLOAT
self.askPrice = EMPTY_FLOAT
self.askVolume = EMPTY_INT
self.bidVolume = EMPTY_INT
return
# 计算价格 # 计算价格
if leg.multiplier > 0: if leg.multiplier > 0:
self.bidPrice += leg.bidPrice * leg.multiplier self.bidPrice += leg.bidPrice * leg.multiplier

5
vnpy/trader/app/spreadTrading/stEngine.py
View File

@ -239,7 +239,6 @@ class StDataEngine(object):
event2.dict_['data'] = spread event2.dict_['data'] = spread
self.eventEngine.put(event2) self.eventEngine.put(event2)
#---------------------------------------------------------------------- #----------------------------------------------------------------------
def registerEvent(self): def registerEvent(self):
"""""" """"""
@ -309,6 +308,10 @@ class StAlgoEngine(object):
"""处理价差行情事件""" """处理价差行情事件"""
spread = event.dict_['data'] spread = event.dict_['data']
# 若价差的买卖价均为0，则意味着尚未初始化，直接返回
if not spread.bidPrice and not spread.askPrice:
return
algo = self.algoDict.get(spread.name, None) algo = self.algoDict.get(spread.name, None)
if algo: if algo:
algo.updateSpreadTick(spread) algo.updateSpreadTick(spread)