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期货日线回测,open_auction中下单,开盘时间不一致问题如何处理? #759
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该问题确实存在,未来或考虑优化,当前对于此中场景可使用分钟回测。关于开盘时间可以查看 instrument 对象中的 trading_hours 属性。 |
现在的期货 open_auction 应该是有夜盘的就按 21 点价格,没夜盘的就按 9 点价格撮合的。我觉得倒也挺合理...? |
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期货有的有夜盘,则开盘时间是昨晚21点;有的没有夜盘,则开盘时间为今日早上9点。
那么一个多品种的日线策略,在open_auction中下单,就面临一个问题:这个open_auction是在昨晚21点触发,还是在今天9点触发?
如果是在昨晚21点触发,那就现实中无法拿到无夜盘的合约开盘价,也无法下单立即成交。
如果是今早9点触发,那就无法处理昨晚开盘的合约。
米筐是如何处理上述问题的呢?
我的想法是:提供一个api,例如get_open_time(symbol,date),来获得合约在指定日期的开盘时间,这样用户能够自己做些处理来缓解以上问题。
另一方面,是不是允许昨晚和今早各触发一次open_auction?
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