Expose process event context to strategy runtime

2026-04-23 05:12:07 -07:00
parent 4d43d1b176
commit 2857f72d84
8 changed files with 742 additions and 92 deletions
--- a/crates/fidc-core/src/engine.rs
+++ b/crates/fidc-core/src/engine.rs
@@ -232,31 +232,42 @@ where
                .map(|decision_idx| (decision_idx, execution_dates[decision_idx]));
            let (decision_index, decision_date) =
                decision_slot.unwrap_or((execution_idx, execution_date));
+            let mut process_events = Vec::new();
            let pre_open_orders = self.broker.open_order_views();
-            let daily_context = StrategyContext {
+            let schedule_rules = self.strategy.schedule_rules();
+            publish_phase_event(
+                &mut self.strategy,
+                &mut self.process_event_bus,
+                execution_date,
+                decision_date,
+                decision_index,
+                &self.data,
+                &portfolio,
+                &pre_open_orders,
+                &mut process_events,
+                execution_date,
+                ProcessEventKind::PreBeforeTrading,
+                "before_trading:pre",
+            )?;
+            self.strategy.before_trading(&StrategyContext {
                execution_date,
                decision_date,
                decision_index,
                data: &self.data,
                portfolio: &portfolio,
                open_orders: &pre_open_orders,
-            };
-            let schedule_rules = self.strategy.schedule_rules();
-            let mut process_events = Vec::new();
+                process_events: &process_events,
+                active_process_event: None,
+            })?;
            publish_phase_event(
                &mut self.strategy,
                &mut self.process_event_bus,
-                &daily_context,
-                &mut process_events,
                execution_date,
-                ProcessEventKind::PreBeforeTrading,
-                "before_trading:pre",
-            )?;
-            self.strategy.before_trading(&daily_context)?;
-            publish_phase_event(
-                &mut self.strategy,
-                &mut self.process_event_bus,
-                &daily_context,
+                decision_date,
+                decision_index,
+                &self.data,
+                &portfolio,
+                &pre_open_orders,
                &mut process_events,
                execution_date,
                ProcessEventKind::BeforeTrading,
@@ -265,7 +276,12 @@ where
            publish_phase_event(
                &mut self.strategy,
                &mut self.process_event_bus,
-                &daily_context,
+                execution_date,
+                decision_date,
+                decision_index,
+                &self.data,
+                &portfolio,
+                &pre_open_orders,
                &mut process_events,
                execution_date,
                ProcessEventKind::PostBeforeTrading,
@@ -274,7 +290,12 @@ where
            publish_phase_event(
                &mut self.strategy,
                &mut self.process_event_bus,
-                &daily_context,
+                execution_date,
+                decision_date,
+                decision_index,
+                &self.data,
+                &portfolio,
+                &pre_open_orders,
                &mut process_events,
                execution_date,
                ProcessEventKind::PreOpenAuction,
@@ -286,15 +307,33 @@ where
                execution_date,
                ScheduleStage::OpenAuction,
                &schedule_rules,
-                &daily_context,
+                decision_date,
+                decision_index,
+                &self.data,
+                &portfolio,
+                &pre_open_orders,
                &mut process_events,
                &mut self.process_event_bus,
            )?;
-            auction_decision.merge_from(self.strategy.open_auction(&daily_context)?);
+            auction_decision.merge_from(self.strategy.open_auction(&StrategyContext {
+                execution_date,
+                decision_date,
+                decision_index,
+                data: &self.data,
+                portfolio: &portfolio,
+                open_orders: &pre_open_orders,
+                process_events: &process_events,
+                active_process_event: None,
+            })?);
            publish_phase_event(
                &mut self.strategy,
                &mut self.process_event_bus,
-                &daily_context,
+                execution_date,
+                decision_date,
+                decision_index,
+                &self.data,
+                &portfolio,
+                &pre_open_orders,
                &mut process_events,
                execution_date,
                ProcessEventKind::OpenAuction,
