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snake3342 avatar snake3342 commented on May 28, 2024

well，在实盘的时候，假设我们现在是9:35分，使用的是15分钟bar，你backtest的时候如果在9:35使用本bar的close，你就相当于读取了未来数据——9:45的价格。当然是不应该的吧？

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chopchopjames avatar chopchopjames commented on May 28, 2024

@snake3342 正解

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geraybos avatar geraybos commented on May 28, 2024

事实上我觉得 @fanchangyong 的需求是有意义的，虽然我不知道在目前的框架下如何实现。也就是说基本上只把bar看作在结束时刻的一个以close成交的trade，并且马上下单的话以该close成交，或者以close+slippage成交。否则如果以下一个open成交的话滑点太大。 @chopchopjames @snake3342

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