Merge pull request ricequant#825 from ricequant/develop

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PaRaD1SE98 · Nov 29, 2023 · 3fd540e · 3fd540e
2 parents 0fd8f89 + adc0d31
commit 3fd540e
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diff --git a/.github/workflows/test.yml b/.github/workflows/test.yml
@@ -11,7 +11,7 @@ jobs:
     # Checks out a copy of your repository on the ubuntu-latest machine
     - uses: actions/checkout@v2
     - name: Set up Python
-      uses: actions/setup-python@v1
+      uses: actions/setup-python@v2
       with:
         python-version: ${{ matrix.python-version }}
     - name: Cache bundle

diff --git a/CHANGELOG.rst b/CHANGELOG.rst
@@ -2,6 +2,24 @@
 CHANGELOG
 ==================
 
+5.3.3
+==================
+- 修复平今数量的计算异常
+
+5.3.2
+==================
+- 修复导出的分析报告出现乱码的异常
+
+5.3.1
+==================
+- 新增检查基准上市时段是否满足回测时间范围
+- 修复分钟回测中挂单在非交易时间内被拒单的异常
+
+5.3.0
+==================
+- 策略参数配置 extra 下 新增 log_file 用于将日志输出到文件
+- 修复期货分钟回测open_auction拿到的最新价有误(signal模式)
+
 5.2.1
 ==================
 - 修复期货分钟回测open_auction拿到的最新价有误

diff --git a/rqalpha/config.yml b/rqalpha/config.yml
@@ -52,3 +52,5 @@ extra:
   is_hold: false
   locale: ~
   logger: []
+  # 日志输出文件
+  log_file: ~
diff --git a/rqalpha/data/bar_dict_price_board.py b/rqalpha/data/bar_dict_price_board.py
@@ -26,7 +26,7 @@ def __init__(self):
 
     def _get_bar(self, order_book_id):
         if ExecutionContext.phase() == EXECUTION_PHASE.OPEN_AUCTION:
-            return self._env.data_proxy.get_open_auction_bar(order_book_id, self._env.calendar_dt)
+            return self._env.data_proxy.get_open_auction_bar(order_book_id, self._env.trading_dt)
         return self._env.get_bar(order_book_id)
 
     def get_last_price(self, order_book_id):

diff --git a/rqalpha/data/bundle.py b/rqalpha/data/bundle.py
@@ -246,8 +246,8 @@ def __call__(self, *args, **kwargs):
         yield self._step
 
 
-STOCK_FIELDS = ['open', 'close', 'high', 'low', 'limit_up', 'limit_down', 'volume', 'total_turnover']
-INDEX_FIELDS = ['open', 'close', 'high', 'low', 'volume', 'total_turnover']
+STOCK_FIELDS = ['open', 'close', 'high', 'low', 'prev_close', 'limit_up', 'limit_down', 'volume', 'total_turnover']
+INDEX_FIELDS = ['open', 'close', 'high', 'low', 'prev_close', 'volume', 'total_turnover']
 FUTURES_FIELDS = STOCK_FIELDS + ['settlement', 'prev_settlement', 'open_interest']
 FUND_FIELDS = STOCK_FIELDS
 

diff --git a/rqalpha/main.py b/rqalpha/main.py
@@ -303,3 +303,7 @@ def set_loggers(config):
 
     for logger_name, level in extra_config.logger:
         getattr(logger, logger_name).level = getattr(logbook, level.upper())
+
+    if extra_config.log_file:
+        logbook.FileHandler(filename=extra_config.log_file, mode="a").push_application()
+
diff --git a/rqalpha/mod/rqalpha_mod_sys_accounts/position_model.py b/rqalpha/mod/rqalpha_mod_sys_accounts/position_model.py
@@ -260,9 +260,11 @@ def pnl(self):
         # type: () -> float
         return super(FuturePosition, self).pnl * self.contract_multiplier
 
