在CTP接口层添加对无效数据的过滤

wanglixiong · Mar 10, 2017 · 1517117 · 1517117
1 parent 65b8551
commit 1517117
Showing 1 changed file with 5 additions and 0 deletions.
diff --git a/vn.trader/ctpGateway/ctpGateway.py b/vn.trader/ctpGateway/ctpGateway.py
@@ -338,6 +338,11 @@ def onRspUnSubMarketData(self, data, error, n, last):
     #----------------------------------------------------------------------  
     def onRtnDepthMarketData(self, data):
         """行情推送"""
+        # 忽略成交量为0的无效tick数据
+        if not data['Volume']:
+            return
+
+        # 创建对象
         tick = VtTickData()
         tick.gatewayName = self.gatewayName