Scheduling and Filtering a Chinese Futures Market Data Recorder

Summary

This example describes a way to run a VeighNa recorder for Chinese futures data during market sessions. A parent process checks the clock and starts a child process during configured daytime and overnight windows, then terminates it outside those periods. The recorder subclass can queue tick and bar records after filtering out specified overnight downtime and a short intraday break for several exchanges.

The code is presented as an update for newer VeighNa versions and imports a CTP gateway and recorder components. However, it gives no recorded-data examples, reliability measurements, or trading results. Several relevant methods are commented out, including contract-event handling that would subscribe to instruments, and the child process loop shown does not itself demonstrate starting recordings. The session times and filters are fixed in code, so they may need adjustment for exchange schedules, instruments, and the user's recording setup.

Key ideas

• A parent process can start and stop a recorder according to configured futures trading hours.
• The recorder filters tick and bar data by time of day, including selected intraday breaks.
• The example uses a CTP gateway and a custom recorder engine in VeighNa.
• Contract subscription and some event-handling logic are commented out, limiting what the snippet demonstrates.
• The schedule and time filters are fixed values that may need changes for the intended exchanges and sessions.

Tags

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.