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保留成交量空值滚动语义

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boris
2026-07-17 13:11:50 +08:00
parent 4d7245d8b0
commit 0337cc8a22
2 changed files with 217 additions and 16 deletions
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README.md
+2
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@@ -80,6 +80,8 @@
任意数据库指标和自定义因子通过 `factor("field")`、`factor_value("field", lookback)`、`rolling_mean("field", n)`、`sma("close", n)` 等函数读取。未预计算的均线窗口可在回测中按已有历史数据实时计算。
Source Lake 日线成交量保留原始可用性合同：源 `volume=null` 与真实 `volume=0` 含义不同。依赖成交量的 rolling 窗口只要包含源空值就返回缺失，不得把空值补成 0；停牌日明确提供的 0 成交量仍是合法观测。该合同随 runner 快照版本冻结，旧快照不能跨版本复用。
## 内置微盘策略
`OmniMicroCapStrategy` 是平台内置的微盘轮动策略，用于 demo、性能验证和策略迁移基线：
crates/fidc-core/src/data.rs
+215 -16
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@@ -10,6 +10,8 @@ use crate::futures::FuturesTradingParameter;
use crate::instrument::Instrument;
use crate::risk_control::{ChinaAShareRiskControl, FidcRiskControlConfig};
const SOURCE_DAILY_VOLUME_AVAILABLE_FIELD: &str = "source_daily_volume_available";
mod date_format {
use chrono::NaiveDate;
use serde::{self, Deserialize, Deserializer, Serializer};
@@ -1039,6 +1041,8 @@ pub struct DataSet {
adjusted_close_series_by_symbol: Arc<RwLock<HashMap<String, Arc<AdjustedCloseSeries>>>>,
benchmark_series_cache: BenchmarkPriceSeries,
eligible_universe_by_date: Arc<OnceLock<BTreeMap<NaiveDate, Vec<EligibleUniverseSnapshot>>>>,
source_daily_volume_contract_symbols: HashSet<String>,
source_daily_volume_missing_dates_by_symbol: HashMap<String, Vec<NaiveDate>>,
benchmark_code: String,
futures_params_by_symbol: HashMap<String, Vec<FuturesTradingParameter>>,
}
@@ -1186,10 +1190,30 @@ impl DataSet {
) -> Result<Self, DataSetError> {
let benchmark_code = collect_benchmark_code(&benchmarks)?;
let calendar = TradingCalendar::new(benchmarks.iter().map(|item| item.date).collect());
let factors = normalize_factor_snapshots(factors)
.into_iter()
.map(Arc::new)
.collect::<Vec<_>>();
let factors = normalize_factor_snapshots(factors);
let mut source_daily_volume_contract_symbols = HashSet::new();
let mut source_daily_volume_missing_dates_by_symbol =
HashMap::<String, Vec<NaiveDate>>::new();
for snapshot in &factors {
let Some(available) = snapshot
.extra_factors
.get(SOURCE_DAILY_VOLUME_AVAILABLE_FIELD)
else {
continue;
};
source_daily_volume_contract_symbols.insert(snapshot.symbol.clone());
if *available < 0.5 {
source_daily_volume_missing_dates_by_symbol
.entry(snapshot.symbol.clone())
.or_default()
.push(snapshot.date);
}
}
for dates in source_daily_volume_missing_dates_by_symbol.values_mut() {
dates.sort_unstable();
dates.dedup();
}
let factors = factors.into_iter().map(Arc::new).collect::<Vec<_>>();
let candidates = candidates.into_iter().map(Arc::new).collect::<Vec<_>>();
let instruments = instruments
@@ -1250,6 +1274,8 @@ impl DataSet {
adjusted_close_series_by_symbol: Arc::new(RwLock::new(HashMap::new())),
benchmark_series_cache,
eligible_universe_by_date: Arc::new(OnceLock::new()),
source_daily_volume_contract_symbols,
source_daily_volume_missing_dates_by_symbol,
benchmark_code,
futures_params_by_symbol,
})
@@ -2400,9 +2426,14 @@ impl DataSet {
"close" | "prev_close" | "stock_close" | "price" => self
.market_series(symbol)
.and_then(|series| series.decision_close_moving_average(date, lookback)),
"volume" | "stock_volume" => self
.market_series(symbol)
.and_then(|series| series.decision_volume_moving_average(date, lookback)),
"volume" | "stock_volume" => {
if !self.source_daily_volume_window_available(date, symbol, lookback, false) {
None
} else {
self.market_series(symbol)
.and_then(|series| series.decision_volume_moving_average(date, lookback))
}
}
"day_open" | "dayopen" => {
self.market_moving_average(date, symbol, lookback, PriceField::DayOpen)
}
@@ -2426,10 +2457,17 @@ impl DataSet {
"close" | "prev_close" | "stock_close" | "price" => self
.adjusted_close_series(symbol)
.and_then(|series| series.current_moving_average(date, lookback)),
"volume" | "stock_volume" => self
.market_series(symbol)
.and_then(|series| series.current_volume_moving_average(date, lookback))
.or_else(|| self.factor_moving_average(date, symbol, "daily_volume", lookback)),
"volume" | "stock_volume" => {
if !self.source_daily_volume_window_available(date, symbol, lookback, true) {
None
} else {
self.market_series(symbol)
.and_then(|series| series.current_volume_moving_average(date, lookback))
.or_else(|| {
self.factor_moving_average(date, symbol, "daily_volume", lookback)
})
}
}
"day_open" | "dayopen" => {
self.market_moving_average(date, symbol, lookback, PriceField::DayOpen)
}
@@ -2462,10 +2500,15 @@ impl DataSet {
