senset/vnpy
1
0
Fork 0
Code Issues Pull Requests Packages Projects Releases Wiki Activity

修复网格的最高价和最低价

Browse Source
This commit is contained in:
msincenselee 2018-01-19 09:20:17 +08:00
parent 347658abf5
commit ca80a595f0
1 changed files with 9 additions and 9 deletions
Show Stats Download Patch File Download Diff File Expand all files Collapse all files

18
vnpy/trader/app/ctaStrategy/ctaGridTrade.py
View File

@ -1,7 +1,7 @@
# encoding: UTF-8
import os
import os,sys
from datetime import datetime
import json
import uuid
@ -298,8 +298,8 @@ class CtaGridTrade(object):
# 状态一致，价格大于最低价格
if direction == DIRECTION_LONG:
if begin == EMPTY_FLOAT: begin = 99999
if end == EMPTY_FLOAT: end = -99999
if begin == EMPTY_FLOAT: begin = sys.maxint
if end == EMPTY_FLOAT: end = 0-sys.maxint
grids = [x for x in self.dnGrids
if x.orderStatus == ordered
and x.openStatus == opened
@ -312,8 +312,8 @@ class CtaGridTrade(object):
# 状态一致，开仓价格小于最高价格
if direction == DIRECTION_SHORT:
if begin == EMPTY_FLOAT: begin = -99999
if end == EMPTY_FLOAT: end = 99999
if begin == EMPTY_FLOAT: begin = 0-sys.maxint
if end == EMPTY_FLOAT: end = sys.maxint
grids = [x for x in self.upGrids
if x.orderStatus == ordered
and x.openStatus == opened
@ -632,10 +632,10 @@ class CtaGridTrade(object):
"""计算网格的平均开仓价"""
up_open_list = [x for x in self.upGrids if x.openStatus]
self.max_up_open_price = -99999
self.avg_up_open_price = -99999
self.min_dn_open_price = 99999
self.avg_dn_open_price = 99999
self.max_up_open_price = 0 - sys.maxint
self.avg_up_open_price = 0 - sys.maxint
self.min_dn_open_price = sys.maxint
self.avg_dn_open_price = sys.maxint
total_price = EMPTY_FLOAT
total_volume = EMPTY_INT