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update some little code

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This commit is contained in:
bxdd
2021-01-26 17:02:30 +00:00
parent 1b569d371d
commit 3bdd54308b
3 changed files with 25 additions and 22 deletions
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24
examples/high_freq/highfreq_handler.py
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@@ -55,8 +55,8 @@ class HighFreqHandler(DataHandlerLP):
names = []
template_if = "If(IsNull({1}), {0}, {1})"
#template_paused = "Select(Eq($paused, 0.0), {0})"
template_paused="{0}"
template_paused = "Select(Eq($paused, 0.0), {0})"
# template_paused="{0}"
template_fillnan = "FFillNan({0})"
simpson_vwap = "($open + 2*$high + 2*$low + $close)/6"
fields += [
@@ -128,7 +128,7 @@ class HighFreqHandler(DataHandlerLP):
fields += [
"Ref({0}, 240)/Ref(DayLast({0}), 240)".format(template_fillnan.format(template_paused.format("$close")))
]
fields += [
"Ref({0}, 240)/Ref(DayLast({1}), 240)".format(
template_if.format(
@@ -196,17 +196,19 @@ class HighFreqBacktestHandler(DataHandler):
names = []
template_if = "If(Eq({1}, np.nan), {0}, {1})"
#template_paused = "Select(Eq($paused, 0.0), {0})"
template_paused="{0}"
template_paused = "Select(Eq($paused, 0.0), {0})"
# template_paused="{0}"
template_fillnan = "FFillNan({0})"
simpson_vwap = "($open + 2*$high + 2*$low + $close)/6"
#fields += [
# fields += [
# template_fillnan.format(template_paused.format("$close")),
#]
fields += [template_if.format(
template_fillnan.format(template_paused.format("$close")),
template_paused.format(simpson_vwap),
)]
# ]
fields += [
template_if.format(
template_fillnan.format(template_paused.format("$close")),
template_paused.format(simpson_vwap),
)
]
names += ["$vwap_0"]
fields += [
"If(IsNull({0}), 0, If(Or(Gt({1}, Mul(1.001, {3})), Lt({1}, Mul(0.999, {2}))), 0, {0}))".format(