.market_series(symbol)
.and_then(|series| series.decision_prev_close_values(date, lookback))
.unwrap_or_default(),
"volume" | "stock_volume" => self
.market_series(symbol)
.and_then(|series| series.decision_volume_values(date, lookback))
.unwrap_or_default(),
"volume" | "stock_volume" => {
if !self.source_daily_volume_window_available(date, symbol, lookback, false) {
Vec::new()
} else {
self.market_series(symbol)
.and_then(|series| series.decision_volume_values(date, lookback))
.unwrap_or_default()
}
}
"day_open" | "dayopen" => self
.market_series(symbol)
.map(|series| series.trailing_values(date, lookback, PriceField::DayOpen))
@@ -2489,11 +2532,60 @@ impl DataSet {
field: &str,
lookback: usize,
) -> Vec<f64> {
let field = normalize_field(field);
if matches!(field.as_str(), "volume" | "stock_volume")
&& !self.source_daily_volume_window_available(date, symbol, lookback, true)
{
return Vec::new();
}
self.market_series(symbol)
.map(|series| series.trailing_numeric_values(date, lookback, field, true))
.map(|series| series.trailing_numeric_values(date, lookback, &field, true))
.unwrap_or_default()
}
fn source_daily_volume_window_available(
&self,
date: NaiveDate,
symbol: &str,
lookback: usize,
include_now: bool,
) -> bool {
if !self.source_daily_volume_contract_symbols.contains(symbol) {
return true;
}
if lookback == 0 {
return false;
}
let end = if include_now && self.calendar.index_of(date).is_some() {
date
} else {
let Some(previous) = self.calendar.previous_trading_date(date, 1) else {
return false;
};
previous
};
let dates = self.calendar.trailing_days(end, lookback);
if dates.len() != lookback {
return false;
}
let Some(series) = self.market_series(symbol) else {
return false;
};
if dates
.iter()
.any(|trading_day| series.dates.binary_search(trading_day).is_err())
{
return false;
}
let Some(missing_dates) = self.source_daily_volume_missing_dates_by_symbol.get(symbol)
else {
return true;
};
!dates
.iter()
.any(|trading_day| missing_dates.binary_search(trading_day).is_ok())
}
pub fn factor_numeric_values(
&self,
date: NaiveDate,
@@ -3407,6 +3499,113 @@ mod tests {
);
}
fn volume_contract_data(availability: Option<[f64; 3]>) -> DataSet {
let dates = [
NaiveDate::parse_from_str("2025-01-02", "%Y-%m-%d").unwrap(),
NaiveDate::parse_from_str("2025-01-03", "%Y-%m-%d").unwrap(),
NaiveDate::parse_from_str("2025-01-06", "%Y-%m-%d").unwrap(),
];
let volumes = [100_u64, 0, 300];
DataSet::from_components(
vec![Instrument {
symbol: "000001.SZ".to_string(),
name: "000001.SZ".to_string(),
board: "SZ".to_string(),
round_lot: 100,
listed_at: Some(dates[0]),
delisted_at: None,
status: "active".to_string(),
}],
dates
.iter()
.zip(volumes)
.map(|(date, volume)| {
market_row(&date.format("%Y-%m-%d").to_string(), 10.0, volume)
})
.collect(),
dates
.iter()
.enumerate()
.map(|(index, date)| {
let mut extra_factors = BTreeMap::new();
if let Some(values) = availability {
extra_factors.insert(
SOURCE_DAILY_VOLUME_AVAILABLE_FIELD.to_string(),
values[index],
);
if values[index] >= 0.5 {
extra_factors.insert("daily_volume".to_string(), volumes[index] as f64);
}
}
DailyFactorSnapshot {
date: *date,
symbol: "000001.SZ".to_string(),
market_cap_bn: 10.0,
free_float_cap_bn: 8.0,
pe_ttm: 10.0,
turnover_ratio: None,
effective_turnover_ratio: None,
extra_factors,
}
})
.collect(),
Vec::new(),
dates
.iter()
.map(|date| BenchmarkSnapshot {
date: *date,
benchmark: "000852.SH".to_string(),
open: 100.0,
close: 100.0,
prev_close: 100.0,
volume: 1_000_000,
})
.collect(),
)
.expect("volume contract dataset")
}
#[test]
fn source_volume_contract_rejects_windows_containing_missing_values() {
let data = volume_contract_data(Some([1.0, 0.0, 1.0]));
let date = NaiveDate::parse_from_str("2025-01-06", "%Y-%m-%d").unwrap();
assert_eq!(
data.market_current_numeric_moving_average(date, "000001.SZ", "volume", 3),
None
);
assert!(
data.market_current_numeric_values(date, "000001.SZ", "volume", 3)
.is_empty()
);
assert_eq!(
data.market_decision_numeric_moving_average(date, "000001.SZ", "volume", 2),
None
);
assert!(
data.market_decision_numeric_values(date, "000001.SZ", "volume", 2)
.is_empty()
);
}
#[test]
fn source_volume_contract_keeps_valid_zero_volume_and_legacy_data() {
let date = NaiveDate::parse_from_str("2025-01-06", "%Y-%m-%d").unwrap();
for data in [
volume_contract_data(Some([1.0, 1.0, 1.0])),
volume_contract_data(None),
] {
assert_eq!(
data.market_current_numeric_moving_average(date, "000001.SZ", "volume", 3),
Some(133.333333)
);
assert_eq!(
data.market_current_numeric_values(date, "000001.SZ", "volume", 3),
vec![100.0, 0.0, 300.0]
);
}
}
#[test]
fn decision_close_average_ignores_current_day_close() {
let mut current = market_row("2025-01-06", 12.0, 10_000);