fix: keep full-day liquidity out of auction bars

rqalpha/data/base_data_source/data_source.py

@@ -252,6 +252,10 @@ def get_open_auction_bar(self, instrument, dt):
             bar = dict.fromkeys(self.OPEN_AUCTION_BAR_FIELDS, np.nan)
         else:
             bar = {k: day_bar[k] if k in day_bar.dtype.names else np.nan for k in self.OPEN_AUCTION_BAR_FIELDS}
+            # Day-bar liquidity covers the full session and is unavailable at auction time.
+            for field in ("volume", "total_turnover"):
+                if field in bar:
+                    bar[field] = np.nan
         bar["last"] = bar["open"]  # type: ignore
         return bar
 
@@ -431,8 +435,10 @@ def get_algo_bar(self, id_or_ins: Union[str, Instrument], start_min: int, end_mi
         raise NotImplementedError("open source rqalpha not support algo order")
 
     def get_open_auction_volume(self, instrument: Instrument, dt: datetime):
-        volume = self.get_open_auction_bar(instrument, dt)['volume']
-        return volume
+        auction_bar = self.get_open_auction_bar(instrument, dt)
+        if auction_bar is None:
+            return np.nan
+        return auction_bar.get("volume", np.nan)
 
     # deprecated
     def register_instruments_store(self, instruments_store, market: MARKET = MARKET.CN):

tests/unittest/test_data/test_base_data_source.py

@@ -0,0 +1,63 @@
+from datetime import date
+
+import numpy as np
+
+from rqalpha.data.base_data_source.data_source import BaseDataSource
+
+
+def test_open_auction_bar_does_not_copy_day_liquidity():
+    bar_dtype = np.dtype(
+        [
+            ("datetime", "u8"),
+            ("open", "f8"),
+            ("limit_up", "f8"),
+            ("limit_down", "f8"),
+            ("volume", "f8"),
+            ("total_turnover", "f8"),
+        ]
+    )
+    full_day_bar = np.array(
+        (20260908, 10.5, 11.5, 9.5, 123456.0, 789012.0), dtype=bar_dtype
+    )
+
+    class StubDataSource:
+        OPEN_AUCTION_BAR_FIELDS = BaseDataSource.OPEN_AUCTION_BAR_FIELDS
+        get_open_auction_bar = BaseDataSource.get_open_auction_bar
+
+        def get_bar(self, instrument, dt, frequency):
+            assert frequency == "1d"
+            return full_day_bar
+
+    auction_bar = BaseDataSource.get_open_auction_bar(
+        StubDataSource(), "000001.XSHE", date(2026, 9, 8)
+    )
+
+    assert auction_bar["open"] == full_day_bar["open"]
+    assert auction_bar["limit_up"] == full_day_bar["limit_up"]
+    assert auction_bar["limit_down"] == full_day_bar["limit_down"]
+    assert np.isnan(auction_bar["volume"])
+    assert np.isnan(auction_bar["total_turnover"])
+
+    assert np.isnan(
+        BaseDataSource.get_open_auction_volume(
+            StubDataSource(), "000001.XSHE", date(2026, 9, 8)
+        )
+    )
+
+    class AuctionVolumeOverride(StubDataSource):
+        def get_open_auction_bar(self, instrument, dt):
+            return {"volume": 321.0}
+
+    assert BaseDataSource.get_open_auction_volume(
+        AuctionVolumeOverride(), "000001.XSHE", date(2026, 9, 8)
+    ) == 321.0
+
+    class MissingAuctionBar(StubDataSource):
+        def get_open_auction_bar(self, instrument, dt):
+            return None
+
+    assert np.isnan(
+        BaseDataSource.get_open_auction_volume(
+            MissingAuctionBar(), "000001.XSHE", date(2026, 9, 8)
+        )
+    )

tests/unittest/test_mod/test_sys_simulation/test_matcher.py

@@ -214,6 +214,26 @@ def test_bar_matcher_fills_market_order_by_volume_limit_and_cancels_remainder(fa
     assert order.status == ORDER_STATUS.CANCELLED
 
 
+def test_bar_matcher_uses_explicit_open_auction_volume(fake_env):
+    fake_env.bar.volume = 900
+    matcher = DefaultBarMatcher(
+        fake_env,
+        make_mod_config(
+            MATCHING_TYPE.CURRENT_BAR_CLOSE,
+            volume_limit=True,
+        ),
+    )
+    order = make_order(1000)
+
+    matcher.match(FakeAccount(), order, open_auction=True)
+
+    trades = trade_events(fake_env)
+    assert len(trades) == 1
+    assert trades[0].trade.last_quantity == 900
+    assert order.filled_quantity == 900
+    assert order.status == ORDER_STATUS.CANCELLED
+
+
 def test_bar_matcher_leaves_non_crossed_limit_order_active(fake_env):
     matcher = DefaultBarMatcher(fake_env, make_mod_config(MATCHING_TYPE.CURRENT_BAR_CLOSE))
     order = make_order(100, style=LimitOrder(9.9))