zsb/fidc-backtest-engine
1
0
Fork 0
Code Issues Pull Requests Packages Projects Releases Wiki Activity

perf(data): type adjustment factor snapshots

Browse Source
This commit is contained in:
boris
2026-09-07 17:53:36 +08:00
parent 9714c051c5
commit 04b45adf98
12 changed files with 371 additions and 52 deletions
Download Patch File Download Diff File Expand all files Collapse all files
crates/fidc-core/tests/engine_hooks.rs
+22
View File
@@ -78,6 +78,7 @@ fn single_day_anchor_data(date: NaiveDate) -> DataSet {
pe_ttm: 10.0,
turnover_ratio: Some(1.0),
effective_turnover_ratio: Some(1.0),
adjustment_factor_backward1: None,
extra_factors: BTreeMap::new(),
}],
vec![CandidateEligibility {
@@ -144,6 +145,7 @@ fn factor_row(
pe_ttm: 10.0,
turnover_ratio: Some(1.0),
effective_turnover_ratio: Some(1.0),
adjustment_factor_backward1: None,
extra_factors,
}
}
@@ -1137,6 +1139,7 @@ fn engine_runs_strategy_hooks_in_daily_order() {
pe_ttm: 10.0,
turnover_ratio: Some(1.0),
effective_turnover_ratio: Some(1.0),
adjustment_factor_backward1: None,
extra_factors: BTreeMap::new(),
},
DailyFactorSnapshot {
@@ -1147,6 +1150,7 @@ fn engine_runs_strategy_hooks_in_daily_order() {
pe_ttm: 10.0,
turnover_ratio: Some(1.0),
effective_turnover_ratio: Some(1.0),
adjustment_factor_backward1: None,
extra_factors: BTreeMap::new(),
},
],
@@ -1353,6 +1357,7 @@ fn engine_executes_open_auction_decisions_before_on_day() {
pe_ttm: 10.0,
turnover_ratio: Some(1.0),
effective_turnover_ratio: Some(1.0),
adjustment_factor_backward1: None,
extra_factors: BTreeMap::new(),
}],
vec![CandidateEligibility {
@@ -1453,6 +1458,7 @@ fn engine_executes_futures_order_intents_against_future_account() {
pe_ttm: 10.0,
turnover_ratio: Some(1.0),
effective_turnover_ratio: Some(1.0),
adjustment_factor_backward1: None,
extra_factors: BTreeMap::new(),
}],
vec![CandidateEligibility {
@@ -2168,6 +2174,7 @@ fn engine_runs_minute_hooks_and_executes_minute_orders() {
pe_ttm: 10.0,
turnover_ratio: Some(1.0),
effective_turnover_ratio: Some(1.0),
adjustment_factor_backward1: None,
extra_factors: BTreeMap::new(),
}],
vec![CandidateEligibility {
@@ -2463,6 +2470,7 @@ fn strategy_context_exposes_engine_native_data_helpers() {
pe_ttm: 10.0,
turnover_ratio: Some(1.0),
effective_turnover_ratio: Some(1.0),
adjustment_factor_backward1: None,
extra_factors: BTreeMap::new(),
})
.collect::<Vec<_>>();
@@ -2631,6 +2639,7 @@ fn strategy_context_exposes_final_order_runtime_view() {
pe_ttm: 10.0,
turnover_ratio: Some(1.0),
effective_turnover_ratio: Some(1.0),
adjustment_factor_backward1: None,
extra_factors: BTreeMap::new(),
}],
vec![CandidateEligibility {
@@ -2874,6 +2883,7 @@ fn engine_applies_account_cash_flow_and_financing_intents() {
pe_ttm: 10.0,
turnover_ratio: Some(1.0),
effective_turnover_ratio: Some(1.0),
adjustment_factor_backward1: None,
extra_factors: BTreeMap::new(),
},
DailyFactorSnapshot {
@@ -2884,6 +2894,7 @@ fn engine_applies_account_cash_flow_and_financing_intents() {
