vnpy合成日k线周k线

问题起因

因为要使用tick级别的数据进行商品期货的回测，所以我选择了比较出名的开源回测框架vnpy，但是我发现它没有我想象中的成熟，有很多需求都没有实现，比如实时k线合成，这个是仿真的时候肯定会用到的东西，但是再换框架也不行，其他框架也需要学习成本，而且也不一定能解决问题，所以时间有限就硬着头皮上吧，先来解决vnpy合成日线周线的问题，vnpy仅仅支持分钟和小时级别的k线合成，如果要使用日线的k线只能用多个小时线来代替，但是品种的交易时间段并非统一的，所以只能自己动手写了

vnpy合成k线原理

要动手改代码，先要了解一下vnpy的框架结构，为此我准备了一个流程图供大家参考

策略类Strategy

我们写的策略都是一般都是一个类，它的格式一般是固定的，都是继承策略模板类CtaTemplate的，具体可以参考示例双均线策略

from vnpy.app.cta_strategy import (
    CtaTemplate,
    StopOrder,
    TickData,
    BarData,
    TradeData,
    OrderData,
    BarGenerator,
    ArrayManager,
)


class DoubleMaStrategy(CtaTemplate):
    author = "用Python的交易员"

    fast_window = 10
    slow_window = 20

    fast_ma0 = 0.0
    fast_ma1 = 0.0

    slow_ma0 = 0.0
    slow_ma1 = 0.0

    parameters = ["fast_window", "slow_window"]
    variables = ["fast_ma0", "fast_ma1", "slow_ma0", "slow_ma1"]

    def __init__(self, cta_engine, strategy_name, vt_symbol, setting):
        """ """
        super().__init__(cta_engine, strategy_name, vt_symbol, setting)

        self.bg = BarGenerator(self.on_bar)
        self.am = ArrayManager()
	
    def on_init(self):
        """
        Callback when strategy is inited.
        """
        self.write_log("策略初始化")
        self.load_bar(10)

    def on_start(self):
        """
        Callback when strategy is started.
        """
        self.write_log("策略启动")
        self.put_event()

    def on_stop(self):
        """
        Callback when strategy is stopped.
        """
        self.write_log("策略停止")

        self.put_event()

    def on_tick(self, tick: TickData):
        """
        Callback of new tick data update.
        """
        self.bg.update_tick(tick)

    def on_bar(self, bar: BarData):
        """
        Callback of new bar data update.
        """

        am = self.am
        am.update_bar(bar)
        if not am.inited:
            return

        fast_ma = am.sma(self.fast_window, array=True)# 计算ma10
        self.fast_ma0 = fast_ma[-1]
        self.fast_ma1 = fast_ma[-2]

        slow_ma = am.sma(self.slow_window, array=True)# 计算ma20
        self.slow_ma0 = slow_ma[-1]
        self.slow_ma1 = slow_ma[-2]

        cross_over = self.fast_ma0 > self.slow_ma0 and self.fast_ma1 < self.slow_ma1
        cross_below = self.fast_ma0 < self.slow_ma0 and self.fast_ma1 > self.slow_ma1

        if cross_over:
            if self.pos == 0:
                self.buy(bar.close_price, 1)
            elif self.pos < 0:
                self.cover(bar.close_price, 1)
                self.buy(bar.close_price, 1)

        elif cross_below:
            if self.pos == 0:
                self.short(bar.close_price, 1)
            elif self.pos > 0:
                self.sell(bar.close_price, 1)
                self.short(bar.close_price, 1)

        self.put_event()

    def on_order(self, order: OrderData):
        """
        Callback of new order data update.
        """
        pass

    def on_trade(self, trade: TradeData):
        """
        Callback of new trade data update.
        """
        self.put_event()

    def on_stop_order(self, stop_order: StopOrder):
        """
        Callback of stop order update.
        """
        pass

ArrayManager

保存k线数据，其构造函数如下：默认保存最新的100跟k线

    def __init__(self, size: int = 100):
        """Constructor"""
        self.count: int = 0
        self.size: int = size
        self.inited: bool = False

        self.open_array: np.ndarray = np.zeros(size)
        self.high_array: np.ndarray = np.zeros(size)
        self.low_array: np.ndarray = np.zeros(size)
        self.close_array: np.ndarray = np.zeros(size)
        self.volume_array: np.ndarray = np.zeros(size)
        self.open_interest_array: np.ndarray = np.zeros(size)

ArrayManager类内部引用了talib指标库，封装了很多方法，可以计算各种指标，使用方法可以参考双均线策略中计算MA10

BarGenerator

k线生成器，构造方法如下：

    def __init__(
        self,
        on_bar: Callable,