完善平台策略回测撮合和滑点

2026-05-28 08:59:14 +08:00
parent 3499d4aa74
commit 200d5d1f41
8 changed files with 786 additions and 92 deletions
@@ -270,15 +270,31 @@ impl Position {
    }

    pub fn apply_cash_dividend(&mut self, dividend_per_share: f64) -> f64 {
+        self.apply_cash_dividend_internal(dividend_per_share, true)
+    }
+
+    pub fn apply_cash_dividend_preserve_cost_basis(&mut self, dividend_per_share: f64) -> f64 {
+        self.apply_cash_dividend_internal(dividend_per_share, false)
+    }
+
+    fn apply_cash_dividend_internal(
+        &mut self,
+        dividend_per_share: f64,
+        adjust_cost_basis: bool,
+    ) -> f64 {
        if self.quantity == 0 || !dividend_per_share.is_finite() || dividend_per_share == 0.0 {
            return 0.0;
        }

        for lot in &mut self.lots {
            lot.entry_price -= dividend_per_share;
-            lot.price -= dividend_per_share;
+            if adjust_cost_basis {
+                lot.price -= dividend_per_share;
+            }
+        }
+        if adjust_cost_basis {
+            self.average_cost -= dividend_per_share;
        }
-        self.average_cost -= dividend_per_share;
        self.last_price -= dividend_per_share;
        let cash_delta = self.quantity as f64 * dividend_per_share;
        self.day_dividend_cash += cash_delta;
@@ -887,6 +903,23 @@ mod tests {
        assert!((position.holding_return(6.06).unwrap() - (6.06 / 5.66 - 1.0)).abs() < 1e-12);
    }

+    #[test]
+    fn cash_dividend_can_preserve_avg_cost_for_aiquant_compatibility() {
+        let date = NaiveDate::from_ymd_opt(2025, 1, 2).unwrap();
+        let mut position = Position::new("603102.SH");
+        position.buy(date, 1000, 46.45);
+        position.record_buy_trade_cost(1000, 37.16);
+
+        let cost_before = position.average_cost;
+        let entry_before = position.average_entry_price().unwrap();
+        let cash = position.apply_cash_dividend_preserve_cost_basis(0.6);
+
+        assert!((cash - 600.0).abs() < 1e-12);
+        assert!((position.average_cost - cost_before).abs() < 1e-12);
+        assert!((position.average_entry_price().unwrap() - (entry_before - 0.6)).abs() < 1e-12);
+        assert!((position.last_price - 45.85).abs() < 1e-12);
+    }
+
    #[test]
    fn portfolio_tracks_dividend_receivable_and_day_pnl() {
        let prev_date = NaiveDate::from_ymd_opt(2025, 1, 2).unwrap();