-    def calc_close_today_amount(self, trade_amount):
-        close_today_amount = trade_amount - self.old_quantity
-        return max(close_today_amount, 0)
+    def calc_close_today_amount(self, trade_amount, position_effect):
+        if position_effect == POSITION_EFFECT.CLOSE_TODAY:
+            return trade_amount if trade_amount <= self.today_quantity else self.today_quantity
+        else:
+            return max(trade_amount - self._old_quantity, 0)
 
     def apply_trade(self, trade):
         if trade.position_effect == POSITION_EFFECT.CLOSE_TODAY:

diff --git a/rqalpha/mod/rqalpha_mod_sys_analyser/mod.py b/rqalpha/mod/rqalpha_mod_sys_analyser/mod.py
@@ -134,10 +134,18 @@ def get_benchmark_daily_returns(self):
 
     def _subscribe_events(self, event):
         if self._benchmark:
+            _s = self._env.config.base.start_date
+            _e = self._env.config.base.end_date
             for order_book_id, weight in self._benchmark:
-                if self._env.data_proxy.instrument(order_book_id) is None:
+                ins = self._env.data_proxy.instrument(order_book_id)
+                if ins is None:
                     raise RuntimeError(
-                        _("benchmark not exists, please entry correct order_book_id").format(order_book_id)
+                        _("benchmark {} not exists, please entry correct order_book_id").format(order_book_id)
+                    )
+                if ins.listed_date.date() > _s or ins.de_listed_date.date() <= _e:
+                    raise RuntimeError(
+                        _("benchmark {} listed date {} > backtest start date {} or de_listed date {} <= backtest end "
+                          "date {}").format(order_book_id, ins.listed_date.date(), _s, ins.de_listed_date.date(), _e)
                     )
 
         self._env.event_bus.add_listener(EVENT.TRADE, self._collect_trade)

diff --git a/rqalpha/mod/rqalpha_mod_sys_analyser/report/report.py b/rqalpha/mod/rqalpha_mod_sys_analyser/report/report.py
@@ -19,6 +19,7 @@
 from typing import Dict, Optional
 
 import numpy
+import pandas
 from collections import ChainMap
 from pandas import Series, DataFrame
 
@@ -152,16 +153,11 @@ def generate_report(result_dict, output_path):
             df["date"] = df["date"].apply(lambda x: x.strftime("%Y-%m-%d"))
             df = df.set_index("date")
 
-        csv_txt = StringIO()
-        try:
-            csv_txt.write(df.to_csv(encoding='utf-8', lineterminator='\n'))
-        except TypeError as e:
+        if pandas.__version__ >= '1.5.0':
+            df.to_csv("{}/{}.csv".format(output_path, name), encoding='utf-8-sig', lineterminator='\n')
+        else:
             # pandas 1.5.0 以下是 line_terminator
-            csv_txt.write(df.to_csv(encoding='utf-8', line_terminator='\n'))
-
-        with open(os.path.join(output_path, "{}.csv".format(name)), 'w') as csvfile:
-            csvfile.write(csv_txt.getvalue())
-
+            df.to_csv("{}/{}.csv".format(output_path, name), encoding='utf-8-sig', line_terminator='\n')
 
 if __name__ == "__main__":
     import pickle

diff --git a/rqalpha/mod/rqalpha_mod_sys_simulation/matcher.py b/rqalpha/mod/rqalpha_mod_sys_simulation/matcher.py
@@ -124,9 +124,12 @@ def match(self, account, order, open_auction):
             elif isinstance(order.style, ALGO_ORDER_STYLES):
                 reason = _(u"Order Cancelled: {order_book_id} bar no volume").format(order_book_id=order.order_book_id)
             else:
-                reason = _(u"Order Cancelled: current bar [{order_book_id}] miss market data.").format(
-                    order_book_id=order.order_book_id)
-            order.mark_rejected(reason)
+                # 撮合的时候无行情数据也不需要撤单，等到有行情再撮合
+                reason = None
+                # reason = _(u"Order Cancelled: current bar [{order_book_id}] miss market data.").format(
+                #     order_book_id=order.order_book_id)
+            if reason:
+                order.mark_rejected(reason)
             return
 
         price_board = self._env.price_board
@@ -186,7 +189,7 @@ def match(self, account, order, open_auction):
         else:
             fill = order.unfilled_quantity
 
