Improve jq microcap execution semantics
This commit is contained in:
boris
@@ -5,8 +5,9 @@ use thiserror::Error;
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use crate::broker::{BrokerExecutionReport, BrokerSimulator};
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use crate::cost::CostModel;
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use crate::data::{BenchmarkSnapshot, DataSet, DataSetError, PriceField};
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use crate::events::{AccountEvent, FillEvent, OrderEvent, PositionEvent};
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use crate::portfolio::{HoldingSummary, PortfolioState};
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use crate::events::{AccountEvent, FillEvent, OrderEvent, OrderSide, OrderStatus, PositionEvent};
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use crate::metrics::{BacktestMetrics, compute_backtest_metrics};
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use crate::portfolio::{CashReceivable, HoldingSummary, PortfolioState};
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use crate::rules::EquityRuleHooks;
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use crate::strategy::{Strategy, StrategyContext};
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@@ -32,6 +33,8 @@ pub struct BacktestConfig {
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pub benchmark_code: String,
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pub start_date: Option<NaiveDate>,
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pub end_date: Option<NaiveDate>,
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pub decision_lag_trading_days: usize,
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pub execution_price_field: PriceField,
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}
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#[derive(Debug, Clone, Serialize)]
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@@ -56,6 +59,28 @@ pub struct BacktestResult {
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pub position_events: Vec<PositionEvent>,
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pub account_events: Vec<AccountEvent>,
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pub holdings_summary: Vec<HoldingSummary>,
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pub daily_holdings: Vec<HoldingSummary>,
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pub metrics: BacktestMetrics,
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}
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#[derive(Debug, Clone, Serialize)]
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pub struct BacktestDayProgress {
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#[serde(with = "date_format")]
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pub date: NaiveDate,
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pub cash: f64,
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pub market_value: f64,
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pub total_equity: f64,
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pub unit_nav: f64,
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pub total_return: f64,
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pub benchmark_close: f64,
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pub daily_fill_count: usize,
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pub cumulative_trade_count: usize,
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pub holding_count: usize,
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pub notes: String,
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pub diagnostics: String,
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pub orders: Vec<OrderEvent>,
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pub fills: Vec<FillEvent>,
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pub holdings: Vec<HoldingSummary>,
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}
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pub struct BacktestEngine<S, C, R> {
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@@ -88,15 +113,28 @@ where
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R: EquityRuleHooks,
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{
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pub fn run(&mut self) -> Result<BacktestResult, BacktestError> {
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self.run_with_progress(|_| {})
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}
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pub fn run_with_progress<F>(&mut self, mut on_progress: F) -> Result<BacktestResult, BacktestError>
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where
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F: FnMut(&BacktestDayProgress),
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{
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let mut portfolio = PortfolioState::new(self.config.initial_cash);
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let execution_dates = self
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.data
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.calendar()
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.iter()
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.filter(|date| self.config.start_date.map(|start| *date >= start).unwrap_or(true))
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.filter(|date| {
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self.config
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.start_date
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.map(|start| *date >= start)
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.unwrap_or(true)
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})
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.filter(|date| self.config.end_date.map(|end| *date <= end).unwrap_or(true))
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.filter(|date| {
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!self.data.factor_snapshots_on(*date).is_empty() && !self.data.candidate_snapshots_on(*date).is_empty()
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!self.data.factor_snapshots_on(*date).is_empty()
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&& !self.data.candidate_snapshots_on(*date).is_empty()
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})
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.collect::<Vec<_>>();
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let mut result = BacktestResult {
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@@ -105,8 +143,18 @@ where
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.data
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.benchmark_series()
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.into_iter()
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.filter(|row| self.config.start_date.map(|start| row.date >= start).unwrap_or(true))
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.filter(|row| self.config.end_date.map(|end| row.date <= end).unwrap_or(true))
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.filter(|row| {
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self.config
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.start_date
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.map(|start| row.date >= start)
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.unwrap_or(true)
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})
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.filter(|row| {
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self.config
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.end_date
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.map(|end| row.date <= end)
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.unwrap_or(true)
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})
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.collect(),
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order_events: Vec::new(),
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fills: Vec::new(),
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@@ -114,11 +162,33 @@ where
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account_events: Vec::new(),
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equity_curve: Vec::new(),
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holdings_summary: Vec::new(),
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daily_holdings: Vec::new(),
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metrics: BacktestMetrics::default(),
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};
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for (execution_idx, execution_date) in execution_dates.iter().copied().enumerate() {
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let mut corporate_action_notes = Vec::new();
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let receivable_report = self.settle_cash_receivables(
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execution_date,
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&mut portfolio,
