vnpy_ctastrategy

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3posts · 30d
Nov 40 posts
  1. Tick data won't fix your fill logic. VeighNa CTA matches existing orders before on_tick runs. A new order can't join a matching pass that's already over. Check event order before blaming the data. github.com/vnpy/vnpy_ctastrategy/blob/main/vnpy_c… #EdgePilot #Backtesting t.co

    6 views
  2. Tick 更细,不代表成交更快。 VeighNa CTA 当前回测实现里,先撮合已有委托,再调用 on_tick。回调里新发的单,不会倒回本次已完成的撮合。 排查「信号价怎么没成交」,先看事件顺序和撮合条件,再看数据粒度。 github.com/vnpy/vnpy_ctastrategy/blob/main/vnpy_c… #EdgePilot #策略回测 t.co

    2 views
  3. Tick 更细,不代表成交更快。 VeighNa CTA 当前回测实现里,先撮合已有委托,再调用 on_tick。回调里新发的单,不会倒回本次已完成的撮合。 排查「信号价怎么没成交」,先看事件顺序和撮合条件,再看数据粒度。 github.com/vnpy/vnpy_ctastrategy/blob/main/vnpy_c… #EdgePilot #策略回测 t.co

    5 views

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