支持指数上市前的行情

ricequant · Apr 9, 2024 · 2ad8af0 · 2ad8af0
1 parent 8b865d9
commit 2ad8af0
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Showing 4 changed files with 33 additions and 7 deletions.
diff --git a/rqalpha/data/base_data_source/data_source.py b/rqalpha/data/base_data_source/data_source.py
@@ -42,7 +42,7 @@
                        ExchangeTradingCalendarStore, FutureDayBarStore,
                        FutureInfoStore, FuturesTradingParametersStore,InstrumentStore,
                        ShareTransformationStore, SimpleFactorStore,
-                       YieldCurveStore)
+                       YieldCurveStore, FuturesTradingParameters)
 
 
 BAR_RESAMPLE_FIELD_METHODS = {
@@ -405,3 +405,8 @@ def get_open_auction_volume(self, instrument, dt):
         # type: (Instrument, datetime.datetime) -> float
         volume = self.get_open_auction_bar(instrument, dt)['volume']
         return volume
+
+    def get_index_available_data_range(self, instrument: Instrument) -> Optional[tuple]:
+        if instrument.type == INSTRUMENT_TYPE.INDX:
+            s, e = self._day_bars[INSTRUMENT_TYPE.INDX].get_date_range(instrument.order_book_id)
+            return convert_int_to_date(s).date(), convert_int_to_date(e).date()
diff --git a/rqalpha/data/data_proxy.py b/rqalpha/data/data_proxy.py
@@ -326,5 +326,7 @@ def get_algo_bar(self, id_or_ins, order_style, dt):
             return np.nan, 0
         bar = self._data_source.get_algo_bar(id_or_ins, order_style.start_min, order_style.end_min, dt)
         return (bar[order_style.TYPE], bar["volume"]) if bar else (np.nan, 0)
-
+
+    def get_index_available_data_range(self, instrument: Instrument) -> Optional[tuple]:
+        return self._data_source.get_index_available_data_range(instrument)
 
diff --git a/rqalpha/interface.py b/rqalpha/interface.py
@@ -510,6 +510,17 @@ def get_algo_bar(self, id_or_ins, start_min, end_min, dt):
         # type: (Union[str, Instrument], int, int, datetime) -> Optional[numpy.void]
         # 格式: (date, VWAP, TWAP, volume) -> 案例 (20200102, 16.79877183, 16.83271429, 144356044)
         raise NotImplementedError
+
+    def get_index_available_data_range(self, instrument):
+        """
+        获取指数行情可用数据区间（指数上市前也可能存在行情）
+
+        :param instrument: 合约对象
+        :type instrument: :class:`~Instrument`
+
+        :return: (earliest, latest)
+        """
+        raise NotImplementedError
 
 
 class AbstractBroker(with_metaclass(abc.ABCMeta)):

diff --git a/rqalpha/mod/rqalpha_mod_sys_analyser/mod.py b/rqalpha/mod/rqalpha_mod_sys_analyser/mod.py
@@ -142,11 +142,19 @@ def _subscribe_events(self, event):
                     raise RuntimeError(
                         _("benchmark {} not exists, please entry correct order_book_id").format(order_book_id)
                     )
-                if ins.listed_date.date() > _s or ins.de_listed_date.date() <= _e:
-                    raise RuntimeError(
-                        _("benchmark {} listed date {} > backtest start date {} or de_listed date {} <= backtest end "
-                          "date {}").format(order_book_id, ins.listed_date.date(), _s, ins.de_listed_date.date(), _e)
-                    )
+                if ins.type == INSTRUMENT_TYPE.INDX:
+                    available_s, available_e = self._env.data_proxy.get_index_available_data_range(ins)
+                    if available_s > _s or available_e <= _e:
+                        raise RuntimeError(
+                            _("benchmark {} available data start date {} > backtest start date {} or end date {} <= backtest end "
+                          "date {}").format(order_book_id, available_s, _s, available_e, _e)
+                        )
+                else:
+                    if ins.listed_date.date() > _s or ins.de_listed_date.date() <= _e:
+                        raise RuntimeError(
+                            _("benchmark {} listed date {} > backtest start date {} or de_listed date {} <= backtest end "
+                              "date {}").format(order_book_id, ins.listed_date.date(), _s, ins.de_listed_date.date(), _e)
+                        )
 
         self._env.event_bus.add_listener(EVENT.TRADE, self._collect_trade)
         self._env.event_bus.add_listener(EVENT.ORDER_CREATION_PASS, self._collect_order)