增加tick模式下，回测撮合时，对于涨跌停的过滤处理

kenqyu · Apr 8, 2017 · d5e5cfc · d5e5cfc
1 parent 8576b91
commit d5e5cfc
Showing 1 changed file with 7 additions and 2 deletions.
diff --git a/vn.trader/ctaStrategy/ctaBacktesting.py b/vn.trader/ctaStrategy/ctaBacktesting.py
@@ -322,8 +322,13 @@ def crossLimitOrder(self):
         # 遍历限价单字典中的所有限价单
         for orderID, order in self.workingLimitOrderDict.items():
             # 判断是否会成交
-            buyCross = order.direction==DIRECTION_LONG and order.price>=buyCrossPrice
-            sellCross = order.direction==DIRECTION_SHORT and order.price<=sellCrossPrice
+            buyCross = (order.direction==DIRECTION_LONG and 
+                        order.price>=buyCrossPrice and
+                        buyCrossPrice > 0)      # 国内的tick行情在涨停时askPrice1为0，此时买无法成交
+
+            sellCross = (order.direction==DIRECTION_SHORT and 
+                         order.price<=sellCrossPrice and
+                         sellCrossPrice > 0)    # 国内的tick行情在跌停时bidPrice1为0，此时卖无法成交
 
             # 如果发生了成交
             if buyCross or sellCross: