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完善平台策略回测撮合和滑点

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This commit is contained in:
boris
2026-05-28 08:59:14 +08:00
parent 3499d4aa74
commit 200d5d1f41
8 changed files with 786 additions and 92 deletions
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crates/fidc-core/src/broker.rs
+116 -28
View File
@@ -80,12 +80,68 @@ pub enum MatchingType {
Twap,
}
#[derive(Debug, Clone, Copy, PartialEq)]
pub struct DynamicSlippageConfig {
pub impact_coefficient: f64,
pub volatility_coefficient: f64,
pub max_ratio: f64,
}
impl DynamicSlippageConfig {
pub fn new(impact_coefficient: f64, volatility_coefficient: f64, max_ratio: f64) -> Self {
Self {
impact_coefficient: impact_coefficient.max(0.0),
volatility_coefficient: volatility_coefficient.max(0.0),
max_ratio: max_ratio.max(0.0),
}
}
fn ratio(
&self,
snapshot: &crate::data::DailyMarketSnapshot,
raw_price: f64,
order_value: Option<f64>,
) -> f64 {
let daily_amount = (snapshot.volume as f64 * raw_price).max(0.0);
let impact_ratio = match order_value {
Some(value) if value.is_finite() && value > 0.0 && daily_amount > 0.0 => {
value / daily_amount
}
_ => 0.0,
};
let volatility_base = if snapshot.prev_close.is_finite() && snapshot.prev_close > 0.0 {
snapshot.prev_close
} else {
raw_price
};
let volatility = if snapshot.high.is_finite()
&& snapshot.low.is_finite()
&& volatility_base.is_finite()
&& volatility_base > 0.0
{
((snapshot.high - snapshot.low).abs() / volatility_base).max(0.0)
} else {
0.0
};
let ratio =
impact_ratio * self.impact_coefficient + volatility * self.volatility_coefficient;
ratio.clamp(0.0, self.max_ratio)
}
}
impl Default for DynamicSlippageConfig {
fn default() -> Self {
Self::new(0.5, 0.3, 0.01)
}
}
#[derive(Debug, Clone, Copy, PartialEq)]
pub enum SlippageModel {
None,
PriceRatio(f64),
TickSize(f64),
LimitPrice,
Dynamic(DynamicSlippageConfig),
}
#[derive(Debug, Clone, Copy, PartialEq, Eq)]
@@ -306,6 +362,7 @@ where
&self,
snapshot: &crate::data::DailyMarketSnapshot,
side: OrderSide,
quantity: Option<u32>,
) -> f64 {
let raw_price = if self.execution_price_field == PriceField::Last
&& self.intraday_execution_start_time.is_some()
@@ -319,7 +376,7 @@ where
}
};
self.apply_slippage(snapshot, side, raw_price)
self.apply_slippage(snapshot, side, raw_price, quantity)
}
fn is_open_auction_matching(&self) -> bool {
@@ -331,6 +388,7 @@ where
snapshot: &crate::data::DailyMarketSnapshot,
side: OrderSide,
raw_price: f64,
quantity: Option<u32>,
) -> f64 {
if !raw_price.is_finite() || raw_price <= 0.0 {
return raw_price;
@@ -340,6 +398,7 @@ where
return self.clamp_execution_price(snapshot, side, raw_price);
}
let order_value = quantity.and_then(|qty| (qty > 0).then_some(raw_price * qty as f64));
let adjusted = match self.slippage_model {
SlippageModel::None => raw_price,
SlippageModel::PriceRatio(ratio) => {
@@ -358,6 +417,13 @@ where
}
}
SlippageModel::LimitPrice => raw_price,
SlippageModel::Dynamic(config) => {
let ratio = config.ratio(snapshot, raw_price, order_value);
match side {
OrderSide::Buy => raw_price * (1.0 + ratio),
OrderSide::Sell => raw_price * (1.0 - ratio),
}
}
};
self.clamp_execution_price(snapshot, side, adjusted)
@@ -394,8 +460,9 @@ where
snapshot: &crate::data::DailyMarketSnapshot,
side: OrderSide,
raw_price: f64,
quantity: Option<u32>,
) -> f64 {
self.apply_slippage(snapshot, side, raw_price)
self.apply_slippage(snapshot, side, raw_price, quantity)
}
fn matching_type_for_algo_request(
@@ -411,7 +478,7 @@ where
fn select_quote_reference_price(
&self,
snapshot: &crate::data::DailyMarketSnapshot,
_snapshot: &crate::data::DailyMarketSnapshot,
quote: &IntradayExecutionQuote,
side: OrderSide,
matching_type: MatchingType,
@@ -462,9 +529,8 @@ where
OrderSide::Sell => quote.sell_price(),
},
}?;
let execution_price = self.quote_execution_price(snapshot, side, raw_price);
if execution_price.is_finite() && execution_price > 0.0 {
Some(execution_price)
if raw_price.is_finite() && raw_price > 0.0 {
Some(raw_price)
} else {
None
}
@@ -2345,7 +2411,8 @@ where
merge_partial_fill_reason(partial_fill_reason, fill.unfilled_reason);
(fill.quantity, fill.legs)
} else {
let execution_price = self.snapshot_execution_price(snapshot, OrderSide::Sell);
let mut execution_price =
self.snapshot_execution_price(snapshot, OrderSide::Sell, Some(fillable_qty));
if let Some(reason) =
self.execution_limit_rejection_reason(snapshot, OrderSide::Sell, execution_price)
{
@@ -2363,7 +2430,7 @@ where
);
(0, Vec::new())
} else {
let execution_price =
execution_price =
self.execution_price_with_limit_slippage(execution_price, limit_price);
(
fillable_qty,
@@ -3714,7 +3781,8 @@ where
merge_partial_fill_reason(partial_fill_reason, fill.unfilled_reason);
(fill.quantity, fill.legs)
} else {
let execution_price = self.snapshot_execution_price(snapshot, OrderSide::Buy);
let mut execution_price =
self.snapshot_execution_price(snapshot, OrderSide::Buy, Some(constrained_qty));
if let Some(reason) =
self.execution_limit_rejection_reason(snapshot, OrderSide::Buy, execution_price)
{
@@ -3732,7 +3800,7 @@ where
);
(0, Vec::new())
} else {
let execution_price =
execution_price =
self.execution_price_with_limit_slippage(execution_price, limit_price);
let filled_qty = self.affordable_buy_quantity(
date,
@@ -3743,6 +3811,12 @@ where
self.minimum_order_quantity(data, symbol),
self.order_step_size(data, symbol),
);
if filled_qty > 0 {
execution_price =
self.snapshot_execution_price(snapshot, OrderSide::Buy, Some(filled_qty));
execution_price =
self.execution_price_with_limit_slippage(execution_price, limit_price);
}
if filled_qty < constrained_qty {
partial_fill_reason = merge_partial_fill_reason(
partial_fill_reason,
@@ -4537,28 +4611,11 @@ where
// Approximate platform-native market-order fills with the evolving L1 book after
// the decision time instead of trade VWAP. This keeps quantities/prices
// closer to the observed 10:18 execution logs.
let Some(quote_price) =
let Some(raw_quote_price) =
self.select_quote_reference_price(snapshot, quote, side, matching_type)
else {
continue;
};
if let Some(reason) = self.execution_limit_rejection_reason(snapshot, side, quote_price)
{
execution_block_reason.get_or_insert(reason);
execution_block_timestamp = Some(quote.timestamp);
continue;
}
saw_non_blocked_execution_price = true;
if !self.price_satisfies_limit(
side,
quote_price,
limit_price,
snapshot.effective_price_tick(),
) {
continue;
}
let quote_price = self.execution_price_with_limit_slippage(quote_price, limit_price);
let remaining_qty = requested_qty.saturating_sub(filled_qty);
if remaining_qty == 0 {
break;
@@ -4594,8 +4651,35 @@ where
continue;
}
let mut quote_price =
self.quote_execution_price(snapshot, side, raw_quote_price, Some(take_qty));
if let Some(reason) = self.execution_limit_rejection_reason(snapshot, side, quote_price)
{
execution_block_reason.get_or_insert(reason);
execution_block_timestamp = Some(quote.timestamp);
continue;
}
saw_non_blocked_execution_price = true;
if !self.price_satisfies_limit(
side,
quote_price,
limit_price,
snapshot.effective_price_tick(),
) {
continue;
}
if let Some(cash) = cash_limit {