pe_ttm: 10.0,
turnover_ratio: Some(1.0),
effective_turnover_ratio: Some(1.0),
adjustment_factor_backward1: None,
extra_factors: BTreeMap::new(),
},
],
@@ -3069,6 +3080,7 @@ fn engine_expires_pending_day_limit_orders_at_market_close() {
pe_ttm: 10.0,
turnover_ratio: Some(1.0),
effective_turnover_ratio: Some(1.0),
adjustment_factor_backward1: None,
extra_factors: BTreeMap::new(),
},
DailyFactorSnapshot {
@@ -3079,6 +3091,7 @@ fn engine_expires_pending_day_limit_orders_at_market_close() {
pe_ttm: 10.0,
turnover_ratio: Some(1.0),
effective_turnover_ratio: Some(1.0),
adjustment_factor_backward1: None,
extra_factors: BTreeMap::new(),
},
],
@@ -3266,6 +3279,7 @@ fn engine_runs_scheduled_rules_for_daily_weekly_and_monthly_triggers() {
pe_ttm: 10.0,
turnover_ratio: Some(1.0),
effective_turnover_ratio: Some(1.0),
adjustment_factor_backward1: None,
extra_factors: BTreeMap::new(),
},
DailyFactorSnapshot {
@@ -3276,6 +3290,7 @@ fn engine_runs_scheduled_rules_for_daily_weekly_and_monthly_triggers() {
pe_ttm: 10.0,
turnover_ratio: Some(1.0),
effective_turnover_ratio: Some(1.0),
adjustment_factor_backward1: None,
extra_factors: BTreeMap::new(),
},
DailyFactorSnapshot {
@@ -3286,6 +3301,7 @@ fn engine_runs_scheduled_rules_for_daily_weekly_and_monthly_triggers() {
pe_ttm: 10.0,
turnover_ratio: Some(1.0),
effective_turnover_ratio: Some(1.0),
adjustment_factor_backward1: None,
extra_factors: BTreeMap::new(),
},
],
@@ -3521,6 +3537,7 @@ fn engine_dispatches_process_events_to_external_bus_listeners() {
pe_ttm: 10.0,
turnover_ratio: Some(1.0),
effective_turnover_ratio: Some(1.0),
adjustment_factor_backward1: None,
extra_factors: BTreeMap::new(),
},
DailyFactorSnapshot {
@@ -3531,6 +3548,7 @@ fn engine_dispatches_process_events_to_external_bus_listeners() {
pe_ttm: 10.0,
turnover_ratio: Some(1.0),
effective_turnover_ratio: Some(1.0),
adjustment_factor_backward1: None,
extra_factors: BTreeMap::new(),
},
DailyFactorSnapshot {
@@ -3541,6 +3559,7 @@ fn engine_dispatches_process_events_to_external_bus_listeners() {
pe_ttm: 10.0,
turnover_ratio: Some(1.0),
effective_turnover_ratio: Some(1.0),
adjustment_factor_backward1: None,
extra_factors: BTreeMap::new(),
},
],
@@ -3886,6 +3905,7 @@ fn engine_applies_dynamic_universe_and_subscription_directives() {
pe_ttm: 10.0,
turnover_ratio: Some(1.0),
effective_turnover_ratio: Some(1.0),
adjustment_factor_backward1: None,
extra_factors: BTreeMap::new(),
},
DailyFactorSnapshot {
@@ -3896,6 +3916,7 @@ fn engine_applies_dynamic_universe_and_subscription_directives() {
pe_ttm: 12.0,
turnover_ratio: Some(1.0),
effective_turnover_ratio: Some(1.0),
adjustment_factor_backward1: None,
extra_factors: BTreeMap::new(),
},
]
@@ -4040,6 +4061,7 @@ fn engine_exposes_current_process_context_to_strategies() {
pe_ttm: 10.0,
turnover_ratio: Some(1.0),
effective_turnover_ratio: Some(1.0),
adjustment_factor_backward1: None,
extra_factors: BTreeMap::new(),
}],
vec![CandidateEligibility {