fix; add test

rqalpha/mod/rqalpha_mod_sys_simulation/signal_broker.py

@@ -24,11 +24,10 @@
 from rqalpha.utils.logger import user_system_log
 from rqalpha.utils.i18n import gettext as _
 from rqalpha.utils import is_valid_price
-from rqalpha.core.execution_context import ExecutionContext
 from rqalpha.core.events import EVENT, Event
 from rqalpha.model.trade import Trade
 from rqalpha.model.order import ALGO_ORDER_STYLES
-from rqalpha.const import SIDE, ORDER_TYPE, POSITION_EFFECT, EXECUTION_PHASE
+from rqalpha.const import SIDE, ORDER_TYPE, POSITION_EFFECT
 
 from .slippage import SlippageDecider
 
@@ -38,11 +37,9 @@ def __init__(self, env, mod_config):
         self._env = env
         self._slippage_decider = SlippageDecider(mod_config.slippage_model, mod_config.slippage)
         self._price_limit = mod_config.price_limit
-        self._open_orders = []
-        self._env.event_bus.add_listener(EVENT.BAR, self.on_bar)
 
     def get_open_orders(self, order_book_id=None):
-        return [order for _, order in self._open_orders]
+        return []
 
     def submit_order(self, order):
         if order.position_effect == POSITION_EFFECT.EXERCISE:
@@ -53,23 +50,12 @@ def submit_order(self, order):
             return
         order.active()
         self._env.event_bus.publish_event(Event(EVENT.ORDER_CREATION_PASS, account=account, order=order))
-        instrument = self._env.data_proxy.instrument(order.order_book_id)
-        if ExecutionContext.phase() == EXECUTION_PHASE.ON_BAR and not instrument.during_continuous_auction(self._env.calendar_dt):
-            self._open_orders.append((account, order))
-        else:
-            self._match(account, order)
+        self._match(account, order)
 
     def cancel_order(self, order):
         user_system_log.warn(_(u"cancel_order function is not supported in signal mode"))
         return None
 
-    def on_bar(self, event):
-        for account, order in self._open_orders:
-            instrument = self._env.data_proxy.instrument(order.order_book_id)
-            if not order.is_final() and instrument.during_continuous_auction(self._env.calendar_dt):
-                self._match(account, order)
-        self._open_orders = [(a, o) for a, o in self._open_orders if not o.is_final()]
-
     def _match(self, account, order):
         order_book_id = order.order_book_id
         price_board = self._env.price_board

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._match(self._env.calendar_dt)
 
     def cancel_order(self, order):
         account = self._env.get_account(order.order_book_id)
@@ -158,23 +158,18 @@ def pre_settlement(self, __):
     def on_bar(self, event):
         for matcher in self._matchers.values():
             matcher.update(event)
-        self._match()
+        self._match(event.calendar_dt)
 
     def on_tick(self, event):
         tick = event.tick
         self._get_matcher(tick.order_book_id).update(event)
-        self._match(tick.order_book_id)
-
-    def _match(self, order_book_id=None):
-        order_filter = lambda a_and_o: all([
-            not a_and_o[1].is_final(),                                                          # 订单未完成
-            True if order_book_id is None else a_and_o[1].order_book_id == order_book_id,       # 只撮合指定的订单
-        ])
-        open_order_filter = lambda a_and_o: all([
-            order_filter(a_and_o),
-            # 得在交易时段内
-            self._env.data_proxy.instrument(a_and_o[1].order_book_id).during_continuous_auction(self._env.calendar_dt)
-        ])
+        self._match(event.calendar_dt, tick.order_book_id)
+
+    def _match(self, dt, 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):
             self._get_matcher(order.order_book_id).match(account, order, open_auction=False)
         for account, order in filter(order_filter, self._open_auction_orders):

rqalpha/model/instrument.py

@@ -375,10 +375,11 @@ def trading_hours(self):
                 trading_period.append(TimeRange(start, end))
         return trading_period
 
-    def during_continuous_auction(self, dt):
+    def during_continuous_auction(self, time):
+        # type: (datetime.time) -> bool
         """ 是否处于连续竞价时间段内 """
         for time_range in self.trading_hours:
-            if time_range.start <= dt.time() <= time_range.end:
+            if time_range.start <= time <= time_range.end:
                 return True
         return False
 

tests/api_tests/mod/sys_simulation/test_match.py

@@ -0,0 +1,66 @@
+# -*- coding: utf-8 -*-
+# 版权所有 2019 深圳米筐科技有限公司（下称“米筐科技”）
+#
+# 除非遵守当前许可，否则不得使用本软件。
+#
+#     * 非商业用途（非商业用途指个人出于非商业目的使用本软件，或者高校、研究所等非营利机构出于教育、科研等目的使用本软件）：
+#         遵守 Apache License 2.0（下称“Apache 2.0 许可”），
+#         您可以在以下位置获得 Apache 2.0 许可的副本：http://www.apache.org/licenses/LICENSE-2.0。
+#         除非法律有要求或以书面形式达成协议，否则本软件分发时需保持当前许可“原样”不变，且不得附加任何条件。
+#
+#     * 商业用途（商业用途指个人出于任何商业目的使用本软件，或者法人或其他组织出于任何目的使用本软件）：
+#         未经米筐科技授权，任何个人不得出于任何商业目的使用本软件（包括但不限于向第三方提供、销售、出租、出借、转让本软件、
+#         本软件的衍生产品、引用或借鉴了本软件功能或源代码的产品或服务），任何法人或其他组织不得出于任何目的使用本软件，
+#         否则米筐科技有权追究相应的知识产权侵权责任。
+#         在此前提下，对本软件的使用同样需要遵守 Apache 2.0 许可，Apache 2.0 许可与本许可冲突之处，以本许可为准。
+#         详细的授权流程，请联系 public@ricequant.com 获取。
+import os
+
+__config__ = {
+    "base": {
+        "frequency": "1d",
+        "accounts": {
+            "future": 1000000,
+        }
+    }
+}
+
+
+def test_match():
+
+    try:
+        import rqalpha_mod_ricequant_data
+    except Exception:
+        print("github上无数据，跳过测试，仅在本地测试")
+        return {}
+
+    __config__ = {
+        "base": {
+            "data_bundle_path": os.path.expanduser("~/.rqalpha-plus/bundle"),
+            "start_date": "2023-07-07",
+            "end_date": "2023-07-07",
+            "frequency": "1m",
+            "accounts": {
+                "future": 1000000,
+            }
+        },
+        "mod": {
+            "ricequant_data": {
+            "enabled": True
+        }
+        }
+    }
+
+    def init(context):
+        context.order = None
+        subscribe("ZN2309")
+        subscribe("RR2309")
+
+    def handle_bar(context, bar_dict):
+        dt_str = context.now.strftime("%Y%m%d%H%M%S")
+        if dt_str == "20230706210100":
+            context.order = buy_open("RR2309", 1, price_or_style=3500)
+        if dt_str == "20230706230200":
+            assert "订单被拒单: [RR2309] 当前缺失市场数据。" != context.order._message, "不能在非交易时段尝试撮合"
+
+    return locals()