VNPY 错峰下单改造

背景

由于大家按分钟整点下单，造成分钟整点下单高峰，造成抢单、下单成本变高，所以想改造一下VNPY，每个bar 提前5秒钟形成，错开下单高峰。

实现

修改BarGenerator

1. 每个分钟bar在tick时间秒数字 每分钟第一次大于55时刻，触发 on_bar
2. 记录一个标志 self.minute_change_flag 来保证每分钟只有第一次大于等于55才触发
   • flag标志位默认是True
   • 当tick时间秒 大于等于 55时， 触发on_bar, 并且 flag改为 False
   • 当tick时间进入下一分钟时，flag重置为 True

def update_tick(self, tick: TickData) -> None:
    """
    Update new tick data into generator.
    """
    new_minute = False
 
    # Filter tick data with 0 last price
    if not tick.last_price:
        return
 
    # Filter tick data with older timestamp
    if self.last_tick and tick.datetime < self.last_tick.datetime:
        # 日盘开盘区间，郑商所会把昨天收盘时间错改成今天收盘时间，导致盘前启动开盘后bar无法更新
        # tick.datetime: 2021-06-22 09:00:00+08:00
        # last_tick.datetime: 2021-06-22 22:59:59+08:00
        if self.last_tick.datetime > datetime.now(tz=local_zone):
            pass
        else:
            return
    if not self.bar:
        new_minute = True  
 
 
    # 逻辑开始 #####################################################
 
 
    elif tick.datetime.second >= 55 and self.minute_change_flag:
        self.bar.datetime = self.bar.datetime.replace(
            second=0, microsecond=0
        )
        print(tick.datetime)
        self.minute_change_flag = False
        self.on_bar(self.bar)
        new_minute = True
    elif (self.bar.datetime.minute != tick.datetime.minute) or \
        (self.bar.datetime.hour != tick.datetime.hour):
        self.minute_change_flag = True
    # 结束 #####################################################
    if new_minute:
        self.bar = BarData(
            symbol=tick.symbol,
            exchange=tick.exchange,
            interval=Interval.MINUTE,
            datetime=tick.datetime,
            gateway_name=tick.gateway_name,
            open_price=tick.last_price,
            high_price=tick.last_price,
            low_price=tick.last_price,
            close_price=tick.last_price,
            open_interest=tick.open_interest
        )
    else:
        self.bar.high_price = max(self.bar.high_price, tick.last_price)
        if tick.high_price > self.last_tick.high_price:
            self.bar.high_price = max(self.bar.high_price, tick.high_price)
 
        self.bar.low_price = min(self.bar.low_price, tick.last_price)
        if tick.low_price < self.last_tick.low_price:
            self.bar.low_price = min(self.bar.low_price, tick.low_price)
 
        self.bar.close_price = tick.last_price
        self.bar.open_interest = tick.open_interest
        self.bar.datetime = tick.datetime
 
    if self.last_tick:
        volume_change = tick.volume - self.last_tick.volume
        self.bar.volume += max(volume_change, 0)
 
    self.last_tick = tick