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&mut corporate_action_notes,
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)?;
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self.extend_result(&mut result, receivable_report);
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let delisting_report = self.settle_delisted_positions(
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execution_date,
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&mut portfolio,
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&mut corporate_action_notes,
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)?;
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self.extend_result(&mut result, delisting_report);
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let corporate_action_report = self.apply_corporate_actions(
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execution_date,
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&mut portfolio,
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&mut corporate_action_notes,
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)?;
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self.extend_result(&mut result, corporate_action_report);
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let decision = execution_idx
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.checked_sub(1)
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.checked_sub(self.config.decision_lag_trading_days)
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.map(|decision_idx| {
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let decision_date = execution_dates[decision_idx];
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self.strategy.on_day(&StrategyContext {
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@@ -132,21 +202,29 @@ where
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.transpose()?
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.unwrap_or_default();
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let report = self
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.broker
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.execute(execution_date, &mut portfolio, &self.data, &decision)?;
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let report =
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self.broker
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.execute(execution_date, &mut portfolio, &self.data, &decision)?;
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let daily_fill_count = report.fill_events.len();
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let day_orders = report.order_events.clone();
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let day_fills = report.fill_events.clone();
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self.extend_result(&mut result, report);
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portfolio.update_prices(execution_date, &self.data, PriceField::Close)?;
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let benchmark = self
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.data
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.benchmark(execution_date)
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.ok_or(BacktestError::MissingBenchmark {
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date: execution_date,
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})?;
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let notes = decision.notes.join(" | ");
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let benchmark =
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self.data
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.benchmark(execution_date)
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.ok_or(BacktestError::MissingBenchmark {
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date: execution_date,
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})?;
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let notes = corporate_action_notes
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.into_iter()
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.chain(decision.notes.into_iter())
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.collect::<Vec<_>>()
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.join(" | ");
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let diagnostics = decision.diagnostics.join(" | ");
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let holdings_for_day = portfolio.holdings_summary(execution_date);
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result.equity_curve.push(DailyEquityPoint {
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date: execution_date,
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@@ -157,20 +235,295 @@ where
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notes,
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diagnostics,
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});
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result.daily_holdings.extend(holdings_for_day.clone());
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let latest = result
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.equity_curve
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.last()
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.expect("equity point pushed for progress event");
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on_progress(&BacktestDayProgress {
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date: execution_date,
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cash: latest.cash,
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market_value: latest.market_value,
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total_equity: latest.total_equity,
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unit_nav: if self.config.initial_cash.abs() < f64::EPSILON {
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0.0
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} else {
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latest.total_equity / self.config.initial_cash
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},
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total_return: if self.config.initial_cash.abs() < f64::EPSILON {
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0.0
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} else {
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(latest.total_equity / self.config.initial_cash) - 1.0
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},
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benchmark_close: latest.benchmark_close,
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daily_fill_count,
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cumulative_trade_count: result.fills.len(),
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holding_count: holdings_for_day.len(),
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notes: latest.notes.clone(),
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diagnostics: latest.diagnostics.clone(),
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orders: day_orders,
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fills: day_fills,
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holdings: holdings_for_day,
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});
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}
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if let Some(last_date) = execution_dates.last().copied() {
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result.holdings_summary = portfolio.holdings_summary(last_date);
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}
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result.metrics = compute_backtest_metrics(
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&result.equity_curve,
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&result.fills,
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&result.daily_holdings,
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self.config.initial_cash,
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);
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Ok(result)
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}
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fn extend_result(&self, result: &mut BacktestResult, report: BrokerExecutionReport) {
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result.order_events.extend(report.order_events);
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result.fills.extend(report.fill_events);
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result.position_events.extend(report.position_events);
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result.account_events.extend(report.account_events);
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fn extend_result(
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&self,
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result: &mut BacktestResult,
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report: BrokerExecutionReport,
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) -> BrokerExecutionReport {
