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期货如何消除跳空.有什么算法吗Pinned highlighted

imcfy 0 发表在策略研究 2019-03-09 15:56:44

策略研究
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以下是期货 rb1905 的bar数据.3点到9点有明显跳空
bar开始时间:2019-03-08 14:40:00,open:3778.0, close:3774.0, high:3779.0 low:3773.0
bar开始时间:2019-03-08 14:45:00,open:3774.0, close:3771.0, high:3777.0 low:3771.0
bar开始时间:2019-03-08 14:50:00,open:3771.0, close:3772.0, high:3776.0 low:3769.0
bar开始时间:2019-03-08 14:55:00,open:3773.0, close:3772.0, high:3777.0 low:3770.0
bar开始时间:2019-03-08 21:00:00,open:3710.0, close:3720.0, high:3733.0 low:3689.0
bar开始时间:2019-03-08 21:05:00,open:3719.0, close:3723.0, high:3727.0 low:3716.0
bar开始时间:2019-03-08 21:10:00,open:3723.0, close:3732.0, high:3734.0 low:3720.0
bar开始时间:2019-03-08 21:15:00,open:3732.0, close:3733.0, high:3733.0 low:3726.0
bar开始时间:2019-03-08 21:20:00,open:3733.0, close:3731.0, high:3733.0 low:3727.0

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