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base repository: shinnytech/tqsdk-python
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base: master
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head repository: shinnytech/tqsdk-python
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compare: change_backtest_rules
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  • 3 commits
  • 1 file changed
  • 1 contributor

Commits on Dec 16, 2019

  1. backtest: 修改回测时 quote 的更新频率 

    本修改主要是为避免跨交易时段时k线跳空引发的一些问题。
修改更新频率后，在k线开始和结束时分别生成一次 quote 新数据，k线开始时的数据都为开盘价，此时 quote 的数据也由这个开盘价来推算。在本次修改前，只在k线结束时更新一次 quote。

close #195
    @shinny-limin
    shinny-limin committed Dec 16, 2019
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  2. backtest: 修改回测模式下未订阅 tick 时 quote 的生成规则 

    如果某合约也未订阅k线,则自动订阅分钟线来生成 quote; 如果订阅了k线，则对应合约的 quote 会使用已订阅的k线生成, 更新频率和k线的更新一致， 如果订阅了某个合约的多个周期的k线,则任一个周期的k线有更新时, quote 都会更新。
修改前的订阅规则：如果即没有订阅 tick, 也没有订阅 k线或订阅的 k线周期大于分钟线, 则 TqBacktest 会自动订阅分钟线来生成 quote。

close #194
    @shinny-limin
    shinny-limin committed Dec 16, 2019
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  3. backtest: 修复回测时 quote 更新的问题 

    变量名写错，改为使用私有变量名
    @shinny-limin
    shinny-limin committed Dec 16, 2019
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