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fix(backtest): preserve order origin clocks and emit only state transitions

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boris
2026-09-12 07:00:47 +08:00
parent 4edc70c4c6
commit 32a34fadd6
2 changed files with 201 additions and 16 deletions
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crates/fidc-core/src/engine.rs
+27 -7
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@@ -2900,18 +2900,26 @@ where
.into_iter()
.peekable();
let mut minute_group = Vec::new();
let mut last_minute_timestamp = None;
// Merge the immutable quote stream with clock events. Equal
// timestamps form one event; scheduled callbacks run before
// `on_minute` below.
loop {
let next_quote_timestamp = minute_quotes.peek().map(|quote| quote.timestamp);
let next_schedule_timestamp = minute_schedule_timestamps.peek().copied();
let next_expiry_timestamp = self.broker.next_day_order_expiry(execution_date)
.map(|time| execution_date.and_time(time))
.filter(|time| last_minute_timestamp.is_none_or(|last| last < *time));
let Some(minute_timestamp) =
next_minute_event_timestamp(next_quote_timestamp, next_schedule_timestamp)
next_minute_event_timestamp(
next_minute_event_timestamp(next_quote_timestamp, next_schedule_timestamp),
next_expiry_timestamp,
)
else {
break;
};
let minute_time = minute_timestamp.time();
last_minute_timestamp = Some(minute_timestamp);
minute_group.clear();
while minute_quotes
.peek()
@@ -5896,8 +5904,10 @@ mod tests {
}], ..StrategyDecision::default() })
}
}
for partial in [false, true] {
let date = d(2026, 6, 1);
for scenario in 0..4 {
let partial = scenario == 1;
let closing_only = scenario >= 2;
let date = if closing_only { d(2026, 7, 6) } else { d(2026, 6, 1) };
let quote = |hour, minute, price| IntradayExecutionQuote {
date, symbol: SYMBOL.into(), timestamp: date.and_hms_opt(hour, minute, 0).unwrap(),
last_price: price, bid1: price, ask1: price, bid1_volume: 10_000, ask1_volume: 10_000,
@@ -5905,8 +5915,11 @@ mod tests {
};
let first = quote(9, 30, if partial { 9.8 } else { 10.2 });
let earlier = quote(9, 29, 9.0);
let later = quote(10, 0, 9.8);
let last = quote(10, 1, 9.8);
let unchanged = quote(9, 45, 10.2);
let later = quote(10, 0, if closing_only { 10.2 } else { 9.8 });
let last = if closing_only { quote(15, 0, if scenario == 2 { 9.8 } else { 10.2 }) } else { quote(10, 1, 9.8) };
let mut post_close = quote(15, 5, 9.7);
post_close.trading_phase = Some("post_close_fixed_price".into());
let mut data = dataset_from_market_and_candidates(vec![market(date, 10.2, 9.8)], vec![candidate(date)]);
data.add_execution_quotes(vec![first.clone()]);
let broker = BrokerSimulator::new(ChinaAShareCostModel::default(), ChinaEquityRuleHooks)
@@ -5920,17 +5933,24 @@ mod tests {
decision_lag_trading_days: 0, execution_price_field: PriceField::Close,
}).with_execution_quote_loader(move |request| {
captured.lock().unwrap().push((request.start_time, request.end_time));
Ok(vec![earlier.clone(), first.clone(), later.clone(), last.clone()])
Ok(vec![earlier.clone(), first.clone(), unchanged.clone(), later.clone(), last.clone(), post_close.clone()])
});
let result = engine.run().unwrap();
if scenario == 3 {
assert!(result.fills.is_empty(), "continuous DAY order must not migrate to post-close execution");
assert_eq!(result.order_events.len(), 2, "only initial pending and expiry are state changes");
assert_eq!(result.order_events.last().unwrap().status, crate::OrderStatus::Expired);
continue;
}
assert_eq!(result.fills.len(), if partial { 3 } else { 1 }, "resting DAY order must match later actual quotes: {:?}", result.order_events);
assert_eq!(result.fills[0].execution_timestamp, if partial { date.and_hms_opt(9, 30, 0) } else { date.and_hms_opt(10, 0, 0) });
assert_eq!(result.fills[0].execution_timestamp, if partial { date.and_hms_opt(9, 30, 0) } else if closing_only { date.and_hms_opt(15, 0, 0) } else { date.and_hms_opt(10, 0, 0) });
assert_eq!(result.fills[0].price, 9.8);
assert_eq!(result.fills[0].quantity, 100);
assert_eq!(result.fills.iter().map(|fill| fill.quantity).sum::<u32>(), if partial { 300 } else { 100 });
assert!(result.fills.iter().all(|fill| fill.execution_timestamp >= date.and_hms_opt(9, 30, 0)));
assert_eq!(requests.lock().unwrap().as_slice(), &[(None, None)]);
assert!(!result.order_events.iter().any(|order| order.status == crate::OrderStatus::Expired));
assert_eq!(result.order_events.len(), if partial { 3 } else { 2 }, "unchanged pending attempts must not emit state transitions");
}
}