while take_qty > 0 {
quote_price =
self.quote_execution_price(snapshot, side, raw_quote_price, Some(take_qty));
if !quote_price.is_finite() || quote_price <= 0.0 {
budget_block_reason = Some("invalid execution price");
take_qty = 0;
break;
}
quote_price =
self.execution_price_with_limit_slippage(quote_price, limit_price);
let candidate_gross = gross_amount + quote_price * take_qty as f64;
if gross_limit.is_some_and(|limit| candidate_gross > limit + 1e-6) {
budget_block_reason = Some("value budget limit");
@@ -4621,6 +4705,10 @@ where
}
}
quote_price =
self.quote_execution_price(snapshot, side, raw_quote_price, Some(take_qty));
quote_price = self.execution_price_with_limit_slippage(quote_price, limit_price);
gross_amount += quote_price * take_qty as f64;
filled_qty += take_qty;
last_timestamp = Some(quote.timestamp);
crates/fidc-core/src/data.rs
+28 -1
View File
@@ -1,4 +1,4 @@
use std::collections::{BTreeMap, HashMap};
use std::collections::{BTreeMap, HashMap, HashSet};
use std::fs;
use std::path::Path;
@@ -1179,6 +1179,33 @@ impl DataSet {
.unwrap_or(&[])
}
pub fn execution_quote_key_set(&self) -> HashSet<(NaiveDate, String)> {
self.execution_quotes_index.keys().cloned().collect()
}
pub fn add_execution_quotes(&mut self, quotes: Vec<IntradayExecutionQuote>) -> usize {
let mut added = 0usize;
let mut touched = HashSet::<(NaiveDate, String)>::new();
for quote in quotes {
let key = (quote.date, quote.symbol.clone());
let rows = self.execution_quotes_index.entry(key.clone()).or_default();
if rows.iter().any(|existing| {
existing.timestamp == quote.timestamp && existing.symbol == quote.symbol
}) {
continue;
}
rows.push(quote);
touched.insert(key);
added += 1;
}
for key in touched {
if let Some(rows) = self.execution_quotes_index.get_mut(&key) {
rows.sort_by_key(|quote| quote.timestamp);
}
}
added
}
pub fn order_book_depth_on(
&self,
date: NaiveDate,
crates/fidc-core/src/engine.rs
+12 -1
View File
@@ -314,6 +314,7 @@ pub struct BacktestEngine<S, C, R> {
config: BacktestConfig,
dividend_reinvestment: bool,
cash_dividends_enabled: bool,
cash_dividend_adjusts_cost_basis: bool,
process_event_bus: ProcessEventBus,
dynamic_universe: Option<BTreeSet<String>>,
subscriptions: BTreeSet<String>,
@@ -340,6 +341,7 @@ impl<S, C, R> BacktestEngine<S, C, R> {
config,
dividend_reinvestment: false,
cash_dividends_enabled: true,
cash_dividend_adjusts_cost_basis: true,
process_event_bus: ProcessEventBus::new(),
dynamic_universe: None,
subscriptions: BTreeSet::new(),
@@ -363,6 +365,11 @@ impl<S, C, R> BacktestEngine<S, C, R> {
self
}
pub fn with_cash_dividend_cost_basis_adjustment(mut self, enabled: bool) -> Self {
self.cash_dividend_adjusts_cost_basis = enabled;
self
}
pub fn with_futures_account(mut self, account: FuturesAccountState) -> Self {
self.futures_account = Some(account);
self
@@ -2534,7 +2541,11 @@ where
let position = portfolio
.position_mut_if_exists(&action.symbol)
.expect("position exists for dividend action");
let cash_delta = position.apply_cash_dividend(action.share_cash);
let cash_delta = if self.cash_dividend_adjusts_cost_basis {
position.apply_cash_dividend(action.share_cash)
} else {
position.apply_cash_dividend_preserve_cost_basis(action.share_cash)
};
(cash_delta, position.quantity, position.average_cost)
};
if cash_delta.abs() > f64::EPSILON {
crates/fidc-core/src/lib.rs
+5 -3
View File
@@ -19,7 +19,9 @@ pub mod strategy;
pub mod strategy_ai;
pub mod universe;
pub use broker::{BrokerExecutionReport, BrokerSimulator, MatchingType, SlippageModel};
pub use broker::{