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result.order_events.extend(report.order_events.clone());
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result.fills.extend(report.fill_events.clone());
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result.position_events.extend(report.position_events.clone());
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result.account_events.extend(report.account_events.clone());
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report
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}
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fn apply_corporate_actions(
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&self,
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date: NaiveDate,
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portfolio: &mut PortfolioState,
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notes: &mut Vec<String>,
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) -> Result<BrokerExecutionReport, BacktestError> {
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let mut report = BrokerExecutionReport::default();
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for action in self.data.corporate_actions_on(date) {
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if !action.has_effect() {
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continue;
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}
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let Some(existing_position) = portfolio.position(&action.symbol) else {
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continue;
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};
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if existing_position.quantity == 0 {
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continue;
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}
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if action.share_cash.abs() > f64::EPSILON {
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let cash_before = portfolio.cash();
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let (cash_delta, quantity_after, average_cost) = {
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let position = portfolio
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.position_mut_if_exists(&action.symbol)
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.expect("position exists for dividend action");
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let cash_delta = position.apply_cash_dividend(action.share_cash);
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(cash_delta, position.quantity, position.average_cost)
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};
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if cash_delta.abs() > f64::EPSILON {
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let payable_date = action.payable_date.unwrap_or(date);
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let immediate_cash = payable_date <= date;
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let note = if immediate_cash {
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portfolio.apply_cash_delta(cash_delta);
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format!(
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"cash_dividend {} share_cash={:.6} quantity={} cash={:.2}",
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action.symbol, action.share_cash, quantity_after, cash_delta
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)
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} else {
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portfolio.add_cash_receivable(CashReceivable {
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symbol: action.symbol.clone(),
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ex_date: date,
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payable_date,
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amount: cash_delta,
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reason: format!("cash_dividend {:.6}", action.share_cash),
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});
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format!(
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"cash_dividend_receivable {} share_cash={:.6} quantity={} payable_date={} cash={:.2}",
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action.symbol, action.share_cash, quantity_after, payable_date, cash_delta
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)
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};
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notes.push(note.clone());
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report.account_events.push(AccountEvent {
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date,
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cash_before,
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cash_after: portfolio.cash(),
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total_equity: portfolio.total_equity(),
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note,
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});
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report.position_events.push(PositionEvent {
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date,
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symbol: action.symbol.clone(),
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delta_quantity: 0,
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quantity_after,
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average_cost,
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realized_pnl_delta: 0.0,
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reason: format!("cash_dividend {:.6}", action.share_cash),
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});
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}
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}
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let split_ratio = action.split_ratio();
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if (split_ratio - 1.0).abs() > f64::EPSILON {
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let (delta_quantity, quantity_after, average_cost) = {
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let position = portfolio
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.position_mut_if_exists(&action.symbol)
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.expect("position exists for split action");
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let delta_quantity = position.apply_split_ratio(split_ratio);
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(delta_quantity, position.quantity, position.average_cost)
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};
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if delta_quantity != 0 {
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let note = format!(
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"stock_split {} ratio={:.6} delta_qty={}",
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action.symbol, split_ratio, delta_quantity
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);
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notes.push(note);
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report.position_events.push(PositionEvent {
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date,
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symbol: action.symbol.clone(),
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delta_quantity,
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quantity_after,
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average_cost,
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realized_pnl_delta: 0.0,
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reason: format!("stock_split {:.6}", split_ratio),
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});
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}
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}
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}
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portfolio.prune_flat_positions();
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Ok(report)
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}
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fn settle_cash_receivables(
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&self,
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date: NaiveDate,
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portfolio: &mut PortfolioState,
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notes: &mut Vec<String>,
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) -> Result<BrokerExecutionReport, BacktestError> {
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let mut report = BrokerExecutionReport::default();
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let settled = portfolio.settle_cash_receivables(date);
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for receivable in settled {
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let note = format!(
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"cash_receivable_settled {} ex_date={} payable_date={} cash={:.2}",