-        ct_amount = account.calc_close_today_amount(order_book_id, fill, order.position_direction)
+        ct_amount = account.calc_close_today_amount(order_book_id, fill, order.position_direction, order.position_effect)
 
         if open_auction:
             price = deal_price
@@ -429,7 +432,7 @@ def match(self, account, order, open_auction):  # type: (Account, Order, bool) -
             fill = order.unfilled_quantity
 
         # 平今的数量
-        ct_amount = account.calc_close_today_amount(order_book_id, fill, order.position_direction)
+        ct_amount = account.calc_close_today_amount(order_book_id, fill, order.position_direction, order.position_effect)
 
         # 对价格进行滑点处理
         if instrument.during_call_auction(self._env.calendar_dt):
@@ -579,7 +582,7 @@ def match(self, account, order, open_auction):
         else:
             fill = min(order.unfilled_quantity, amount)
 
-        ct_amount = account.calc_close_today_amount(order_book_id, fill, order.position_direction)
+        ct_amount = account.calc_close_today_amount(order_book_id, fill, order.position_direction, order.position_effect)
 
         trade = Trade.__from_create__(
             order_id=order.order_id,

diff --git a/rqalpha/mod/rqalpha_mod_sys_simulation/signal_broker.py b/rqalpha/mod/rqalpha_mod_sys_simulation/signal_broker.py
@@ -109,7 +109,7 @@ def _match(self, account, order):
                     ))
                     return
 
-        ct_amount = account.calc_close_today_amount(order_book_id, order.quantity, order.position_direction)
+        ct_amount = account.calc_close_today_amount(order_book_id, order.quantity, order.position_direction, order.position_effect)
         trade_price = self._slippage_decider.get_trade_price(order, deal_price)
         trade = Trade.__from_create__(
             order_id=order.order_id,

diff --git a/rqalpha/mod/rqalpha_mod_sys_simulation/simulation_broker.py b/rqalpha/mod/rqalpha_mod_sys_simulation/simulation_broker.py
@@ -119,7 +119,7 @@ def submit_order(self, order):
         order.active()
         self._env.event_bus.publish_event(Event(EVENT.ORDER_CREATION_PASS, account=account, order=order))
         if self._match_immediately:
-            self._match(self._env.calendar_dt)
+            self._match()
 
     def cancel_order(self, order):
         account = self._env.get_account(order.order_book_id)
@@ -158,19 +158,17 @@ def pre_settlement(self, __):
     def on_bar(self, event):
         for matcher in self._matchers.values():
             matcher.update(event)
-        self._match(event.calendar_dt)
+        self._match()
 
     def on_tick(self, event):
         tick = event.tick
         self._get_matcher(tick.order_book_id).update(event)
-        self._match(event.calendar_dt, tick.order_book_id)
+        self._match(tick.order_book_id)
 
-    def _match(self, dt, order_book_id=None):
+    def _match(self, order_book_id=None):
         # 撮合未完成的订单，若指定标的时只撮合指定的标的的订单
-        order_filter = lambda a_and_o: (not a_and_o[1].is_final()) and (True if order_book_id is None else a_and_o[1].order_book_id == order_book_id)
-        # + 需要在交易时段内
-        open_order_filter = lambda a_and_o: order_filter(a_and_o) and self._env.data_proxy.instrument(a_and_o[1].order_book_id).during_continuous_auction(dt.time())
-        for account, order in filter(open_order_filter, self._open_orders):
+        order_filter = lambda a_and_o: not (a_and_o[1].is_final() or (order_book_id and a_and_o[1].order_book_id != order_book_id))
+        for account, order in filter(order_filter, self._open_orders):
             self._get_matcher(order.order_book_id).match(account, order, open_auction=False)
         for account, order in filter(order_filter, self._open_auction_orders):
             self._get_matcher(order.order_book_id).match(account, order, open_auction=True)

diff --git a/rqalpha/portfolio/account.py b/rqalpha/portfolio/account.py
@@ -179,8 +179,8 @@ def get_position(self, order_book_id: str, direction: POSITION_DIRECTION = POSIT
         except KeyError:
             return Position(order_book_id, direction)
 
