Enhance DataProxy and BaseDataSource to improve instrument retrieval and factor handling. Introduce error handling for missing instruments in DataProxy and refine factor filtering in BaseDataSource to ensure only relevant data is returned based on listing dates.

Author: Cuizi7

rqalpha/data/base_data_source/data_source.py

@@ -32,7 +32,7 @@
 from rqalpha.const import INSTRUMENT_TYPE, MARKET, TRADING_CALENDAR_TYPE
 from rqalpha.interface import AbstractDataSource, ExchangeRate
 from rqalpha.model.instrument import Instrument
-from rqalpha.utils.datetime_func import (convert_date_to_int, convert_int_to_date, convert_int_to_datetime)
+from rqalpha.utils.datetime_func import (convert_date_to_int, convert_int_to_date, convert_int_to_datetime, convert_dt_to_int)
 from rqalpha.utils.exception import RQInvalidArgument
 from rqalpha.utils.functools import lru_cache
 from rqalpha.utils.typing import DateLike
@@ -266,13 +266,26 @@ def _are_fields_valid(fields, valid_fields):
                 return False
         return True
 
+    @lru_cache(1024)
     def get_ex_cum_factor(self, instrument: Instrument):
         try:
             ex_factor_store = self._ex_factor_stores[instrument.type, instrument.market]
         except KeyError:
             return None
-
-        return ex_factor_store.get_factors(instrument.order_book_id)
+        factors = ex_factor_store.get_factors(instrument.order_book_id)
+        if factors is None:
+            return None
+        # 考虑代码复用的情况，需要过滤掉不在上市日期范围内到数据
+        factors = factors[
+            (factors["start_date"] >= convert_dt_to_int(instrument.listed_date)) & 
+            (factors["start_date"] <= convert_dt_to_int(instrument.de_listed_date))
+        ]
+        if len(factors) == 0:
+            return None
+        if factors["start_date"][0] != 0:
+            # kind of dirty，强行设置初始值为 1
+            factors = np.concatenate([np.array([(0, 1.0)], dtype=factors.dtype), factors])
+        return factors
 
     def _update_weekly_trading_date_index(self, idx):
         env = Environment.get_instance()

rqalpha/data/base_data_source/storage_interface.py

@@ -61,6 +61,5 @@ def get_dividend(self, order_book_id):
 
 class AbstractSimpleFactorStore:
     @abc.abstractmethod
-    def get_factors(self, order_book_id):
-        # type: (str) -> np.ndarray
+    def get_factors(self, order_book_id: str) -> Optional[np.ndarray]:
         raise NotImplementedError

rqalpha/data/data_proxy.py

@@ -217,7 +217,10 @@ def history_bars(
         adjust_type: str = 'pre', 
         adjust_orig: Optional[datetime] = None
     ):
-        instrument = self.instrument_not_none(order_book_id)
+        instruments = self.get_instrument_history(order_book_id, dt)
+        if len(instruments) == 0:
+            raise InstrumentNotFound(_("No instrument found at {dt}: {id_or_sym}").format(dt=dt, id_or_sym=order_book_id))
+        instrument = instruments[-1]
         if adjust_orig is None:
             adjust_orig = dt
         return self._data_source.history_bars(instrument, bar_count, frequency, field, dt,