@@ -307,25 +346,27 @@ where
                &auction_decision,
            )?;
            let post_auction_open_orders = self.broker.open_order_views();
-            let post_auction_context = StrategyContext {
-                execution_date,
-                decision_date,
-                decision_index,
-                data: &self.data,
-                portfolio: &portfolio,
-                open_orders: &post_auction_open_orders,
-            };
            publish_process_events(
                &mut self.strategy,
                &mut self.process_event_bus,
-                &post_auction_context,
+                execution_date,
+                decision_date,
+                decision_index,
+                &self.data,
+                &portfolio,
+                &post_auction_open_orders,
                &mut process_events,
                &mut report.process_events,
            )?;
            publish_phase_event(
                &mut self.strategy,
                &mut self.process_event_bus,
-                &post_auction_context,
+                execution_date,
+                decision_date,
+                decision_index,
+                &self.data,
+                &portfolio,
+                &post_auction_open_orders,
                &mut process_events,
                execution_date,
                ProcessEventKind::PostOpenAuction,
@@ -335,7 +376,12 @@ where
            publish_phase_event(
                &mut self.strategy,
                &mut self.process_event_bus,
-                &post_auction_context,
+                execution_date,
+                decision_date,
+                decision_index,
+                &self.data,
+                &portfolio,
+                &post_auction_open_orders,
                &mut process_events,
                execution_date,
                ProcessEventKind::PreOnDay,
@@ -351,6 +397,8 @@ where
                        data: &self.data,
                        portfolio: &portfolio,
                        open_orders: &on_day_open_orders,
+                        process_events: &process_events,
+                        active_process_event: None,
                    })
                })
                .transpose()?
@@ -361,29 +409,23 @@ where
                execution_date,
                ScheduleStage::OnDay,
                &schedule_rules,
-                &StrategyContext {
-                    execution_date,
-                    decision_date,
-                    decision_index,
-                    data: &self.data,
-                    portfolio: &portfolio,
-                    open_orders: &on_day_open_orders,
-                },
+                decision_date,
+                decision_index,
+                &self.data,
+                &portfolio,
+                &on_day_open_orders,
                &mut process_events,
                &mut self.process_event_bus,
            )?);
-            let on_day_context = StrategyContext {
-                execution_date,
-                decision_date,
-                decision_index,
-                data: &self.data,
-                portfolio: &portfolio,
-                open_orders: &on_day_open_orders,
-            };
            publish_phase_event(
                &mut self.strategy,
                &mut self.process_event_bus,
-                &on_day_context,
+                execution_date,
+                decision_date,
+                decision_index,
+                &self.data,
+                &portfolio,
+                &on_day_open_orders,
                &mut process_events,
                execution_date,
                ProcessEventKind::OnDay,
@@ -394,18 +436,15 @@ where
                self.broker
                    .execute(execution_date, &mut portfolio, &self.data, &decision)?;
            let post_intraday_open_orders = self.broker.open_order_views();
-            let post_intraday_context = StrategyContext {
-                execution_date,
-                decision_date,
-                decision_index,
-                data: &self.data,
-                portfolio: &portfolio,
-                open_orders: &post_intraday_open_orders,
-            };
            publish_process_events(
                &mut self.strategy,
                &mut self.process_event_bus,
-                &post_intraday_context,
+                execution_date,
+                decision_date,
+                decision_index,
+                &self.data,
+                &portfolio,
+                &post_intraday_open_orders,
                &mut process_events,
                &mut intraday_report.process_events,
            )?;
@@ -419,7 +458,12 @@ where
            publish_phase_event(
                &mut self.strategy,
                &mut self.process_event_bus,
-                &post_intraday_context,
+                execution_date,
