撮合过程中若缺失数据则跳过此次撮合

PaRaD1SE98 · Oct 31, 2023 · 5747782 · 5747782
1 parent 69b5448
commit 5747782
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Showing 2 changed files with 12 additions and 11 deletions.
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

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)