fix

rqalpha/mod/rqalpha_mod_sys_simulation/matcher.py

@@ -309,8 +309,11 @@ def match(self, account, order, open_auction):  # type: (Account, Order, bool) -
         if instrument.during_call_auction(self._env.calendar_dt):
             # 集合竞价时段内撮合无视 matching_type 的设置，直接使用 last 进行撮合
             deal_price = _cur_tick.last
+            # 集合竞价默认开启成交量限制，用来保证在集合竞价中只有一笔成交
+            _volume_limit_flag = True
         else:
             deal_price = self._deal_price_decider(order_book_id, order.side)
+            _volume_limit_flag = self._volume_limit
 
         # 确认价格是否有效
         if not is_valid_price(deal_price):
@@ -374,7 +377,7 @@ def match(self, account, order, open_auction):  # type: (Account, Order, bool) -
                     return
 
         # 是否开启成交量限制
-        if self._volume_limit:
+        if _volume_limit_flag:
             # 获取上一个tick
             _last_tick = self._get_last_tick(order_book_id)
 
@@ -392,7 +395,8 @@ def match(self, account, order, open_auction):  # type: (Account, Order, bool) -
             volume_limit = (volume_limit // instrument.round_lot) * instrument.round_lot
 
             if volume_limit <= 0:
-                if order.type == ORDER_TYPE.MARKET:
+                # 集合竞价无法撤单
+                if order.type == ORDER_TYPE.MARKET and not instrument.during_call_auction(self._env.calendar_dt):
                     reason = _(u"Order Cancelled: market order {order_book_id} volume {order_volume}"
                                u" due to volume limit").format(
                         order_book_id=order.order_book_id,
@@ -402,7 +406,10 @@ def match(self, account, order, open_auction):  # type: (Account, Order, bool) -
                 return
 
             # 实际成交数量
-            fill = min(order.unfilled_quantity, volume_limit)
+            if self._volume_limit:
+                fill = min(order.unfilled_quantity, volume_limit)
+            else:
+                fill = order.unfilled_quantity
         else:
             # 下单数量就是成交数量
             fill = order.unfilled_quantity
@@ -499,6 +506,9 @@ def match(self, account, order, open_auction):
         if instrument.during_call_auction(self._env.trading_dt):
             # 集合竞价期间一律使用last
             matching_price = self._cur_tick[order_book_id].last
+            _volume_limit_flag = True
+        else:
+            _volume_limit_flag = self._volume_limit
 
         if matching_price != matching_price:
             return
@@ -512,7 +522,7 @@ def match(self, account, order, open_auction):
                 return
 
         # 成交量限制
-        if self._volume_limit:
+        if _volume_limit_flag:
             # 获取tick
             _last_tick = self._get_last_tick(order_book_id)
             _cur_tick = self._cur_tick[order_book_id]
@@ -530,15 +540,24 @@ def match(self, account, order, open_auction):
             # 对成交量根据 1手 : n股 的比例进行限制
             volume_limit = (volume_limit // instrument.round_lot) * instrument.round_lot
 
-            # 没成交量
-            if volume_limit == 0:
+            if volume_limit <= 0:
+                # 集合竞价无法撤单
+                if order.type == ORDER_TYPE.MARKET and not instrument.during_call_auction(self._env.calendar_dt):
+                    reason = _(u"Order Cancelled: market order {order_book_id} volume {order_volume}"
+                               u" due to volume limit").format(
+                        order_book_id=order.order_book_id,
+                        order_volume=order.quantity
+                    )
+                    order.mark_cancelled(reason)
                 return
 
-            if instrument.during_call_auction(self._env.trading_dt):
-                # 集合竞价期间不看档位
-                fill = min(order.unfilled_quantity, volume_limit)
+            if self._volume_limit:
+                if instrument.during_call_auction(self._env.trading_dt):
+                    fill = min(order.unfilled_quantity, volume_limit)
+                else:
+                    fill = min(order.unfilled_quantity, amount, volume_limit)
             else:
-                fill = min(order.unfilled_quantity, amount, volume_limit)
+                fill = min(order.unfilled_quantity, amount)
         else:
             fill = min(order.unfilled_quantity, amount)
 

rqalpha/model/instrument.py

@@ -395,14 +395,13 @@ def during_call_auction(self, dt):
             # 9:30 前或 14:57 之后为集合竞价
             return _minute < 9 * 60 + 30 or _minute >= 14 * 60 + 57
         elif self.type == INSTRUMENT_TYPE.FUTURE:
-            # TODO：期货收盘集合竞价时间
             # 期货开盘时间
             start_time = self.trading_hours[0].start
 
             # -1 是因为获取到的时间都是开盘后1分钟，如 09:31
             start_minute = start_time.hour * 60 + start_time.minute - 1
 
-            # 开盘集合竞价时间段为开盘前5分钟
+            # 开盘集合竞价时间段为开盘前5分钟，期货无收盘集合竞价
             return start_minute - 5 <= _minute < start_minute
         else:
             # 其他品种由子类实现