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Enhance gen_future_info function to handle missing commission data for dominant futures
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Lines changed: 6 additions & 1 deletion

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rqalpha/data/bundle.py

Lines changed: 6 additions & 1 deletion
Original file line numberDiff line numberDiff line change
@@ -266,7 +266,12 @@ def update_margin_rate(file):
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except AttributeError:
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# FIXME: why get_dominant return None???
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continue
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commission = commission_df[commission_df['order_book_id'] == dominant].iloc[0]
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dominant_indexer = commission_df["order_book_id"] == dominant
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if not dominant_indexer.any():
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# S0301:大豆期货的最后一个合约,该合约出现在 instrument 中,但取不到 commission,这种情况忽略掉
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continue
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commission = commission_df[dominant_indexer].iloc[0]
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for p in param:
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future_dict[p] = commission[p]

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