Add bar and tick strategy lifecycle
This commit is contained in:
boris
@@ -2,18 +2,24 @@ use std::cell::RefCell;
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use std::collections::{BTreeMap, BTreeSet};
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use std::rc::Rc;
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use chrono::NaiveDate;
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use chrono::{NaiveDate, NaiveDateTime};
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use fidc_core::{
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BacktestConfig, BacktestEngine, BenchmarkSnapshot, BrokerSimulator, CandidateEligibility,
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ChinaAShareCostModel, ChinaEquityRuleHooks, DailyFactorSnapshot, DailyMarketSnapshot, DataSet,
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Instrument, OrderIntent, PriceField, ProcessEventKind, ScheduleRule, ScheduleStage,
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ScheduleTimeRule, Strategy, StrategyContext, StrategyDecision,
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Instrument, IntradayExecutionQuote, OrderIntent, PriceField, ProcessEventKind, ScheduleRule,
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ScheduleStage, ScheduleTimeRule, Strategy, StrategyContext, StrategyDecision,
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};
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fn d(year: i32, month: u32, day: u32) -> NaiveDate {
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NaiveDate::from_ymd_opt(year, month, day).expect("valid date")
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}
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fn dt(year: i32, month: u32, day: u32, hour: u32, minute: u32, second: u32) -> NaiveDateTime {
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d(year, month, day)
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.and_hms_opt(hour, minute, second)
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.expect("valid datetime")
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}
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struct HookProbeStrategy {
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log: Rc<RefCell<Vec<String>>>,
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}
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@@ -133,6 +139,11 @@ struct UniverseDirectiveStrategy {
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snapshots: Rc<RefCell<Vec<String>>>,
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}
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struct TickProbeStrategy {
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seen_ticks: Rc<RefCell<Vec<String>>>,
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ordered: bool,
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}
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impl Strategy for ScheduledProbeStrategy {
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fn name(&self) -> &str {
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"scheduled-probe"
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@@ -287,6 +298,58 @@ impl Strategy for UniverseDirectiveStrategy {
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}
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}
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impl Strategy for TickProbeStrategy {
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fn name(&self) -> &str {
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"tick-probe"
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}
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fn on_day(
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&mut self,
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_ctx: &StrategyContext<'_>,
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) -> Result<StrategyDecision, fidc_core::BacktestError> {
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Ok(StrategyDecision {
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rebalance: false,
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target_weights: BTreeMap::new(),
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exit_symbols: BTreeSet::new(),
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order_intents: vec![OrderIntent::Subscribe {
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symbols: BTreeSet::from(["000001.SZ".to_string()]),
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reason: "subscribe_tick_probe".to_string(),
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}],
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notes: Vec::new(),
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diagnostics: Vec::new(),
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})
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}
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fn on_tick(
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&mut self,
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ctx: &StrategyContext<'_>,
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quote: &IntradayExecutionQuote,
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) -> Result<StrategyDecision, fidc_core::BacktestError> {
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self.seen_ticks.borrow_mut().push(format!(
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"{}:{}:{}",
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quote.symbol,
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quote.timestamp.time(),
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ctx.is_subscribed("e.symbol)
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));
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if self.ordered {
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return Ok(StrategyDecision::default());
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}
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self.ordered = true;
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Ok(StrategyDecision {
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rebalance: false,
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target_weights: BTreeMap::new(),
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exit_symbols: BTreeSet::new(),
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order_intents: vec![OrderIntent::Shares {
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symbol: quote.symbol.clone(),
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quantity: 100,
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reason: "tick_buy".to_string(),
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}],
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notes: Vec::new(),
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diagnostics: Vec::new(),
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})
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}
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}
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#[test]
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fn engine_runs_strategy_hooks_in_daily_order() {
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let date1 = d(2025, 1, 2);
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@@ -454,9 +517,9 @@ fn engine_runs_strategy_hooks_in_daily_order() {
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"settlement:2025-01-03",
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]
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);
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assert_eq!(result.process_events.len(), 30);
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assert_eq!(result.process_events.len(), 36);
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assert_eq!(
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result.process_events[..15]
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result.process_events[..18]
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.iter()
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.map(|event| &event.kind)
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.collect::<Vec<_>>(),
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@@ -469,7 +532,10 @@ fn engine_runs_strategy_hooks_in_daily_order() {
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&ProcessEventKind::PostOpenAuction,
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&ProcessEventKind::PreOnDay,
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&ProcessEventKind::OnDay,
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&ProcessEventKind::PreBar,
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&ProcessEventKind::Bar,
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&ProcessEventKind::PostOnDay,
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&ProcessEventKind::PostBar,
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&ProcessEventKind::PreAfterTrading,
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&ProcessEventKind::AfterTrading,
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&ProcessEventKind::PostAfterTrading,
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@@ -578,6 +644,156 @@ fn engine_executes_open_auction_decisions_before_on_day() {
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assert_eq!(result.fills[0].quantity, 100);
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}
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#[test]
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fn engine_runs_subscribed_tick_hooks_and_executes_tick_orders() {
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let date = d(2025, 1, 2);
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let data = DataSet::from_components_with_actions_and_quotes(
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vec![Instrument {
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symbol: "000001.SZ".to_string(),
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name: "Anchor".to_string(),
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board: "SZ".to_string(),
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round_lot: 100,
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listed_at: Some(d(2020, 1, 1)),