-    def calc_close_today_amount(self, order_book_id, trade_amount, position_direction):
-        return self._get_or_create_pos(order_book_id, position_direction).calc_close_today_amount(trade_amount)
+    def calc_close_today_amount(self, order_book_id, trade_amount, position_direction, position_effect):
+        return self._get_or_create_pos(order_book_id, position_direction).calc_close_today_amount(trade_amount, position_effect)
 
     @property
     def type(self):

diff --git a/rqalpha/portfolio/position.py b/rqalpha/portfolio/position.py
@@ -252,7 +252,7 @@ def settlement(self, trading_date):
     def update_last_price(self, price):
         self._last_price = price
 
-    def calc_close_today_amount(self, trade_amount):
+    def calc_close_today_amount(self, trade_amount, position_effect):
         return 0
 
     @property

diff --git a/rqalpha/utils/translations/zh_Hans_CN/LC_MESSAGES/messages.mo b/rqalpha/utils/translations/zh_Hans_CN/LC_MESSAGES/messages.mo
diff --git a/rqalpha/utils/translations/zh_Hans_CN/LC_MESSAGES/messages.po b/rqalpha/utils/translations/zh_Hans_CN/LC_MESSAGES/messages.po
@@ -192,8 +192,11 @@ msgstr "Bundle日线数据不完整，请及时更新bundle"
 msgid "good bundle's day bar"
 msgstr "Bundle日线数据良好"
 
-msgid "benchmark not exists, please entry correct order_book_id"
-msgstr "当前使用的基准合约信息不存在，请输入正确的合约"
+msgid "benchmark {} not exists, please entry correct order_book_id"
+msgstr "基准标的({})信息不存在，请输入正确的标的代码"
+
+msgid "benchmark {} listed date {} > backtest start date {} or de_listed date {} <= backtest end date {}"
+msgstr "基准标的({})上市日期({})晚于回测起始日期({})或退市日期({})早于回测结束日期({})"
 
 #: rqalpha/cmds/bundle.py:105
 msgid ""

diff --git a/setup.cfg b/setup.cfg
@@ -5,7 +5,7 @@
 
 [metadata]
 name = rqalpha
-version = 5.2.1
+version = 5.3.3
 
 [versioneer]
 VCS = git

diff --git a/tests/api_tests/mod/sys_simulation/test_signal_broker.py b/tests/api_tests/mod/sys_simulation/test_signal_broker.py
@@ -22,6 +22,7 @@
         "frequency": "1d",
         "accounts": {
             "stock": 1000000,
+            "future": 1000000
         }
     },
     "extra": {
@@ -53,3 +54,23 @@ def handle_bar(context, bar_dict):
         assert get_position(stock).avg_price == price
 
     return locals()
+
+
+def test_signal_open_auction():
+
+    def init(context):
+        context.fixed = True
+
+    def open_auction(context, bar_dict):
+        if context.fixed:
+            order_shares("000001.XSHE", 1000)
+            buy_open("AU1512", 1)
+            pos = get_position("000001.XSHE")
+            assert pos.quantity == 1000
+            assert pos.avg_price == 18.0
+            pos = get_position("AU1512")
+            assert pos.quantity == 1
+            assert pos.avg_price == 242.2
+            context.fixed = False
+
+    return locals()
diff --git a/tests/outs/test_f_mean_reverting.pkl b/tests/outs/test_f_mean_reverting.pkl