[Fix] 修复夜盘换日时，时间戳日期部分的误差问题

vnpy · Oct 25, 2021 · 723d5d1 · 723d5d1
1 parent dd602e9
commit 723d5d1
Showing 1 changed file with 8 additions and 1 deletion.
diff --git a/vnpy_ctp/gateway/ctp_gateway.py b/vnpy_ctp/gateway/ctp_gateway.py
@@ -305,12 +305,19 @@ def onRtnDepthMarketData(self, data: dict) -> None:
         if not data["UpdateTime"]:
             return
 
+        # 过滤还没有收到合约数据前的行情推送
         symbol: str = data["InstrumentID"]
         contract: ContractData = symbol_contract_map.get(symbol, None)
         if not contract:
             return
 
-        timestamp: str = f"{self.current_date} {data['UpdateTime']}.{int(data['UpdateMillisec']/100)}"
+        # 对大商所的交易日字段取本地日期
+        if contract.exchange == Exchange.DCE:
+            date_str: str = self.current_date
+        else:
+            date_str: str = data["ActionDay"]
+
+        timestamp: str = f"{date_str} {data['UpdateTime']}.{int(data['UpdateMillisec']/100)}"
         dt: datetime = datetime.strptime(timestamp, "%Y%m%d %H:%M:%S.%f")
         dt = CHINA_TZ.localize(dt)