BrokerExecutionReport, BrokerSimulator, DynamicSlippageConfig, MatchingType, SlippageModel,
};
pub use calendar::TradingCalendar;
pub use cost::{ChinaAShareCostModel, CostModel, TradingCost};
pub use data::{
@@ -49,8 +51,8 @@ pub use metrics::{BacktestMetrics, compute_backtest_metrics};
pub use platform_expr_strategy::{
PlatformAccountActionKind, PlatformExplicitActionStage, PlatformExplicitCancelKind,
PlatformExplicitOrderKind, PlatformExprStrategy, PlatformExprStrategyConfig,
PlatformRebalanceSchedule, PlatformScheduleFrequency, PlatformTradeAction,
PlatformUniverseActionKind,
PlatformRebalanceSchedule, PlatformScheduleFrequency, PlatformSelectionPrefetchPlan,
PlatformTradeAction, PlatformUniverseActionKind,
};
pub use platform_runtime_schema::{
PLATFORM_RUNTIME_SCHEMA_VERSION, PlatformRuntimeSchema, reserved_scope_names,
crates/fidc-core/src/platform_expr_strategy.rs
+469 -51
View File
@@ -472,6 +472,22 @@ pub struct PlatformExprStrategy {
cache_misses: RefCell<u64>,
}
#[derive(Debug, Clone, PartialEq)]
pub struct PlatformSelectionPrefetchPlan {
pub execution_date: NaiveDate,
pub decision_date: NaiveDate,
pub selection_date: NaiveDate,
pub factor_date: NaiveDate,
pub requires_intraday_selection_quotes: bool,
pub band_low: f64,
pub band_high: f64,
pub selection_limit: usize,
pub processed_scope: usize,
pub candidate_symbols: Vec<String>,
pub order_symbols: Vec<String>,
pub diagnostics: Vec<String>,
}
impl PlatformExprStrategy {
pub fn new(config: PlatformExprStrategyConfig) -> Self {
let mut engine = Engine::new();
@@ -1222,6 +1238,27 @@ impl PlatformExprStrategy {
.count()
}
fn projected_position_value_at_execution_price(
&self,
ctx: &StrategyContext<'_>,
projected: &PortfolioState,
date: NaiveDate,
symbol: &str,
) -> f64 {
let Some(position) = projected.position(symbol) else {
return 0.0;
};
let Some(market) = ctx.data.market(date, symbol) else {
return position.market_value();
};
let execution_price = self.projected_execution_price(market, OrderSide::Buy);
if execution_price.is_finite() && execution_price > 0.0 {
position.quantity as f64 * execution_price
} else {
position.market_value()
}
}
fn project_order_value(
&self,
ctx: &StrategyContext<'_>,
@@ -1611,7 +1648,11 @@ impl PlatformExprStrategy {
low: feature_market.low,
close: feature_market.close,
last: decision_quote
.and_then(|quote| quote.buy_price())
.and_then(|quote| {
(quote.last_price.is_finite() && quote.last_price > 0.0)
.then_some(quote.last_price)
})
.or_else(|| decision_quote.and_then(|quote| quote.buy_price()))
.unwrap_or(market.last_price),
prev_close: market.prev_close,
amount,
@@ -3733,6 +3774,22 @@ impl PlatformExprStrategy {
Ok(value.round().max(1.0) as usize)
}
fn selection_dates(&self, ctx: &StrategyContext<'_>) -> (NaiveDate, NaiveDate) {
let decision_date = ctx.decision_date;
let factor_date = ctx
.data
.previous_trading_date(decision_date, 1)
.unwrap_or(decision_date);
let selection_date = if self.config.aiquant_transaction_cost
&& self.config.intraday_execution_time.is_some()
{
ctx.execution_date
} else {
decision_date
};
(selection_date, factor_date)
}
fn buy_scale(
&self,
ctx: &StrategyContext<'_>,
@@ -4964,6 +5021,175 @@ impl PlatformExprStrategy {
Ok((selected, diagnostics))
}
fn stock_filter_uses_intraday_quote_fields(&self) -> bool {
let expr = Self::normalize_runtime_field_aliases(&self.config.stock_filter_expr);
Self::extract_identifier_candidates(&expr)
.into_iter()
.any(|name| {
matches!(
name.as_str(),
"last"
| "last_price"
| "bid1"
| "ask1"
| "bid1_volume"
| "ask1_volume"
| "tick_volume"
| "touched_upper_limit"
| "touched_lower_limit"
