修复在open_auction中获取current_snapshot的last为当天的close,应为open

rqalpha/data/data_proxy.py

@@ -22,17 +22,18 @@
 import numpy as np
 import pandas as pd
 
-from rqalpha.const import INSTRUMENT_TYPE, TRADING_CALENDAR_TYPE
+from rqalpha.const import INSTRUMENT_TYPE, TRADING_CALENDAR_TYPE, EXECUTION_PHASE
 from rqalpha.utils import risk_free_helper, TimeRange, merge_trading_period
 from rqalpha.data.trading_dates_mixin import TradingDatesMixin
 from rqalpha.model.bar import BarObject, NANDict, PartialBarObject
 from rqalpha.model.tick import TickObject
 from rqalpha.model.instrument import Instrument
-from rqalpha.model.order import TWAPOrder, VWAPOrder, ALGO_ORDER_STYLES
+from rqalpha.model.order import ALGO_ORDER_STYLES
 from rqalpha.utils.functools import lru_cache
 from rqalpha.utils.datetime_func import convert_int_to_datetime, convert_date_to_int
 from rqalpha.utils.typing import DateLike, StrOrIter
 from rqalpha.interface import AbstractDataSource, AbstractPriceBoard
+from rqalpha.core.execution_context import ExecutionContext
 
 
 class DataProxy(TradingDatesMixin):
@@ -219,7 +220,7 @@ def tick_fields_for(ins):
             ]
             _FUTURE_FIELD_NAMES = _STOCK_FIELD_NAMES + ['open_interest', 'prev_settlement']
 
-            if ins.type == 'Future':
+            if ins.type == INSTRUMENT_TYPE.FUTURE:
                 return _STOCK_FIELD_NAMES
             else:
                 return _FUTURE_FIELD_NAMES
@@ -230,7 +231,7 @@ def tick_fields_for(ins):
             if not bar:
                 return None
             d = {k: bar[k] for k in tick_fields_for(instrument) if k in bar.dtype.names}
-            d['last'] = bar['close']
+            d["last"] = bar["open"] if ExecutionContext.phase() == EXECUTION_PHASE.OPEN_AUCTION else bar["close"]
             d['prev_close'] = self._get_prev_close(order_book_id, dt)
             return TickObject(instrument, d)
 

tests/api_tests/test_api_base.py

@@ -15,6 +15,8 @@
 #         在此前提下，对本软件的使用同样需要遵守 Apache 2.0 许可，Apache 2.0 许可与本许可冲突之处，以本许可为准。
 #         详细的授权流程，请联系 [email protected] 获取。v
 
+from datetime import date
+
 __config__ = {
     "base": {
         "start_date": "2016-12-01",
@@ -253,6 +255,21 @@ def init(_):
     return locals()
 
 
+def test_get_current_snapshot():
+
+    def open_auction(context, bar_dict):
+        if date(2016, 12, 12) == context.now.date():
+            bar = current_snapshot("000001.XSHE")
+            assert bar["last"] == 9.65, "早盘集合竞价的current_snapshot的last不等于当天的open"
+
+    def handle_bar(context, bar_dict):
+        if date(2016, 12, 12) == context.now.date():
+            bar = current_snapshot("000001.XSHE")
+            assert bar["last"] == 9.5, "尾盘集合竞价的current_snapshot的last不等于当天的close"
+
+    return locals()
+
+
 def test_get_previous_trading_date():
     def init(_):
         assert str(get_previous_trading_date('2017-01-03').date()) == '2016-12-30'