revise limit price valid logic (#931)

* revise limit price valid logic

* update version

* pr update

* update

---------

Co-authored-by: Don <lin.dongzhao@ricequant.com>

Author: Lin-Dongzhao

rqalpha/mod/rqalpha_mod_sys_simulation/matcher.py

@@ -16,7 +16,7 @@
 #         详细的授权流程，请联系 public@ricequant.com 获取。
 import datetime
 from collections import defaultdict
-from copy import copy
+import math
 from rqalpha.const import MATCHING_TYPE, ORDER_TYPE, POSITION_EFFECT, SIDE
 from rqalpha.environment import Environment
 from rqalpha.core.events import EVENT, Event
@@ -25,11 +25,26 @@
 from rqalpha.model.tick import TickObject
 from rqalpha.portfolio.account import Account
 from rqalpha.utils import is_valid_price
+from rqalpha.interface import AbstractPriceBoard
 from typing import Dict
 from rqalpha.utils.i18n import gettext as _
 from .slippage import SlippageDecider
 
 
+LIMIT_PRICE_VALID_THRESHOLD = 1e-7
+
+
+def _price_reaches_limit(order_book_id: str, side: SIDE, deal_price: float, price_board: AbstractPriceBoard):
+    if side == SIDE.BUY:
+        limit_price = price_board.get_limit_up(order_book_id)
+        return deal_price >= limit_price or math.isclose(deal_price, limit_price, abs_tol=LIMIT_PRICE_VALID_THRESHOLD)
+    elif side == SIDE.SELL:
+        limit_price = price_board.get_limit_down(order_book_id)
+        return deal_price <= limit_price or math.isclose(deal_price, limit_price, abs_tol=LIMIT_PRICE_VALID_THRESHOLD)
+    else:
+        raise ValueError(f"Unsupport side: {side}")
+
+
 class AbstractMatcher:
     def match(self, account, order, open_auction):
         # type: (Account, Order, bool) -> None
@@ -127,8 +142,6 @@ def match(self, account, order, open_auction):
             else:
                 # 撮合的时候无行情数据也不需要撤单，等到有行情再撮合
                 reason = None
-                # reason = _(u"Order Cancelled: current bar [{order_book_id}] miss market data.").format(
-                #     order_book_id=order.order_book_id)
             if reason:
                 order.mark_rejected(reason)
             return
@@ -141,22 +154,14 @@ def match(self, account, order, open_auction):
                 return
             # 是否限制涨跌停不成交
             if self._price_limit:
-                if order.side == SIDE.BUY and deal_price >= price_board.get_limit_up(order_book_id):
-                    return
-                if order.side == SIDE.SELL and deal_price <= price_board.get_limit_down(order_book_id):
+                if _price_reaches_limit(order_book_id, order.side, deal_price, price_board):
                     return
         else:
             if self._price_limit:
-                if order.side == SIDE.BUY and deal_price >= price_board.get_limit_up(order_book_id):
-                    reason = _(
-                        "Order Cancelled: current bar [{order_book_id}] reach the limit_up price."
-                    ).format(order_book_id=order.order_book_id)
-                    order.mark_rejected(reason)
-                    return
-                if order.side == SIDE.SELL and deal_price <= price_board.get_limit_down(order_book_id):
+                if _price_reaches_limit(order_book_id, order.side, deal_price, price_board):
                     reason = _(
-                        "Order Cancelled: current bar [{order_book_id}] reach the limit_down price."
-                    ).format(order_book_id=order.order_book_id)
+                        "Order Cancelled: current bar [{order_book_id}] reach the {limit_up_or_down} price."
+                    ).format(order_book_id=order.order_book_id, limit_up_or_down="limit_up" if order.side == SIDE.BUY else "limit_down")
                     order.mark_rejected(reason)
                     return
 
@@ -372,9 +377,7 @@ def match(self, account, order, open_auction):  # type: (Account, Order, bool) -
                 return
             # 是否限制涨跌停不成交
             if self._price_limit:
-                if order.side == SIDE.BUY and deal_price >= price_board.get_limit_up(order_book_id):
-                    return
-                if order.side == SIDE.SELL and deal_price <= price_board.get_limit_down(order_book_id):
+                if _price_reaches_limit(order_book_id, order.side, deal_price, price_board):
                     return
             if self._liquidity_limit:
                 if order.side == SIDE.BUY and price_board.get_a1(order_book_id) == 0:
@@ -383,16 +386,10 @@ def match(self, account, order, open_auction):  # type: (Account, Order, bool) -
                     return
         else:
             if self._price_limit:
-                if order.side == SIDE.BUY and deal_price >= price_board.get_limit_up(order_book_id):
-                    reason = _(
-                        "Order Cancelled: current tick [{order_book_id}] reach the limit_up price."
-                    ).format(order_book_id=order.order_book_id)
-                    order.mark_rejected(reason)
-                    return
-                if order.side == SIDE.SELL and deal_price <= price_board.get_limit_down(order_book_id):
+                if _price_reaches_limit(order_book_id, order.side, deal_price, price_board):
                     reason = _(
-                        "Order Cancelled: current tick [{order_book_id}] reach the limit_down price."
-                    ).format(order_book_id=order.order_book_id)
+                        "Order Cancelled: current tick [{order_book_id}] reach the {limit_up_or_down} price."
+                    ).format(order_book_id=order.order_book_id, limit_up_or_down="limit_up" if order.side == SIDE.BUY else "limit_down")
                     order.mark_rejected(reason)
                     return
             if self._liquidity_limit:

tests/api_tests/test_position_queue.py

@@ -272,7 +272,7 @@ def test_future_position_queue_close_today():
             "start_date": "2016-03-07",
             "end_date": "2016-03-08",
             "accounts": {
-                "future": 1000000
+                "future": 10000000
             }
         }
     }