调整默认撮合方式

ricequant · Aug 2, 2022 · 57d11c7 · 57d11c7
1 parent 9268af8
commit 57d11c7
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Showing 3 changed files with 18 additions and 7 deletions.
diff --git a/docs/source/api/base_api.rst b/docs/source/api/base_api.rst
@@ -585,11 +585,12 @@ time_rule - 定时间运行
 
             scheduler.run_daily(function, time_rule='before_trading')
 
-    *   每天十点运行
+    *   每天十点运行:
 
-    ..  code-block:: python3
-        :linenos:
-        scheduler.run_daily(function, time_rule=physical_time(hour=10, minute=0))
+        ..  code-block:: python3
+            :linenos:
+
+            scheduler.run_daily(function, time_rule=physical_time(hour=10, minute=0))
 
 .. _api-base-types:
 

diff --git a/rqalpha/mod/rqalpha_mod_sys_simulation/__init__.py b/rqalpha/mod/rqalpha_mod_sys_simulation/__init__.py
@@ -23,7 +23,8 @@
     #   日回测的可选值为 "current_bar"|"vwap"（以当前 bar 收盘价｜成交量加权平均价撮合）
     #   分钟回测的可选值有 "current_bar"|"next_bar"|"vwap"（以当前 bar 收盘价｜下一个 bar 的开盘价｜成交量加权平均价撮合)
     #   tick 回测的可选值有 "last"|"best_own"|"best_counterparty"（以最新价｜己方最优价｜对手方最优价撮合）和 "counterparty_offer"（逐档撮合）
-    "matching_type": "current_bar",
+    #   matching_type 为 None 则表示根据回测频率自动选择。日/分钟回测下为 current_bar , tick 回测下为 last
+    "matching_type": None,
     # 开启对于处于涨跌停状态的证券的撮合限制
     "price_limit": True,
     # 开启对于对手盘无流动性的证券的撮合限制（仅在 tick 回测下生效）

diff --git a/rqalpha/mod/rqalpha_mod_sys_simulation/mod.py b/rqalpha/mod/rqalpha_mod_sys_simulation/mod.py
@@ -36,7 +36,7 @@ def start_up(self, env, mod_config):
         if env.config.base.run_type == RUN_TYPE.LIVE_TRADING:
             return
 
-        mod_config.matching_type = self.parse_matching_type(mod_config.matching_type)
+        mod_config.matching_type = self.parse_matching_type(mod_config.matching_type, env.config.base.frequency)
 
         if env.config.base.margin_multiplier <= 0:
             raise patch_user_exc(ValueError(_(u"invalid margin multiplier value: value range is (0, +∞]")))
@@ -77,7 +77,16 @@ def tear_down(self, code, exception=None):
         pass
 
     @staticmethod
-    def parse_matching_type(me_str):
+    def parse_matching_type(me_str, frequency):
+        if me_str is None:
+            # None 表示根据 frequency 自动选择
+            if frequency in ["1d", "1m"]:
+                me_str = "current_bar"
+            elif frequency == "tick":
+                me_str = "last"
+            else:
+                raise ValueError("frequency only support ['1d', '1m', 'tick']")
+
         assert isinstance(me_str, six.string_types)
         me_str = me_str.lower()
         if me_str == "current_bar":