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
@@ -1,9 +1,9 @@
 use chrono::{NaiveDate, NaiveTime};
 use fidc_core::{
    AlgoOrderStyle, BenchmarkSnapshot, BrokerSimulator, CandidateEligibility, ChinaAShareCostModel,
-    ChinaEquityRuleHooks, DailyFactorSnapshot, DailyMarketSnapshot, DataSet, Instrument,
-    IntradayExecutionQuote, MatchingType, OrderIntent, OrderStatus, PortfolioState, PriceField,
-    ProcessEventKind, SlippageModel, StrategyDecision, TargetPortfolioOrderPricing,
+    ChinaEquityRuleHooks, DailyFactorSnapshot, DailyMarketSnapshot, DataSet, DynamicSlippageConfig,
+    Instrument, IntradayExecutionQuote, MatchingType, OrderIntent, OrderStatus, PortfolioState,
+    PriceField, ProcessEventKind, SlippageModel, StrategyDecision, TargetPortfolioOrderPricing,
 };
 use std::collections::{BTreeMap, BTreeSet};

@@ -1485,6 +1485,110 @@ fn broker_applies_price_ratio_slippage_on_snapshot_fills() {
    assert!((report.fill_events[0].price - 10.1).abs() < 1e-9);
 }

+#[test]
+fn broker_applies_dynamic_slippage_on_snapshot_fills() {
+    let date = NaiveDate::from_ymd_opt(2024, 1, 10).unwrap();
+    let data = DataSet::from_components(
+        vec![Instrument {
+            symbol: "000002.SZ".to_string(),
+            name: "Test".to_string(),
+            board: "SZ".to_string(),
+            round_lot: 100,
+            listed_at: None,
+            delisted_at: None,
+            status: "active".to_string(),
+        }],
+        vec![DailyMarketSnapshot {
+            date,
+            symbol: "000002.SZ".to_string(),
+            timestamp: Some("2024-01-10 10:18:00".to_string()),
+            day_open: 10.0,
+            open: 10.0,
+            high: 10.1,
+            low: 9.9,
+            close: 10.0,
+            last_price: 10.0,
+            bid1: 9.99,
+            ask1: 10.01,
+            prev_close: 10.0,
+            volume: 100_000,
+            tick_volume: 100_000,
+            bid1_volume: 80_000,
+            ask1_volume: 80_000,
+            trading_phase: Some("continuous".to_string()),
+            paused: false,
+            upper_limit: 11.0,
+            lower_limit: 9.0,
+            price_tick: 0.01,
+        }],
+        vec![DailyFactorSnapshot {
+            date,
+            symbol: "000002.SZ".to_string(),
+            market_cap_bn: 50.0,
+            free_float_cap_bn: 45.0,
+            pe_ttm: 15.0,
+            turnover_ratio: Some(2.0),
+            effective_turnover_ratio: Some(1.8),
+            extra_factors: BTreeMap::new(),
+        }],
+        vec![CandidateEligibility {
+            date,
+            symbol: "000002.SZ".to_string(),
+            is_st: false,
+            is_new_listing: false,
+            is_paused: false,
+            allow_buy: true,
+            allow_sell: true,
+            is_kcb: false,
+            is_one_yuan: false,
+        }],
+        vec![BenchmarkSnapshot {
+            date,
+            benchmark: "000300.SH".to_string(),
+            open: 100.0,
+            close: 100.0,
+            prev_close: 99.0,
+            volume: 1_000_000,
+        }],
+    )
+    .expect("dataset");
+    let mut portfolio = PortfolioState::new(1_000_000.0);
+    let broker = BrokerSimulator::new_with_execution_price(
+        ChinaAShareCostModel::default(),
+        ChinaEquityRuleHooks::default(),
+        PriceField::Open,
+    )
+    .with_slippage_model(SlippageModel::Dynamic(DynamicSlippageConfig::new(
+        0.5, 0.3, 0.1,
+    )));
+
+    let report = broker
+        .execute(
+            date,
+            &mut portfolio,
+            &data,
+            &StrategyDecision {
+                rebalance: false,
+                target_weights: BTreeMap::new(),
+                exit_symbols: BTreeSet::new(),
+                order_intents: vec![OrderIntent::Value {
+                    symbol: "000002.SZ".to_string(),
+                    value: 100_000.0,
+                    reason: "dynamic_slippage".to_string(),
+                }],
+                notes: Vec::new(),
+                diagnostics: Vec::new(),
+            },
+        )
+        .expect("broker execution");
+
+    assert_eq!(report.fill_events.len(), 1);
+    let expected_ratio = ((10.0 * report.fill_events[0].quantity as f64) / (100_000.0 * 10.0))
+        * 0.5
+        + ((10.1 - 9.9) / 10.0) * 0.3;
+    assert!((report.fill_events[0].price - 10.0 * (1.0 + expected_ratio)).abs() < 1e-9);
+}
+
 #[test]
 fn broker_applies_tick_size_slippage_on_intraday_last_fills() {
    let date = NaiveDate::from_ymd_opt(2024, 1, 10).unwrap();