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receivable.symbol, receivable.ex_date, receivable.payable_date, receivable.amount
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);
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notes.push(note.clone());
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report.account_events.push(AccountEvent {
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date,
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cash_before: portfolio.cash() - receivable.amount,
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cash_after: portfolio.cash(),
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total_equity: portfolio.total_equity(),
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note,
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});
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}
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Ok(report)
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}
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fn settle_delisted_positions(
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&self,
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date: NaiveDate,
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portfolio: &mut PortfolioState,
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notes: &mut Vec<String>,
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) -> Result<BrokerExecutionReport, BacktestError> {
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let mut report = BrokerExecutionReport::default();
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let symbols = portfolio.positions().keys().cloned().collect::<Vec<_>>();
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for symbol in symbols {
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let Some(position) = portfolio.position(&symbol) else {
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continue;
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};
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if position.quantity == 0 {
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continue;
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}
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let Some(instrument) = self.data.instrument(&symbol) else {
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continue;
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};
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let should_settle = instrument.is_delisted_before(date)
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|| (instrument.status.eq_ignore_ascii_case("delisted")
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&& instrument.delisted_at.is_none()
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&& self.data.market(date, &symbol).is_none());
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if !should_settle {
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continue;
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}
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let quantity = position.quantity;
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let fallback_reference_price = if position.last_price > 0.0 {
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position.last_price
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} else {
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position.average_cost
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};
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let effective_delisted_at = instrument
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.delisted_at
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.or_else(|| self.data.calendar().previous_day(date))
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.unwrap_or(date);
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let settlement_price = self
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.data
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.price_on_or_before(effective_delisted_at, &symbol, PriceField::Close)
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.or_else(|| self.data.price_on_or_before(date, &symbol, PriceField::Close))
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.filter(|price| price.is_finite() && *price > 0.0)
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.unwrap_or(fallback_reference_price);
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if !settlement_price.is_finite() || settlement_price <= 0.0 {
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return Err(BacktestError::Execution(format!(
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"missing delisting settlement price for {} on {}",
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symbol, date
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)));
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}
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let cash_before = portfolio.cash();
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let gross_amount = settlement_price * quantity as f64;
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let realized_pnl_delta = {
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let position = portfolio
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.position_mut_if_exists(&symbol)
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.expect("position exists for delisting settlement");
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position
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.sell(quantity, settlement_price)
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.map_err(BacktestError::Execution)?
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};
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portfolio.apply_cash_delta(gross_amount);
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portfolio.prune_flat_positions();
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let reason = format!(
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"delisted_cash_settlement effective_date={} status={}",
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effective_delisted_at, instrument.status
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);
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notes.push(reason.clone());
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report.order_events.push(OrderEvent {
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date,
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symbol: symbol.clone(),
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side: OrderSide::Sell,
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requested_quantity: quantity,
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filled_quantity: quantity,
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status: OrderStatus::Filled,
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reason: reason.clone(),
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});
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report.fill_events.push(FillEvent {
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date,
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symbol: symbol.clone(),
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side: OrderSide::Sell,
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quantity,
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price: settlement_price,
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gross_amount,
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commission: 0.0,
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stamp_tax: 0.0,
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net_cash_flow: gross_amount,
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reason: reason.clone(),
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});
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report.position_events.push(PositionEvent {
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date,
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symbol: symbol.clone(),
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delta_quantity: -(quantity as i32),
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quantity_after: 0,
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average_cost: 0.0,
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realized_pnl_delta,
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reason: reason.clone(),
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});
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report.account_events.push(AccountEvent {
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date,
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cash_before,
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cash_after: portfolio.cash(),
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total_equity: portfolio.total_equity(),
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note: reason,
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});
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}
|
||||
Ok(report)
|
||||
}
|
||||
}
|
||||
|
||||
|
||||
Reference in New Issue
Block a user