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为什么模拟级和实盘级的回测结果不一样,设置的都是火币网的BTC_USDT,策略见帖子

Author: gaof05210, Created: 2019-08-01 14:54:24, Updated: 2019-08-01 15:19:30

def CancelPendingOrders():
    orders = _C(exchange.GetOrders)
    Log(len(orders))
    for order in orders:
          exchange.CancelOrder(order.Id,order)


def onTick():
    depth = _C(exchange.GetDepth)
    askprice = depth.Asks[0].Price-0.01
    bidprice = depth.Bids[0].Price+0.01
    if bidprice<askprice:
        bidprice = askprice+0.01
    CancelPendingOrders()
    
    exchange.Sell(askprice,30)
    exchange.Buy(bidprice,30)


def main():
    while (true):
        onTick()
        Sleep(2000)

More

小小梦 可以看下这个帖子: https://www.fmz.com/bbs-topic/662 实盘级别回测 和 模拟级别回测 回测机制不同。