pr update

rqalpha/data/bundle.py

@@ -633,16 +633,15 @@ def update_futures_trading_parameters(path, end_date):
 
 
 class AutomaticUpdateBundle(object):
-    def __init__(self, path: str, filename: str, rqdata_api: Callable, fields: List[str], end_date: datetime.date, completion: bool =False) -> None:
+    def __init__(self, path: str, filename: str, api: Callable, fields: List[str], end_date: datetime.date) -> None:
         if not os.path.exists(path):
             os.makedirs(path)
         self._file = os.path.join(path, filename)
         self._trading_dates = None
         self._filename = filename
-        self._rqdata_api = rqdata_api
+        self._api = api
         self._fields = fields
         self._end_date = end_date
-        self._completion = completion # 缓存 h5 文件时，是否需要对缺失数据的日期进行补 0
         self.updated = []
         self._env = Environment.get_instance()
 
@@ -709,7 +708,7 @@ def _auto_update_task(self, instrument: Instrument) -> None:
             h5.close()
 
     def _get_array(self, instrument: Instrument, start_date: datetime.date) -> Optional[np.ndarray]:
-        df = self._rqdata_api(instrument.order_book_id, start_date, self._end_date, self._fields)
+        df = self._api(instrument.order_book_id, start_date, self._end_date, self._fields)
         if not (df is None or df.empty):
             df = df[self._fields].loc[instrument.order_book_id] # rqdatac.get_open_auction_info get Futures's data will auto add 'open_interest' and 'prev_settlement'
             record = df.iloc[0: 1].to_records()
@@ -722,18 +721,5 @@ def _get_array(self, instrument: Instrument, start_date: datetime.date) -> Optio
             arr['trading_dt'] = trading_dt
             for field in self._fields:
                 arr[field] = df[field].values
-            if self._completion:
-                arr = self._completion_zero(instrument, arr)
             return arr
         return None
-
-    def _completion_zero(self, instrument: Instrument, arr: np.ndarray) -> np.ndarray:
-        completion_start_date = max(instrument.listed_date.date(), datetime.date(2005, 1, 4))
-        trading_dates = self._env.data_proxy._data_source.get_trading_dates(completion_start_date, self._end_date)
-        trading_dates = convert_date_to_date_int(trading_dates)
-        completion_dt = np.array(list(set(trading_dates).difference(set(arr['trading_dt']))))
-        arr_zero = np.zeros((completion_dt.shape[0], ), dtype=arr.dtype)
-        arr_zero['trading_dt'] = completion_dt
-        arr = np.sort(np.concatenate((arr, arr_zero)), order="trading_dt")
-        return arr
-

rqalpha/data/trading_dates_mixin.py

@@ -116,8 +116,7 @@ def _get_future_trading_date(self, dt):
 
         return td
 
-    def batch_get_trading_date(self, dt_index):
-        # type: (DatetimeIndex) -> DatetimeIndex
+    def batch_get_trading_date(self, dt_index: pd.DatetimeIndex):
         # 获取 numpy.array 中所有时间所在的交易日
         # 认为晚八点后为第二个交易日，认为晚八点至次日凌晨四点为夜盘
         dt = dt_index - datetime.timedelta(hours=4)

tests/unittest/test_data/test_auto_update_bundle/test_auto_update_bundle_mixin.py

@@ -32,7 +32,7 @@ def init_fixture(self):
         self._auto_update_bundle_module = AutomaticUpdateBundle(
             path=self._path,
             filename="open_auction_volume.h5",
-            rqdata_api=self._mock_get_open_auction_info,
+            api=self._mock_get_open_auction_info,
             fields=['volume'],
             end_date=datetime.date(2024, 2, 28),
         )