修复position.last_price为nan时的异常;增加3.11的测试

ricequant · Mar 23, 2023 · 14fe9e1 · 14fe9e1
1 parent 2721fcb
commit 14fe9e1
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Showing 4 changed files with 11 additions and 12 deletions.
diff --git a/.github/workflows/test.yml b/.github/workflows/test.yml
@@ -6,7 +6,7 @@ jobs:
     runs-on: ubuntu-20.04
     strategy:
       matrix:
-        python-version: ["3.6", "3.7", "3.8", "3.9", "3.10"]
+        python-version: ["3.6", "3.7", "3.8", "3.9", "3.10", "3.11"]
     steps:
     # Checks out a copy of your repository on the ubuntu-latest machine
     - uses: actions/checkout@v2

diff --git a/rqalpha/data/bar_dict_price_board.py b/rqalpha/data/bar_dict_price_board.py
@@ -17,7 +17,7 @@
 from rqalpha.interface import AbstractPriceBoard
 from rqalpha.environment import Environment
 from rqalpha.core.execution_context import ExecutionContext
-from rqalpha.const import EXECUTION_PHASE
+from rqalpha.const import EXECUTION_PHASE, POSITION_DIRECTION
 
 
 class BarDictPriceBoard(AbstractPriceBoard):
@@ -30,6 +30,8 @@ def _get_bar(self, order_book_id):
         return self._env.get_bar(order_book_id)
 
     def get_last_price(self, order_book_id):
+        if ExecutionContext.phase() == EXECUTION_PHASE.BEFORE_TRADING:
+            return self._env.portfolio.get_position(order_book_id, POSITION_DIRECTION.LONG).prev_close
         return self._get_bar(order_book_id).last
 
     def get_limit_up(self, order_book_id):

diff --git a/rqalpha/data/data_proxy.py b/rqalpha/data/data_proxy.py
@@ -130,9 +130,7 @@ def get_prev_close(self, order_book_id, dt):
 
     @lru_cache(10240)
     def _get_prev_settlement(self, instrument, dt):
-        prev_trading_date = self.get_previous_trading_date(dt)
-        bar = self._data_source.history_bars(instrument, 1, '1d', 'settlement', prev_trading_date,
-                                             skip_suspended=False, adjust_orig=dt)
+        bar = self._data_source.history_bars(instrument, 1, '1d', 'prev_settlement', dt, skip_suspended=False)
         if bar is None or len(bar) == 0:
             return np.nan
         return bar[0]

diff --git a/rqalpha/portfolio/position.py b/rqalpha/portfolio/position.py
@@ -119,12 +119,15 @@ def avg_price(self):
     def trading_pnl(self):
         # type: () -> float
         trade_quantity = self._quantity - self._logical_old_quantity
-        return (trade_quantity * self.last_price - self._trade_cost) * self._direction_factor
+        return (trade_quantity * self.last_price - self._trade_cost) * self._direction_factor if trade_quantity else 0
 
     @property
     def position_pnl(self):
         # type: () -> float
-        return self._logical_old_quantity * (self.last_price - self.prev_close) * self._direction_factor
+        if self._logical_old_quantity:
+            return self._logical_old_quantity * (self.last_price - self.prev_close) * self._direction_factor
+        else:
+            return 0
 
     @property
     def pnl(self):
@@ -152,12 +155,8 @@ def prev_close(self):
 
     @property
     def last_price(self):
-        if not self._last_price:
+        if not is_valid_price(self._last_price):
             self._last_price = self._env.data_proxy.get_last_price(self._order_book_id)
-            if not is_valid_price(self._last_price):
-                raise RuntimeError(_("invalid price of {order_book_id}: {price}").format(
-                    order_book_id=self._order_book_id, price=self._last_price
-                ))
         return self._last_price
 
     @property