Merge pull request ricequant#813 from ricequant/develop

Develop
PaRaD1SE98 · Sep 15, 2023 · 0fd8f89 · 0fd8f89
2 parents 09ef170 + 59f94b7
commit 0fd8f89
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diff --git a/CHANGELOG.rst b/CHANGELOG.rst
@@ -2,6 +2,11 @@
 CHANGELOG
 ==================
 
+5.2.1
+==================
+- 修复期货分钟回测open_auction拿到的最新价有误
+- 修复当日无成交量时算法单有误
+
 5.2.0
 ==================
 - report年度指标新增超额夏普比率

diff --git a/rqalpha/data/data_proxy.py b/rqalpha/data/data_proxy.py
@@ -314,6 +314,10 @@ def get_algo_bar(self, id_or_ins, order_style, dt):
             id_or_ins = self.instrument(id_or_ins)
         if id_or_ins is None:
             return np.nan, 0
+        # 存在一些有日线没分钟线的情况,如果不是缺了,通常都是因为volume为0,用日线先判断确认下
+        day_bar = self.get_bar(order_book_id=id_or_ins.order_book_id, dt=dt, frequency="1d")
+        if day_bar.volume == 0:
+            return np.nan, 0
         bar = self._data_source.get_algo_bar(id_or_ins, order_style.start_min, order_style.end_min, dt)
         return (bar[order_style.TYPE], bar["volume"]) if bar else (np.nan, 0)
 

diff --git a/rqalpha/mod/rqalpha_mod_sys_simulation/matcher.py b/rqalpha/mod/rqalpha_mod_sys_simulation/matcher.py
@@ -78,14 +78,14 @@ def _vwap_decider(self, order_book_id, _):
             return 0
 
     def _open_auction_deal_price_decider(self, order_book_id, _):
-        return self._env.data_proxy.get_open_auction_bar(order_book_id, self._env.calendar_dt).open
+        return self._env.data_proxy.get_open_auction_bar(order_book_id, self._env.trading_dt).open
 
     SUPPORT_POSITION_EFFECTS = (POSITION_EFFECT.OPEN, POSITION_EFFECT.CLOSE, POSITION_EFFECT.CLOSE_TODAY)
     SUPPORT_SIDES = (SIDE.BUY, SIDE.SELL)
 
     def _get_bar_volume(self, order, open_auction=False):
         if open_auction:
-            volume = self._env.data_proxy.get_open_auction_bar(order.order_book_id, self._env.calendar_dt).volume
+            volume = self._env.data_proxy.get_open_auction_bar(order.order_book_id, self._env.trading_dt).volume
         else:
             if isinstance(order.style, ALGO_ORDER_STYLES):
                 _, volume = self._env.data_proxy.get_algo_bar(order.order_book_id, order.style, self._env.calendar_dt)

diff --git a/rqalpha/model/bar.py b/rqalpha/model/bar.py
@@ -361,7 +361,8 @@ def __getitem__(self, key):
                 if not self._dt:
                     return BarObject(instrument, NANDict, self._dt)
                 if ExecutionContext.phase() == EXECUTION_PHASE.OPEN_AUCTION:
-                    bar = self._data_proxy.get_open_auction_bar(order_book_id, self._dt)
+                    trading_date = self._dt if self._frequency == "1d" else self._data_proxy.get_trading_dt(self._dt).date()
+                    bar = self._data_proxy.get_open_auction_bar(order_book_id, trading_date)
                 else:
                     bar = self._data_proxy.get_bar(order_book_id, self._dt, self._frequency)
             except PermissionError:

diff --git a/setup.cfg b/setup.cfg
@@ -5,7 +5,7 @@
 
 [metadata]
 name = rqalpha
-version = 5.2.0
+version = 5.2.1
 
 [versioneer]
 VCS = git

diff --git a/tests/api_tests/mod/sys_simulation/test_simulation_event_source.py b/tests/api_tests/mod/sys_simulation/test_simulation_event_source.py
@@ -59,3 +59,48 @@ def handle_bar(context, bar_dict):
         assert context.open_auction_prices == (bar.open, bar.limit_up, bar.limit_down, bar.prev_close)
 
     return locals()
+
+
+def test_open_auction_1m():
+    """ 测试分钟回测下的open_auction """
+
+    try:
+        import rqalpha_plus
+    except ImportError:
+        print("非本地不执行分钟频率测试")
+        return {}
+
+    __config__ = {
+        "base": {
+            "start_date": "2023-03-17",
+            "end_date": "2023-03-17",
+            "frequency": "1m",
+            "accounts": {
+                "stock": 100000,
+                "future": 1000000,
+            }
+        },
+        "mod": {
+            "ricequant_data": {
+                "enabled": True,
+            }
+        }
+    }
+
+    def init(context):
+        subscribe("AU2306")
+        subscribe("000001.XSHE")
+
+    def open_auction(context, bar_dict):
+        buy_open("AU2306", 1)
+        order_shares("000001.XSHE", 100)
+        assert bar_dict["AU2306"].last == 432.58, "期货分钟频率open_auction价格有误"
+        assert bar_dict["000001.XSHE"].last == 12.99, "股票分钟频率open_auction价格有误"
+
+    def handle_bar(context, bar_dict):
+        pos = get_position("AU2306")
+        assert pos.avg_price == 432.58, "期货分钟频率open_auction价格有误"
+        pos = get_position("000001.XSHE")
+        assert pos.avg_price == 12.99, "股票分钟频率open_auction价格有误"
+
+    return locals()