增加回测结束边界状态审计

2026-08-26 13:34:36 +08:00
parent 283bf56e9f
commit 33370fb694
3 changed files with 246 additions and 25 deletions
@@ -105,6 +105,79 @@ pub struct BacktestResult {
    pub holdings_summary: Vec<HoldingSummary>,
    pub daily_holdings: Vec<HoldingSummary>,
    pub metrics: BacktestMetrics,
+    pub terminal_audit: BacktestTerminalAudit,
+}
+
+#[derive(Debug, Clone, Copy, Serialize, Deserialize, PartialEq, Eq)]
+#[serde(rename_all = "snake_case")]
+pub enum BacktestTerminalStatus {
+    Clean,
+    CompletedWithPendingState,
+}
+
+#[derive(Debug, Clone, Serialize, Deserialize, PartialEq)]
+#[serde(rename_all = "camelCase")]
+pub struct BacktestTerminalOpenOrder {
+    pub asset_class: BacktestTerminalAssetClass,
+    pub order_id: u64,
+    pub symbol: String,
+    pub side: String,
+    pub requested_quantity: u32,
+    pub filled_quantity: u32,
+    pub remaining_quantity: u32,
+    pub limit_price: f64,
+    pub reason: String,
+}
+
+#[derive(Debug, Clone, Copy, Serialize, Deserialize, PartialEq, Eq)]
+#[serde(rename_all = "snake_case")]
+pub enum BacktestTerminalAssetClass {
+    Stock,
+    Futures,
+}
+
+#[derive(Debug, Clone, Serialize, Deserialize, PartialEq)]
+#[serde(rename_all = "camelCase")]
+pub struct BacktestTerminalAudit {
+    pub status: BacktestTerminalStatus,
+    pub last_execution_date: Option<NaiveDate>,
+    pub stock_open_order_count: usize,
+    pub futures_open_order_count: usize,
+    pub pending_cash_flow_count: usize,
+    pub pending_cash_flow_net_amount: f64,
+    pub cash_receivable_count: usize,
+    pub cash_receivable_total_amount: f64,
+    pub earliest_deferred_cash_date: Option<NaiveDate>,
+    pub open_order_samples: Vec<BacktestTerminalOpenOrder>,
+    pub omitted_open_order_count: usize,
+}
+
+impl Default for BacktestTerminalAudit {
+    fn default() -> Self {
+        Self {
+            status: BacktestTerminalStatus::Clean,
+            last_execution_date: None,
+            stock_open_order_count: 0,
+            futures_open_order_count: 0,
+            pending_cash_flow_count: 0,
+            pending_cash_flow_net_amount: 0.0,
+            cash_receivable_count: 0,
+            cash_receivable_total_amount: 0.0,
+            earliest_deferred_cash_date: None,
+            open_order_samples: Vec::new(),
+            omitted_open_order_count: 0,
+        }
+    }
+}
+
+impl BacktestTerminalAudit {
+    pub fn is_clean(&self) -> bool {
+        self.status == BacktestTerminalStatus::Clean
+    }
+
+    pub fn open_order_count(&self) -> usize {
+        self.stock_open_order_count + self.futures_open_order_count
+    }
 }

 #[derive(Debug, Clone)]
@@ -186,6 +259,7 @@ pub struct AnalyzerReport {
    pub equity_curve: Vec<DailyEquityPoint>,
    pub benchmark_series: Vec<BenchmarkSnapshot>,
    pub metrics: BacktestMetrics,
+    pub terminal_audit: BacktestTerminalAudit,
 }

 impl BacktestResult {
@@ -228,6 +302,7 @@ impl BacktestResult {
            equity_curve: self.equity_curve.clone(),
            benchmark_series: self.benchmark_series.clone(),
            metrics: self.metrics.clone(),
+            terminal_audit: self.terminal_audit.clone(),
        }
    }

@@ -1065,7 +1140,12 @@ where

    fn open_order_views(&self) -> Vec<crate::strategy::OpenOrderView> {
        let mut views = self.broker.open_order_views();
-        views.extend(
+        views.extend(self.futures_open_order_views());
+        views.sort_by_key(|order| order.order_id);
+        views
+    }
+
+    fn futures_open_order_views(&self) -> Vec<crate::strategy::OpenOrderView> {
        self.futures_open_orders
            .iter()
            .map(|order| crate::strategy::OpenOrderView {
@@ -1081,10 +1161,88 @@ where
                transaction_cost: 0.0,
                limit_price: order.limit_price,
                reason: order.reason.clone(),
-                }),
-        );
-        views.sort_by_key(|order| order.order_id);
-        views
+            })
+            .collect()
+    }
+
+    fn terminal_audit(
+        &self,
+        portfolio: &PortfolioState,
+        last_execution_date: Option<NaiveDate>,
+    ) -> BacktestTerminalAudit {
+        const OPEN_ORDER_SAMPLE_LIMIT: usize = 20;
+
+        let stock_open_orders = self.broker.open_order_views();
+        let futures_open_orders = self.futures_open_order_views();
+        let stock_open_order_count = stock_open_orders.len();
+        let futures_open_order_count = futures_open_orders.len();
+        let open_order_count = stock_open_order_count + futures_open_order_count;
+        let pending_cash_flow_count = portfolio.pending_cash_flows().len();
+        let cash_receivable_count = portfolio.cash_receivables().len();
+        let pending_cash_flow_net_amount = portfolio
+            .pending_cash_flows()
+            .iter()
+            .map(|flow| flow.amount)
+            .sum();
+        let cash_receivable_total_amount = portfolio
+            .cash_receivables()
+            .iter()
+            .map(|receivable| receivable.amount)
+            .sum();
+        let earliest_deferred_cash_date = portfolio
+            .pending_cash_flows()
+            .iter()
+            .map(|flow| flow.payable_date)
+            .chain(
+                portfolio
+                    .cash_receivables()
+                    .iter()
+                    .map(|receivable| receivable.payable_date),
+            )
+            .min();
+        let open_order_samples = stock_open_orders
+            .iter()
+            .map(|order| (BacktestTerminalAssetClass::Stock, order))
+            .chain(
+                futures_open_orders
+                    .iter()
+                    .map(|order| (BacktestTerminalAssetClass::Futures, order)),
+            )
+            .take(OPEN_ORDER_SAMPLE_LIMIT)
+            .map(|(asset_class, order)| BacktestTerminalOpenOrder {
+                asset_class,
+                order_id: order.order_id,
+                symbol: order.symbol.clone(),
+                side: order.side.as_str().to_string(),
+                requested_quantity: order.requested_quantity,
+                filled_quantity: order.filled_quantity,
+                remaining_quantity: order.remaining_quantity,
+                limit_price: order.limit_price,
+                reason: order.reason.clone(),
+            })
+            .collect::<Vec<_>>();
+        let status = if open_order_count == 0
+            && pending_cash_flow_count == 0
+            && cash_receivable_count == 0
+        {
+            BacktestTerminalStatus::Clean
+        } else {
+            BacktestTerminalStatus::CompletedWithPendingState
+        };
+
+        BacktestTerminalAudit {
+            status,
+            last_execution_date,
+            stock_open_order_count,
+            futures_open_order_count,
+            pending_cash_flow_count,
+            pending_cash_flow_net_amount,
+            cash_receivable_count,
+            cash_receivable_total_amount,
+            earliest_deferred_cash_date,
+            omitted_open_order_count: open_order_count.saturating_sub(open_order_samples.len()),
+            open_order_samples,
+        }
    }