| "hit_upper_limit"
| "hit_lower_limit"
)
})
}
fn select_prefetch_symbols(
&self,
ctx: &StrategyContext<'_>,
date: NaiveDate,
factor_date: NaiveDate,
day: &DayExpressionState,
band_low: f64,
band_high: f64,
selection_limit: usize,
) -> Result<(Vec<String>, Vec<String>, Vec<String>), BacktestError> {
let universe = self.selectable_universe_on(ctx, date, factor_date);
let mut diagnostics = Vec::new();
let mut candidates = Vec::new();
let apply_stock_filter = !self.stock_filter_uses_intraday_quote_fields();
for candidate in universe {
let stock =
self.stock_state_with_factor_date(ctx, date, factor_date, &candidate.symbol)?;
let field_value = self.selection_field_value(&candidate, &stock);
if !field_value.is_finite() {
if diagnostics.len() < 12 {
diagnostics.push(format!(
"{} prefetch rejected by missing selection field",
candidate.symbol
));
}
continue;
}
if field_value < band_low || field_value > band_high {
continue;
}
let rank_value = self.rank_value(ctx, day, &candidate, &stock)?;
if !rank_value.is_finite() {
if diagnostics.len() < 12 {
diagnostics.push(format!(
"{} prefetch rejected by missing rank field",
candidate.symbol
));
}
continue;
}
candidates.push((candidate.symbol.clone(), rank_value));
}
candidates.sort_by(|lhs, rhs| {
let ordering = if self.config.rank_desc {
rhs.1
.partial_cmp(&lhs.1)
.unwrap_or(std::cmp::Ordering::Equal)
} else {
lhs.1
.partial_cmp(&rhs.1)
.unwrap_or(std::cmp::Ordering::Equal)
};
if ordering == std::cmp::Ordering::Equal {
lhs.0.cmp(&rhs.0)
} else {
ordering
}
});
let mut processed_symbols = Vec::new();
let mut selected_symbols = Vec::new();
let mut batch_size = selection_limit.saturating_add(80).max(120);
let mut cursor = 0usize;
while cursor < candidates.len() && selected_symbols.len() < selection_limit {
let end = (cursor + batch_size).min(candidates.len());
for (symbol, _) in &candidates[cursor..end] {
processed_symbols.push(symbol.clone());
}
for (symbol, _) in &candidates[cursor..end] {
let stock = self.stock_state_with_factor_date(ctx, date, factor_date, symbol)?;
if let Some(reason) = self.buy_rejection_reason(ctx, date, symbol, &stock)? {
if diagnostics.len() < 12 {
diagnostics.push(format!("{symbol} prefetch rejected by {reason}"));
}
continue;
}
if apply_stock_filter && !self.stock_passes_expr(ctx, day, &stock)? {
if diagnostics.len() < 12 {
diagnostics.push(format!("{symbol} prefetch rejected by stock_expr"));
}
continue;
}
selected_symbols.push(symbol.clone());
if selected_symbols.len() >= selection_limit {
break;
}
}
cursor = end;
batch_size = batch_size.saturating_mul(2).max(120);
}
Ok((processed_symbols, selected_symbols, diagnostics))
}
pub fn selection_prefetch_plan(
&self,
ctx: &StrategyContext<'_>,
_scope_limit: usize,
) -> Result<PlatformSelectionPrefetchPlan, BacktestError> {
if !self.config.rotation_enabled || self.config.in_skip_window(ctx.execution_date) {
return Ok(PlatformSelectionPrefetchPlan {
execution_date: ctx.execution_date,
decision_date: ctx.decision_date,
selection_date: ctx.execution_date,
factor_date: ctx.decision_date,
requires_intraday_selection_quotes: false,
band_low: 0.0,
band_high: 0.0,
selection_limit: 0,
processed_scope: 0,
candidate_symbols: Vec::new(),
order_symbols: Vec::new(),
diagnostics: Vec::new(),
});
}
let day = self.day_state(ctx, ctx.decision_date)?;
let (selection_date, factor_date) = self.selection_dates(ctx);
let requires_intraday_selection_quotes = self.stock_filter_uses_intraday_quote_fields();
let (band_low, band_high) = self.market_cap_band(ctx, &day)?;
let selection_limit = self
.selection_limit(ctx, &day)?
