fix update bundle (#978)

* fix update bundle

* update

* update

---------

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

Author: Lin-Dongzhao

rqalpha/data/bundle.py

@@ -39,6 +39,14 @@
 START_DATE = 20050104
 END_DATE = 29991231
 
+CORPORATE_ACTION_EXCLUSIONS = ["Future", "Option", "Spot"]
+
+
+def _get_oids_with_corporate_action_exclusions():
+    ints = rqdatac.all_instruments()
+    ints = ints[~ints.type.isin(CORPORATE_ACTION_EXCLUSIONS)]
+    return ints.order_book_id.tolist()
+
 
 def gen_instruments(d):
     stocks = sorted(list(rqdatac.all_instruments().order_book_id))
@@ -86,8 +94,8 @@ def __init__(self, d: str):
         self.d = d
 
     def _get_dividend(self):
-        stocks = rqdatac.all_instruments().order_book_id.tolist()
-        return rqdatac.get_dividend(stocks)
+        order_book_ids = _get_oids_with_corporate_action_exclusions()
+        return rqdatac.get_dividend(order_book_ids)
 
     def _write(self, data_iter: Iterable[Tuple[str, np.ndarray]]):
         with h5py.File(os.path.join(self.d, 'dividends.h5'), "w") as h5:
@@ -115,8 +123,8 @@ def __init__(self, d: str):
         self.d = d
 
     def _get_split(self):
-        stocks = rqdatac.all_instruments().order_book_id.tolist()
-        return rqdatac.get_split(stocks)
+        order_book_ids = _get_oids_with_corporate_action_exclusions()
+        return rqdatac.get_split(order_book_ids)
 
     def _write(self, data_iter: Iterable[Tuple[str, np.ndarray]]):
         with h5py.File(os.path.join(self.d, 'split_factor.h5'), "w") as h5:
@@ -143,8 +151,8 @@ def __init__(self, d: str):
         self.d = d
 
     def _get_ex_factor(self):
-        stocks = rqdatac.all_instruments().order_book_id.tolist()
-        return rqdatac.get_ex_factor(stocks)
+        order_book_ids = _get_oids_with_corporate_action_exclusions()
+        return rqdatac.get_ex_factor(order_book_ids)
 
     def _write(self, data_iter: Iterable[Tuple[str, np.ndarray]]):
         with h5py.File(os.path.join(self.d, 'ex_cum_factor.h5'), "w") as h5: