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test: declare historical audit assumptions in non-liquidity fixtures

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This commit is contained in:
boris
2026-09-12 06:39:34 +08:00
parent 4d3a9e0e5b
commit 053f880e34
7 changed files with 124 additions and 78 deletions
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crates/fidc-core/tests/engine_hooks.rs
+29 -29
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@@ -1219,7 +1219,7 @@ fn engine_runs_strategy_hooks_in_daily_order() {
ChinaAShareCostModel::default(),
ChinaEquityRuleHooks::default(),
PriceField::Open,
);
).with_volume_capacity_mode(fidc_core::execution_capacity::VolumeCapacityMode::SessionCapacityAudit);
let mut engine = BacktestEngine::new(
data,
strategy,
@@ -1260,7 +1260,7 @@ fn engine_runs_strategy_hooks_in_daily_order() {
ChinaAShareCostModel::default(),
ChinaEquityRuleHooks::default(),
PriceField::Open,
);
).with_volume_capacity_mode(fidc_core::execution_capacity::VolumeCapacityMode::SessionCapacityAudit);
let mut compact_engine = BacktestEngine::new(
compact_data,
compact_strategy,
@@ -1401,7 +1401,7 @@ fn engine_executes_open_auction_decisions_before_on_day() {
ChinaAShareCostModel::default(),
ChinaEquityRuleHooks::default(),
PriceField::DayOpen,
);
).with_volume_capacity_mode(fidc_core::execution_capacity::VolumeCapacityMode::SessionCapacityAudit);
let mut engine = BacktestEngine::new(
data,
strategy,
@@ -1497,7 +1497,7 @@ fn engine_executes_futures_order_intents_against_future_account() {
ChinaAShareCostModel::default(),
ChinaEquityRuleHooks::default(),
PriceField::Open,
);
).with_volume_capacity_mode(fidc_core::execution_capacity::VolumeCapacityMode::SessionCapacityAudit);
let mut engine = BacktestEngine::new(
data,
FuturesOrderStrategy,
@@ -1569,7 +1569,7 @@ fn platform_runtime_actions_execute_generic_futures_open_and_close() {
ChinaAShareCostModel::default(),
ChinaEquityRuleHooks::default(),
PriceField::Open,
);
).with_volume_capacity_mode(fidc_core::execution_capacity::VolumeCapacityMode::SessionCapacityAudit);
let mut engine = BacktestEngine::new(
two_day_futures_data(),
PlatformExprStrategy::new(cfg),
@@ -1609,7 +1609,7 @@ fn engine_settles_configured_futures_expiration_at_settlement() {
ChinaAShareCostModel::default(),
ChinaEquityRuleHooks::default(),
PriceField::Open,
);
).with_volume_capacity_mode(fidc_core::execution_capacity::VolumeCapacityMode::SessionCapacityAudit);
let mut engine = BacktestEngine::new(
single_day_anchor_data(date),
FuturesOrderStrategy,
@@ -1657,7 +1657,7 @@ fn engine_aggregates_futures_account_into_nav_and_metrics() {
ChinaAShareCostModel::default(),
ChinaEquityRuleHooks::default(),
PriceField::Open,
);
).with_volume_capacity_mode(fidc_core::execution_capacity::VolumeCapacityMode::SessionCapacityAudit);
let mut engine = BacktestEngine::new(
single_day_anchor_data(date),
FuturesOrderStrategy,
@@ -1700,7 +1700,7 @@ fn engine_matches_pending_futures_limit_order_with_data_driven_costs() {
ChinaAShareCostModel::default(),
ChinaEquityRuleHooks::default(),
PriceField::Open,
);
).with_volume_capacity_mode(fidc_core::execution_capacity::VolumeCapacityMode::SessionCapacityAudit);
let mut engine = BacktestEngine::new(
two_day_futures_data(),
FuturesLimitOrderStrategy,
@@ -1753,7 +1753,7 @@ fn engine_reports_pending_futures_order_at_backtest_boundary() {
ChinaAShareCostModel::default(),
ChinaEquityRuleHooks::default(),
PriceField::Open,
);
).with_volume_capacity_mode(fidc_core::execution_capacity::VolumeCapacityMode::SessionCapacityAudit);
let mut engine = BacktestEngine::new(
two_day_futures_data(),
FuturesLimitOrderStrategy,
@@ -1805,7 +1805,7 @@ fn engine_rejects_futures_limit_orders_not_aligned_to_tick() {
ChinaAShareCostModel::default(),
ChinaEquityRuleHooks::default(),
PriceField::Open,
);
).with_volume_capacity_mode(fidc_core::execution_capacity::VolumeCapacityMode::SessionCapacityAudit);
let mut engine = BacktestEngine::new(
two_day_futures_data(),
FuturesInvalidTickLimitStrategy,
@@ -1836,7 +1836,7 @@ fn engine_allows_disabling_futures_limit_tick_validation() {
ChinaAShareCostModel::default(),
ChinaEquityRuleHooks::default(),
PriceField::Open,
);
).with_volume_capacity_mode(fidc_core::execution_capacity::VolumeCapacityMode::SessionCapacityAudit);
let mut engine = BacktestEngine::new(
two_day_futures_data(),
FuturesInvalidTickLimitStrategy,
@@ -1883,7 +1883,7 @@ fn engine_rejects_futures_limit_orders_outside_price_limits() {
ChinaAShareCostModel::default(),
ChinaEquityRuleHooks::default(),
PriceField::Open,
);
).with_volume_capacity_mode(fidc_core::execution_capacity::VolumeCapacityMode::SessionCapacityAudit);
let mut engine = BacktestEngine::new(
two_day_futures_data(),
FuturesAboveUpperLimitStrategy,
@@ -1958,7 +1958,7 @@ fn engine_rejects_futures_orders_when_trading_phase_is_closed() {
ChinaAShareCostModel::default(),
ChinaEquityRuleHooks::default(),
PriceField::Open,
);
).with_volume_capacity_mode(fidc_core::execution_capacity::VolumeCapacityMode::SessionCapacityAudit);
let mut engine = BacktestEngine::new(
data,
FuturesClosedPhaseOrderStrategy,
@@ -2066,7 +2066,7 @@ fn engine_sweeps_futures_order_book_depth_when_available() {
ChinaAShareCostModel::default(),
ChinaEquityRuleHooks::default(),
PriceField::Last,
)
).with_volume_capacity_mode(fidc_core::execution_capacity::VolumeCapacityMode::SessionCapacityAudit)
.with_matching_type(MatchingType::MinuteBestCounterparty);
let mut engine = BacktestEngine::new(
data,
@@ -2111,7 +2111,7 @@ fn strategy_context_exposes_advanced_data_helpers() {
ChinaAShareCostModel::default(),
ChinaEquityRuleHooks::default(),
PriceField::Open,
);
).with_volume_capacity_mode(fidc_core::execution_capacity::VolumeCapacityMode::SessionCapacityAudit);
let mut engine = BacktestEngine::new(
two_day_futures_data(),
AdvancedDataApiProbeStrategy {
@@ -2265,7 +2265,7 @@ fn engine_runs_minute_hooks_and_executes_minute_orders() {
ChinaAShareCostModel::default(),
ChinaEquityRuleHooks::default(),
PriceField::Last,
);
).with_volume_capacity_mode(fidc_core::execution_capacity::VolumeCapacityMode::SessionCapacityAudit);
let loader_requests = Arc::new(Mutex::new(Vec::<ExecutionQuoteRequest>::new()));
let loader_requests_for_callback = Arc::clone(&loader_requests);
let mut engine = BacktestEngine::new(
@@ -2381,7 +2381,7 @@ fn engine_skips_empty_platform_style_minute_callbacks_between_schedule_times() {
ChinaAShareCostModel::default(),
ChinaEquityRuleHooks::default(),
PriceField::Last,
);
).with_volume_capacity_mode(fidc_core::execution_capacity::VolumeCapacityMode::SessionCapacityAudit);
let mut engine = BacktestEngine::new(
data,
strategy,
@@ -2579,7 +2579,7 @@ fn strategy_context_exposes_engine_native_data_helpers() {
ChinaAShareCostModel::default(),
ChinaEquityRuleHooks::default(),
PriceField::Open,
);
).with_volume_capacity_mode(fidc_core::execution_capacity::VolumeCapacityMode::SessionCapacityAudit);
let mut engine = BacktestEngine::new(
data,
strategy,
@@ -2683,7 +2683,7 @@ fn strategy_context_exposes_final_order_runtime_view() {
ChinaAShareCostModel::default(),
ChinaEquityRuleHooks::default(),
PriceField::Close,
);
).with_volume_capacity_mode(fidc_core::execution_capacity::VolumeCapacityMode::SessionCapacityAudit);
let mut engine = BacktestEngine::new(
data,
strategy,
@@ -2959,7 +2959,7 @@ fn engine_applies_account_cash_flow_and_financing_intents() {
ChinaAShareCostModel::default(),
ChinaEquityRuleHooks::default(),
PriceField::Close,
);
).with_volume_capacity_mode(fidc_core::execution_capacity::VolumeCapacityMode::SessionCapacityAudit);
let mut engine = BacktestEngine::new(
data,
AccountFlowStrategy,
@@ -3157,7 +3157,7 @@ fn engine_expires_pending_day_limit_orders_at_market_close() {
ChinaAShareCostModel::default(),
ChinaEquityRuleHooks::default(),
PriceField::Open,
);
).with_volume_capacity_mode(fidc_core::execution_capacity::VolumeCapacityMode::SessionCapacityAudit);
let strategy = LimitCarryStrategy { issued: false };
let mut engine = BacktestEngine::new(
data,
@@ -3394,7 +3394,7 @@ fn engine_runs_scheduled_rules_for_daily_weekly_and_monthly_triggers() {
ChinaAShareCostModel::default(),
ChinaEquityRuleHooks::default(),
PriceField::DayOpen,
);
).with_volume_capacity_mode(fidc_core::execution_capacity::VolumeCapacityMode::SessionCapacityAudit);
let mut engine = BacktestEngine::new(
data,
strategy,
@@ -3649,7 +3649,7 @@ fn engine_dispatches_process_events_to_external_bus_listeners() {
ChinaAShareCostModel::default(),
ChinaEquityRuleHooks::default(),
PriceField::DayOpen,
);
).with_volume_capacity_mode(fidc_core::execution_capacity::VolumeCapacityMode::SessionCapacityAudit);
let mut engine = BacktestEngine::new(
data,
strategy,
@@ -3741,7 +3741,7 @@ fn engine_installs_process_mods_on_event_bus() {
ChinaAShareCostModel::default(),
ChinaEquityRuleHooks::default(),
PriceField::DayOpen,
);
).with_volume_capacity_mode(fidc_core::execution_capacity::VolumeCapacityMode::SessionCapacityAudit);
let mut engine = BacktestEngine::new(
data,
HookProbeStrategy {
@@ -3778,7 +3778,7 @@ fn engine_installs_enabled_process_mods_from_loader() {
ChinaAShareCostModel::default(),
ChinaEquityRuleHooks::default(),
PriceField::DayOpen,
);
).with_volume_capacity_mode(fidc_core::execution_capacity::VolumeCapacityMode::SessionCapacityAudit);
let mut engine = BacktestEngine::new(
data,
HookProbeStrategy {
@@ -3981,7 +3981,7 @@ fn engine_applies_dynamic_universe_and_subscription_directives() {
ChinaAShareCostModel::default(),
ChinaEquityRuleHooks::default(),
PriceField::Open,
);
).with_volume_capacity_mode(fidc_core::execution_capacity::VolumeCapacityMode::SessionCapacityAudit);
let mut engine = BacktestEngine::new(
data,
strategy,
@@ -4105,7 +4105,7 @@ fn engine_exposes_current_process_context_to_strategies() {
ChinaAShareCostModel::default(),
ChinaEquityRuleHooks::default(),
PriceField::Last,
);
).with_volume_capacity_mode(fidc_core::execution_capacity::VolumeCapacityMode::SessionCapacityAudit);
let mut engine = BacktestEngine::new(
data,
strategy,
@@ -4215,7 +4215,7 @@ fn engine_rejects_an_unexplained_missing_holding_close() {
ChinaAShareCostModel::default(),
ChinaEquityRuleHooks::default(),
PriceField::Open,
);
).with_volume_capacity_mode(fidc_core::execution_capacity::VolumeCapacityMode::SessionCapacityAudit);
let mut engine = BacktestEngine::new(
data,
BuyMissingRowThenHoldStrategy,
@@ -4314,7 +4314,7 @@ fn platform_strategy_cannot_hide_missing_valuation_by_skipping_stop_take() {
ChinaAShareCostModel::default(),
ChinaEquityRuleHooks::default(),
PriceField::Open,
);
).with_volume_capacity_mode(fidc_core::execution_capacity::VolumeCapacityMode::SessionCapacityAudit);
let mut engine = BacktestEngine::new(
data,
PlatformExprStrategy::new(config),