.min(self.config.max_positions.max(1));
let (candidate_symbols, order_symbols, diagnostics) = self.select_prefetch_symbols(
ctx,
selection_date,
factor_date,
&day,
band_low,
band_high,
selection_limit,
)?;
Ok(PlatformSelectionPrefetchPlan {
execution_date: ctx.execution_date,
decision_date: ctx.decision_date,
selection_date,
factor_date,
requires_intraday_selection_quotes,
band_low,
band_high,
selection_limit,
processed_scope: candidate_symbols.len(),
candidate_symbols,
order_symbols,
diagnostics,
})
}
fn stop_take_action(
&self,
ctx: &StrategyContext<'_>,
@@ -4980,10 +5206,17 @@ impl PlatformExprStrategy {
{
return Ok((false, false));
}
let avg_price = position
.average_entry_price()
.filter(|value| value.is_finite() && *value > 0.0)
.unwrap_or(position.average_cost);
let avg_price = if self.config.aiquant_transaction_cost
&& position.average_cost.is_finite()
&& position.average_cost > 0.0
{
position.average_cost
} else {
position
.average_entry_price()
.filter(|value| value.is_finite() && *value > 0.0)
.unwrap_or(position.average_cost)
};
if position.quantity == 0 || avg_price <= 0.0 {
return Ok((false, false));
}
@@ -5123,17 +5356,7 @@ impl Strategy for PlatformExprStrategy {
}
let day = self.day_state(ctx, decision_date)?;
let selection_factor_date = ctx
.data
.previous_trading_date(decision_date, 1)
.unwrap_or(decision_date);
let selection_market_date = if self.config.aiquant_transaction_cost
&& self.config.intraday_execution_time.is_some()
{
execution_date
} else {
decision_date
};
let (selection_market_date, selection_factor_date) = self.selection_dates(ctx);
let (explicit_action_intents, explicit_action_diagnostics) =
if self.config.explicit_action_stage == PlatformExplicitActionStage::OnDay
&& self.explicit_actions_active(ctx.data.calendar(), execution_date)
@@ -5214,14 +5437,6 @@ impl Strategy for PlatformExprStrategy {
let mut intraday_attempted_buys = BTreeSet::<String>::new();
let mut delayed_sold_symbols = BTreeSet::<String>::new();
let mut unresolved_stop_loss_symbols = BTreeSet::<String>::new();
let initial_position_symbols = ctx
.portfolio
.positions()
.values()
.filter(|position| position.quantity > 0)
.map(|position| position.symbol.clone())
.collect::<BTreeSet<_>>();
let take_profit_multiplier = self
.config
.take_profit_expr
@@ -5240,10 +5455,17 @@ impl Strategy for PlatformExprStrategy {
};
if let Some(multiplier) = take_profit_multiplier {
for position in ctx.portfolio.positions().values() {
let avg_price = position
.average_entry_price()
.filter(|value| value.is_finite() && *value > 0.0)
.unwrap_or(position.average_cost);
let avg_price = if self.config.aiquant_transaction_cost
&& position.average_cost.is_finite()
&& position.average_cost > 0.0
{
position.average_cost
} else {
position
.average_entry_price()
.filter(|value| value.is_finite() && *value > 0.0)
.unwrap_or(position.average_cost)
};
if position.quantity == 0
|| avg_price <= 0.0
|| pending_symbols.contains(&position.symbol)
@@ -5338,10 +5560,17 @@ impl Strategy for PlatformExprStrategy {
if delayed_sold_symbols.contains(&position.symbol) {
continue;
}
let avg_price = position
.average_entry_price()
.filter(|value| value.is_finite() && *value > 0.0)
.unwrap_or(position.average_cost);
let avg_price = if self.config.aiquant_transaction_cost
&& position.average_cost.is_finite()
&& position.average_cost > 0.0
{
position.average_cost
} else {
position
.average_entry_price()
.filter(|value| value.is_finite() && *value > 0.0)
.unwrap_or(position.average_cost)
};
if position.quantity == 0 || avg_price <= 0.0 {
continue;
}
@@ -5484,14 +5713,69 @@ impl Strategy for PlatformExprStrategy {
}
}
aiquant_available_cash = projected.cash();
if !self.config.aiquant_transaction_cost {
aiquant_available_cash = projected.cash();
}
let fixed_buy_cash = aiquant_total_value * trading_ratio / selection_limit as f64;
let max_periodic_buys =
selection_limit.saturating_sub(initial_position_symbols.len().min(selection_limit));
let mut periodic_buy_count = 0_usize;
for symbol in stock_list.iter().take(selection_limit) {
if periodic_buy_count >= max_periodic_buys {
break;
let decision_stock = self.stock_state_with_factor_date(
ctx,
decision_date,
selection_factor_date,
symbol,
)?;
let stock_scale = self.buy_scale(ctx, &day, &decision_stock)?;
let target_cash = fixed_buy_cash * stock_scale;
if projected.positions().contains_key(symbol) {
if self.config.aiquant_transaction_cost {
continue;
}
if same_day_sold_symbols.contains(symbol)
|| unresolved_stop_loss_symbols.contains(symbol)
|| intraday_attempted_buys.contains(symbol)
{
continue;
}
let current_value = self.projected_position_value_at_execution_price(
ctx,
&projected,
execution_date,
symbol,
);
let buy_cash = (target_cash - current_value).min(aiquant_available_cash);
if buy_cash <= 0.0 {
continue;
}
let execution_stock = self.stock_state(ctx, execution_date, symbol)?;
if self
.buy_rejection_reason(ctx, execution_date, symbol, &execution_stock)?
