Set _artifact_uri when mlflow_run is not None. (#1367)

* Set _artifact_uri when mlflow_run is not None.

* Fix black.

tests/test_workflow.py

@@ -0,0 +1,29 @@
+# Copyright (c) Microsoft Corporation.
+# Licensed under the MIT License.
+import unittest
+from pathlib import Path
+import shutil
+
+from qlib.workflow import R
+from qlib.tests import TestAutoData
+
+
+class WorkflowTest(TestAutoData):
+    TMP_PATH = Path("./.mlruns_tmp/")
+
+    def tearDown(self) -> None:
+        if self.TMP_PATH.exists():
+            shutil.rmtree(self.TMP_PATH)
+
+    def test_get_local_dir(self):
+        """ """
+        with R.start(uri=str(self.TMP_PATH)):
+            pass
+
+        with R.uri_context(uri=str(self.TMP_PATH)):
+            resume_recorder = R.get_recorder()
+            resume_recorder.get_local_dir()
+
+
+if __name__ == "__main__":
+    unittest.main()