Comments (2)
你的策略涉及的时间框架比较多,整体看应该对延时要求没那么高,需要几个步骤来解决:
- 多个时间框架的数据库表,你已经做好了
- 每日盘前启动系统初始化时,载入三个时间框架的历史数据,分别计算对应的参数
- 开盘后,收到TICK时,自行累加汇总成小时K线和日线,并在K线结束时间后(比如一小时结束),先判断是否要进行交易和发单,操作完成后再将K线存入数据库(这个操作可能耗时在若干毫秒,而且你在交易判断后再执行,影响可以忽略)
- 内存里的K线数据,你可以选择一天不断往一个list里append,或者固定一个长度,超过的部分pop掉,这两者对于python而言一天的数据都几乎没有任何影响
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增加了vn.trader里的行情数据收集模块用于解决行情落地的问题。
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