.is_some()
{
continue;
}
if !self.stock_passes_expr(ctx, &day, &decision_stock)? {
continue;
}
order_intents.push(OrderIntent::Value {
symbol: symbol.clone(),
value: buy_cash,
reason: "periodic_rebalance_buy".to_string(),
});
let cash_before_buy = projected.cash();
let filled_qty = self.project_order_value(
ctx,
&mut projected,
execution_date,
symbol,
buy_cash,
&mut projected_execution_state,
);
if filled_qty > 0 {
let spent = (cash_before_buy - projected.cash()).max(0.0);
aiquant_available_cash = (aiquant_available_cash - spent).max(0.0);
intraday_attempted_buys.insert(symbol.clone());
}
continue;
}
if Self::projected_position_count_excluding(
&projected,
@@ -5512,22 +5796,18 @@ impl Strategy for PlatformExprStrategy {
&unresolved_stop_loss_symbols,
))
.max(1);
let decision_stock = self.stock_state_with_factor_date(
ctx,
decision_date,
selection_factor_date,
symbol,
)?;
let stock_scale = self.buy_scale(ctx, &day, &decision_stock)?;
let cash_cap = if self.config.aiquant_transaction_cost {
aiquant_available_cash
} else {
aiquant_available_cash / slots_remaining as f64
};
let buy_cash = (fixed_buy_cash * stock_scale).min(cash_cap);
let buy_cash = target_cash.min(cash_cap);
if buy_cash <= 0.0 {
break;
}
if self.config.aiquant_transaction_cost && buy_cash < target_cash * 0.5 {
break;
}
let execution_stock = self.stock_state(ctx, execution_date, symbol)?;
if self
.buy_rejection_reason(ctx, execution_date, symbol, &execution_stock)?
@@ -5555,7 +5835,6 @@ impl Strategy for PlatformExprStrategy {
if filled_qty > 0 {
let spent = (cash_before_buy - projected.cash()).max(0.0);
aiquant_available_cash = (aiquant_available_cash - spent).max(0.0);
periodic_buy_count += 1;
}
}
}
@@ -5611,7 +5890,8 @@ impl Strategy for PlatformExprStrategy {
day.total_value
),
format!("selected_symbols={}", stock_list.join(",")),
"platform strategy script executed through expression runtime + bid1/ask1 snapshot execution".to_string(),
"platform strategy script executed through expression runtime + batched tick execution"
.to_string(),
];
diagnostics.extend(selection_notes);
diagnostics.extend(explicit_action_diagnostics);
@@ -6565,9 +6845,9 @@ mod tests {
.stock_state(&ctx, date, symbol)
.expect("stock state");
assert_eq!(stock.last, 1.36);
assert_eq!(stock.last, 1.35);
assert!(
strategy
!strategy
.stock_passes_expr(&ctx, &day, &stock)
.expect("stock expr")
);
@@ -8790,7 +9070,7 @@ mod tests {
}
#[test]
fn platform_aiquant_profile_uses_calendar_day_rebalance_interval() {
fn platform_calendar_day_rebalance_interval_can_be_enabled_explicitly() {
let dates = [d(2023, 1, 12), d(2023, 1, 13)];
let symbols = ["000001.SZ", "000002.SZ"];
let data = DataSet::from_components(
@@ -9595,6 +9875,144 @@ mod tests {
);
}
#[test]
fn platform_periodic_rebalance_tops_up_underweight_selected_holding() {
let prev_date = d(2025, 5, 13);
let date = d(2025, 5, 14);
let symbol = "600778.SH";
let data = DataSet::from_components_with_actions_and_quotes(
vec![Instrument {
symbol: symbol.to_string(),
name: symbol.to_string(),
board: "SH".to_string(),
round_lot: 100,
listed_at: Some(d(2020, 1, 1)),
delisted_at: None,
status: "active".to_string(),
}],
vec![DailyMarketSnapshot {
date,
symbol: symbol.to_string(),
timestamp: Some("2025-05-14 10:18:00".to_string()),
day_open: 10.0,
open: 10.0,
high: 10.5,
low: 9.8,
close: 10.0,
last_price: 10.0,
bid1: 10.0,
ask1: 10.0,
prev_close: 9.9,
volume: 1_000_000,
tick_volume: 10_000,
bid1_volume: 2_000,
ask1_volume: 2_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: symbol.to_string(),
market_cap_bn: 10.0,
free_float_cap_bn: 10.0,
pe_ttm: 8.0,
turnover_ratio: Some(1.0),
effective_turnover_ratio: Some(1.0),
extra_factors: BTreeMap::new(),
}],
vec![CandidateEligibility {
date,
symbol: symbol.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: "000852.SH".to_string(),
open: 1000.0,
close: 1002.0,
prev_close: 998.0,
volume: 1_000_000,
}],
Vec::new(),
vec![IntradayExecutionQuote {
date,
symbol: symbol.to_string(),
timestamp: date.and_hms_opt(10, 18, 0).expect("valid timestamp"),
last_price: 10.0,
bid1: 10.0,
ask1: 10.0,
bid1_volume: 10_000,
ask1_volume: 10_000,
volume_delta: 10_000,
amount_delta: 100_000.0,
trading_phase: Some("continuous".to_string()),
}],
)
.expect("dataset");
let mut portfolio = PortfolioState::new(499_000.0);
portfolio.position_mut(symbol).buy(prev_date, 100, 10.0);
let subscriptions = BTreeSet::new();
let ctx = StrategyContext {
execution_date: date,
decision_date: date,
decision_index: 20,
data: &data,
portfolio: &portfolio,
futures_account: None,
open_orders: &[],
dynamic_universe: None,
subscriptions: &subscriptions,
process_events: &[],
active_process_event: None,
active_datetime: None,
order_events: &[],
fills: &[],
};
let mut cfg = PlatformExprStrategyConfig::microcap_rotation();
cfg.signal_symbol = symbol.to_string();
cfg.refresh_rate = 20;
cfg.max_positions = 1;
cfg.benchmark_short_ma_days = 1;
cfg.benchmark_long_ma_days = 1;
cfg.market_cap_lower_expr = "0".to_string();
cfg.market_cap_upper_expr = "100".to_string();
cfg.selection_limit_expr = "1".to_string();
cfg.stock_filter_expr = "close > 0".to_string();
cfg.take_profit_expr.clear();
cfg.stop_loss_expr.clear();
let mut strategy = PlatformExprStrategy::new(cfg);
strategy.rebalance_day_counter = 20;
let decision = strategy.on_day(&ctx).expect("platform decision");
assert_eq!(
decision.order_intents.len(),
1,
"{:?}",
decision.order_intents
);
assert!(matches!(
&decision.order_intents[0],
OrderIntent::Value {
symbol: intent_symbol,
value,
reason,
} if intent_symbol == symbol
&& reason == "periodic_rebalance_buy"
&& (*value - 499_000.0).abs() < 1e-6
));
}
#[test]
fn platform_aiquant_projection_reserves_sell_cost_without_same_callback_proceeds() {
let prev_date = d(2025, 5, 13);
crates/fidc-core/src/platform_strategy_spec.rs
+14 -3
View File
@@ -61,6 +61,12 @@ pub struct StrategyExecutionSpec {
#[serde(default)]
pub slippage_value: Option<f64>,
#[serde(default)]
pub slippage_impact_coefficient: Option<f64>,
#[serde(default)]
pub slippage_volatility_coefficient: Option<f64>,
#[serde(default)]
pub slippage_max_value: Option<f64>,
#[serde(default)]
pub strict_value_budget: Option<bool>,
}
@@ -96,6 +102,12 @@ pub struct StrategyEngineConfig {
#[serde(default)]
pub slippage_value: Option<f64>,
#[serde(default)]
pub slippage_impact_coefficient: Option<f64>,
#[serde(default)]
pub slippage_volatility_coefficient: Option<f64>,
#[serde(default)]
pub slippage_max_value: Option<f64>,
#[serde(default)]
pub strict_value_budget: Option<bool>,
#[serde(default)]
pub dividend_reinvestment: Option<bool>,
@@ -718,7 +730,6 @@ pub fn platform_expr_config_from_spec(
.map(|value| value.trim().to_ascii_lowercase())
.is_some_and(|value| value == "aiquant_rqalpha" || value == "aiquant")
{
cfg.calendar_rebalance_interval = true;
cfg.aiquant_transaction_cost = true;
}
@@ -1138,7 +1149,7 @@ mod tests {
assert!(!cfg.rotation_enabled);
assert!(cfg.daily_top_up_enabled);
assert!(cfg.retry_empty_rebalance);
assert!(cfg.calendar_rebalance_interval);
assert!(!cfg.calendar_rebalance_interval);
assert!(cfg.aiquant_transaction_cost);
assert_eq!(cfg.explicit_actions.len(), 1);
assert_eq!(
@@ -1163,7 +1174,7 @@ mod tests {
cfg.intraday_execution_time,
Some(NaiveTime::from_hms_opt(9, 33, 0).unwrap())
);
assert!(cfg.calendar_rebalance_interval);
assert!(!cfg.calendar_rebalance_interval);
assert!(cfg.aiquant_transaction_cost);
}
}
crates/fidc-core/src/portfolio.rs
+35 -2
View File
@@ -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();
crates/fidc-core/tests/explicit_order_flow.rs
+107 -3
View File
@@ -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();