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delisted_at: None,
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status: "active".to_string(),
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}],
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vec![DailyMarketSnapshot {
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date,
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symbol: "000001.SZ".to_string(),
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timestamp: Some("2025-01-02 10:18:00".to_string()),
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day_open: 10.0,
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open: 10.0,
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high: 10.4,
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low: 9.9,
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close: 10.3,
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last_price: 10.2,
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bid1: 10.1,
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ask1: 10.2,
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prev_close: 10.0,
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volume: 100_000,
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tick_volume: 100_000,
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bid1_volume: 100_000,
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ask1_volume: 100_000,
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trading_phase: Some("continuous".to_string()),
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paused: false,
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upper_limit: 11.0,
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lower_limit: 9.0,
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price_tick: 0.01,
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}],
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vec![DailyFactorSnapshot {
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date,
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symbol: "000001.SZ".to_string(),
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market_cap_bn: 20.0,
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free_float_cap_bn: 18.0,
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pe_ttm: 10.0,
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turnover_ratio: Some(1.0),
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effective_turnover_ratio: Some(1.0),
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extra_factors: BTreeMap::new(),
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}],
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vec![CandidateEligibility {
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date,
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symbol: "000001.SZ".to_string(),
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is_st: false,
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is_new_listing: false,
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is_paused: false,
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allow_buy: true,
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allow_sell: true,
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is_kcb: false,
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is_one_yuan: false,
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}],
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vec![BenchmarkSnapshot {
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date,
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benchmark: "000300.SH".to_string(),
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open: 100.0,
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close: 100.0,
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prev_close: 99.0,
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volume: 1_000_000,
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}],
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Vec::new(),
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vec![
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IntradayExecutionQuote {
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date,
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symbol: "000001.SZ".to_string(),
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timestamp: dt(2025, 1, 2, 10, 18, 0),
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last_price: 10.2,
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bid1: 10.1,
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ask1: 10.2,
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bid1_volume: 1_000,
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ask1_volume: 1_000,
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volume_delta: 1_000,
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amount_delta: 10_200.0,
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trading_phase: Some("continuous".to_string()),
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},
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IntradayExecutionQuote {
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date,
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symbol: "000001.SZ".to_string(),
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timestamp: dt(2025, 1, 2, 10, 19, 0),
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last_price: 10.3,
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bid1: 10.2,
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ask1: 10.3,
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bid1_volume: 1_000,
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ask1_volume: 1_000,
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volume_delta: 1_000,
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amount_delta: 10_300.0,
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trading_phase: Some("continuous".to_string()),
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},
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],
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)
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.expect("dataset");
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let seen_ticks = Rc::new(RefCell::new(Vec::new()));
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let strategy = TickProbeStrategy {
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seen_ticks: seen_ticks.clone(),
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ordered: false,
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};
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let broker = BrokerSimulator::new_with_execution_price(
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ChinaAShareCostModel::default(),
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ChinaEquityRuleHooks::default(),
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PriceField::Last,
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);
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let mut engine = BacktestEngine::new(
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data,
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strategy,
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broker,
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BacktestConfig {
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initial_cash: 10_000.0,
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benchmark_code: "000300.SH".to_string(),
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start_date: Some(date),
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end_date: Some(date),
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decision_lag_trading_days: 0,
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execution_price_field: PriceField::Last,
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},
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);
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let result = engine.run().expect("backtest run");
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assert_eq!(
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seen_ticks.borrow().as_slice(),
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["000001.SZ:10:18:00:true", "000001.SZ:10:19:00:true"]
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);
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assert_eq!(result.fills.len(), 1);
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assert_eq!(result.fills[0].reason, "tick_buy");
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assert_eq!(result.fills[0].quantity, 100);
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assert!(
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result
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.process_events
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.iter()
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.any(|event| event.kind == ProcessEventKind::PreTick)
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);
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assert!(
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result
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.process_events
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.iter()
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.any(|event| event.kind == ProcessEventKind::Tick)
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);
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assert!(
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result
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.process_events
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.iter()
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.any(|event| event.kind == ProcessEventKind::PostTick)
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);
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}
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#[test]
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fn engine_rejects_pending_limit_orders_at_market_close() {
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let date1 = d(2025, 1, 2);
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