+                decision_date,
+                decision_index,
+                &self.data,
+                &portfolio,
+                &post_intraday_open_orders,
                &mut process_events,
                execution_date,
                ProcessEventKind::PostOnDay,
@@ -429,28 +473,39 @@ where
            portfolio.update_prices(execution_date, &self.data, PriceField::Close)?;

            let post_trade_open_orders = self.broker.open_order_views();
-            let post_trade_context = StrategyContext {
+            publish_phase_event(
+                &mut self.strategy,
+                &mut self.process_event_bus,
+                execution_date,
+                decision_date,
+                decision_index,
+                &self.data,
+                &portfolio,
+                &post_trade_open_orders,
+                &mut process_events,
+                execution_date,
+                ProcessEventKind::PreAfterTrading,
+                "after_trading:pre",
+            )?;
+            self.strategy.after_trading(&StrategyContext {
                execution_date,
                decision_date,
                decision_index,
                data: &self.data,
                portfolio: &portfolio,
                open_orders: &post_trade_open_orders,
-            };
+                process_events: &process_events,
+                active_process_event: None,
+            })?;
            publish_phase_event(
                &mut self.strategy,
                &mut self.process_event_bus,
-                &post_trade_context,
-                &mut process_events,
                execution_date,
-                ProcessEventKind::PreAfterTrading,
-                "after_trading:pre",
-            )?;
-            self.strategy.after_trading(&post_trade_context)?;
-            publish_phase_event(
-                &mut self.strategy,
-                &mut self.process_event_bus,
-                &post_trade_context,
+                decision_date,
+                decision_index,
+                &self.data,
+                &portfolio,
+                &post_trade_open_orders,
                &mut process_events,
                execution_date,
                ProcessEventKind::AfterTrading,
@@ -460,7 +515,12 @@ where
            publish_process_events(
                &mut self.strategy,
                &mut self.process_event_bus,
-                &post_trade_context,
+                execution_date,
+                decision_date,
+                decision_index,
+                &self.data,
+                &portfolio,
+                &post_trade_open_orders,
                &mut process_events,
                &mut close_report.process_events,
            )?;
@@ -470,18 +530,15 @@ where
            report.account_events.extend(close_report.account_events);
            report.diagnostics.extend(close_report.diagnostics);
            let post_close_open_orders = self.broker.open_order_views();
-            let post_close_context = StrategyContext {
-                execution_date,
-                decision_date,
-                decision_index,
-                data: &self.data,
-                portfolio: &portfolio,
-                open_orders: &post_close_open_orders,
-            };
            publish_phase_event(
                &mut self.strategy,
                &mut self.process_event_bus,
-                &post_close_context,
+                execution_date,
+                decision_date,
+                decision_index,
+                &self.data,
+                &portfolio,
+                &post_close_open_orders,
                &mut process_events,
                execution_date,
                ProcessEventKind::PostAfterTrading,
@@ -490,17 +547,36 @@ where
            publish_phase_event(
                &mut self.strategy,
                &mut self.process_event_bus,
-                &post_close_context,
+                execution_date,
+                decision_date,
+                decision_index,
+                &self.data,
+                &portfolio,
+                &post_close_open_orders,
                &mut process_events,
                execution_date,
                ProcessEventKind::PreSettlement,
                "settlement:pre",
            )?;
-            self.strategy.on_settlement(&post_close_context)?;
+            self.strategy.on_settlement(&StrategyContext {
+                execution_date,
+                decision_date,
+                decision_index,
+                data: &self.data,
+                portfolio: &portfolio,
+                open_orders: &post_close_open_orders,
+                process_events: &process_events,
+                active_process_event: None,
+            })?;
            publish_phase_event(
                &mut self.strategy,
                &mut self.process_event_bus,
