0.9.33 fix bug

waditu · Oct 24, 2023 · 6e73d67 · 6e73d67
1 parent 394f9bd
commit 6e73d67
Showing 1 changed file with 3 additions and 1 deletion.
diff --git a/czsc/utils/trade.py b/czsc/utils/trade.py
@@ -32,12 +32,14 @@ def cal_trade_price(bars: Union[List[RawBar], pd.DataFrame], decimals=3, **kwarg
         df[f"sum_vcp_{t}"] = df['vol_close_prod'].rolling(t).sum()
         df[f"VWAP{t}"] = (df[f"sum_vcp_{t}"] / df[f"sum_vol_{t}"]).shift(-t)
         price_cols.extend([f"TWAP{t}", f"VWAP{t}"])
+        df.drop(columns=[f"sum_vol_{t}", f"sum_vcp_{t}"], inplace=True)
 
+    df.drop(columns=['vol_close_prod'], inplace=True)
     # 用当前K线的收盘价填充交易价中的 nan 值
     for price_col in price_cols:
         df.loc[df[price_col].isnull(), price_col] = df[df[price_col].isnull()]['close']
 
-    df = df[['symbol', 'dt', 'open', 'close', 'high', 'low', 'vol', 'amount'] + price_cols].round(decimals)
+    df[price_cols] = df[price_cols].round(decimals)
     return df