修复分钟频率open_auction拿有夜盘品种的价格有误

ricequant · Sep 7, 2023 · 447ad16 · 447ad16
1 parent 7cceee9
commit 447ad16
Show file tree

Hide file tree

Showing 2 changed files with 45 additions and 2 deletions.
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/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 +59,46 @@ 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)
+
+    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()