-                &post_close_context,
+                execution_date,
+                decision_date,
+                decision_index,
+                &self.data,
+                &portfolio,
+                &post_close_open_orders,
                &mut process_events,
                execution_date,
                ProcessEventKind::Settlement,
@@ -509,7 +585,12 @@ where
            publish_phase_event(
                &mut self.strategy,
                &mut self.process_event_bus,
-                &post_close_context,
+                execution_date,
+                decision_date,
+                decision_index,
+                &self.data,
+                &portfolio,
+                &post_close_open_orders,
                &mut process_events,
                execution_date,
                ProcessEventKind::PostSettlement,
@@ -1005,7 +1086,11 @@ fn collect_scheduled_decisions<S: Strategy>(
    execution_date: NaiveDate,
    stage: ScheduleStage,
    rules: &[ScheduleRule],
-    ctx: &StrategyContext<'_>,
+    decision_date: NaiveDate,
+    decision_index: usize,
+    data: &crate::data::DataSet,
+    portfolio: &PortfolioState,
+    open_orders: &[crate::strategy::OpenOrderView],
    process_events: &mut Vec<ProcessEvent>,
    process_event_bus: &mut ProcessEventBus,
 ) -> Result<crate::strategy::StrategyDecision, BacktestError> {
@@ -1014,17 +1099,39 @@ fn collect_scheduled_decisions<S: Strategy>(
        publish_phase_event(
            strategy,
            process_event_bus,
-            ctx,
+            execution_date,
+            decision_date,
+            decision_index,
+            data,
+            portfolio,
+            open_orders,
            process_events,
            execution_date,
            ProcessEventKind::PreScheduled,
            format!("scheduled:{}:{}:pre", rule.name, stage_label(stage)),
        )?;
-        combined.merge_from(strategy.on_scheduled(ctx, rule)?);
+        combined.merge_from(strategy.on_scheduled(
+            &StrategyContext {
+                execution_date,
+                decision_date,
+                decision_index,
+                data,
+                portfolio,
+                open_orders,
+                process_events: process_events.as_slice(),
+                active_process_event: None,
+            },
+            rule,
+        )?);
        publish_phase_event(
            strategy,
            process_event_bus,
-            ctx,
+            execution_date,
+            decision_date,
+            decision_index,
+            data,
+            portfolio,
+            open_orders,
            process_events,
            execution_date,
            ProcessEventKind::PostScheduled,
@@ -1037,7 +1144,12 @@ fn collect_scheduled_decisions<S: Strategy>(
 fn publish_phase_event<S: Strategy>(
    strategy: &mut S,
    process_event_bus: &mut ProcessEventBus,
-    ctx: &StrategyContext<'_>,
+    execution_date: NaiveDate,
+    decision_date: NaiveDate,
+    decision_index: usize,
+    data: &crate::data::DataSet,
+    portfolio: &PortfolioState,
+    open_orders: &[crate::strategy::OpenOrderView],
    events: &mut Vec<ProcessEvent>,
    date: NaiveDate,
    kind: ProcessEventKind,
@@ -1052,7 +1164,18 @@ fn publish_phase_event<S: Strategy>(
        detail: detail.into(),
    };
    process_event_bus.publish(&event);
-    strategy.on_process_event(ctx, &event)?;
+    let process_events = events.as_slice();
+    let event_ctx = StrategyContext {
+        execution_date,
+        decision_date,
+        decision_index,
+        data,
+        portfolio,
+        open_orders,
+        process_events,
+        active_process_event: Some(&event),
+    };
+    strategy.on_process_event(&event_ctx, &event)?;
    events.push(event);
    Ok(())
 }
@@ -1060,13 +1183,29 @@ fn publish_phase_event<S: Strategy>(
 fn publish_process_events<S: Strategy>(
    strategy: &mut S,
    process_event_bus: &mut ProcessEventBus,
-    ctx: &StrategyContext<'_>,
+    execution_date: NaiveDate,
+    decision_date: NaiveDate,
+    decision_index: usize,
+    data: &crate::data::DataSet,
+    portfolio: &PortfolioState,
+    open_orders: &[crate::strategy::OpenOrderView],
    target: &mut Vec<ProcessEvent>,
    incoming: &mut Vec<ProcessEvent>,
 ) -> Result<(), BacktestError> {
    for event in incoming.drain(..) {
        process_event_bus.publish(&event);
-        strategy.on_process_event(ctx, &event)?;
+        let process_events = target.as_slice();
+        let event_ctx = StrategyContext {
+            execution_date,
+            decision_date,
+            decision_index,
+            data,
+            portfolio,
+            open_orders,
+            process_events,
+            active_process_event: Some(&event),
+        };
+        strategy.on_process_event(&event_ctx, &event)?;
        target.push(event);
    }
    Ok(())