    fn has_open_orders(&self) -> bool {
@@ -1840,6 +1998,7 @@ where
            holdings_summary: Vec::new(),
            daily_holdings: Vec::new(),
            metrics: BacktestMetrics::default(),
+            terminal_audit: BacktestTerminalAudit::default(),
        };
        let mut stock_equity_by_date = BTreeMap::<NaiveDate, f64>::new();
        let mut previous_external_cash_flow_total = portfolio.external_cash_flow_total();
@@ -3086,6 +3245,7 @@ where
        if let Some(last_date) = execution_dates.last().copied() {
            result.holdings_summary = portfolio.holdings_summary(last_date);
        }
+        result.terminal_audit = self.terminal_audit(&portfolio, execution_dates.last().copied());
        result.metrics = compute_backtest_metrics(
            &result.equity_curve,
            &result.fills,
@@ -37,7 +37,8 @@ pub use data::{
 pub use engine::{
    AnalyzerMonthlyReturnRow, AnalyzerPositionRow, AnalyzerReport, AnalyzerRiskSummary,
    AnalyzerTradeRow, BacktestConfig, BacktestDayProgress, BacktestEngine, BacktestError,
-    BacktestResult, DailyEquityPoint, ExecutionQuoteRequest, FuturesValidationConfig,
+    BacktestResult, BacktestTerminalAssetClass, BacktestTerminalAudit, BacktestTerminalOpenOrder,
+    BacktestTerminalStatus, DailyEquityPoint, ExecutionQuoteRequest, FuturesValidationConfig,
 };
 pub use event_bus::{BacktestProcessMod, BacktestProcessModLoader, ProcessEventBus};
 pub use events::{
@@ -6,12 +6,13 @@ use std::sync::{Arc, Mutex};
 use chrono::{NaiveDate, NaiveDateTime};
 use fidc_core::{
    BacktestConfig, BacktestEngine, BacktestProcessMod, BacktestProcessModLoader,
-    BenchmarkSnapshot, BrokerSimulator, CandidateEligibility, ChinaAShareCostModel,
-    ChinaEquityRuleHooks, DailyFactorSnapshot, DailyMarketSnapshot, DataSet, ExecutionQuoteRequest,
-    FuturesAccountState, FuturesCommissionType, FuturesContractSpec, FuturesDirection,
-    FuturesOrderIntent, FuturesPositionEffect, FuturesTradingParameter, FuturesValidationConfig,
-    Instrument, IntradayExecutionQuote, IntradayOrderBookDepthLevel, MatchingType,
-    NumericFactorMap, OpenOrderView, OrderIntent, OrderSide, OrderStatus, PlatformExprStrategy,
+    BacktestTerminalAssetClass, BacktestTerminalStatus, BenchmarkSnapshot, BrokerSimulator,
+    CandidateEligibility, ChinaAShareCostModel, ChinaEquityRuleHooks, DailyFactorSnapshot,
+    DailyMarketSnapshot, DataSet, ExecutionQuoteRequest, FuturesAccountState,
+    FuturesCommissionType, FuturesContractSpec, FuturesDirection, FuturesOrderIntent,
+    FuturesPositionEffect, FuturesTradingParameter, FuturesValidationConfig, Instrument,
+    IntradayExecutionQuote, IntradayOrderBookDepthLevel, MatchingType, NumericFactorMap,
+    OpenOrderView, OrderIntent, OrderSide, OrderStatus, PlatformExprStrategy,
    PlatformExprStrategyConfig, PlatformTradeAction, PortfolioState, PriceField, ProcessEvent,
    ProcessEventBus, ProcessEventKind, ScheduleRule, ScheduleStage, ScheduleTimeRule, Strategy,
    StrategyContext, StrategyDecision,
@@ -1683,6 +1684,61 @@ fn engine_matches_pending_futures_limit_order_with_data_driven_costs() {
        .expect("long futures position");
    assert_eq!(position.quantity, 2);
    assert!((position.contract_multiplier - 300.0).abs() < 1e-6);
+    assert_eq!(result.terminal_audit.status, BacktestTerminalStatus::Clean);
+    assert_eq!(result.terminal_audit.open_order_count(), 0);
+}
+
+#[test]
+fn engine_reports_pending_futures_order_at_backtest_boundary() {
+    let date = d(2025, 1, 2);
+    let broker = BrokerSimulator::new_with_execution_price(
+        ChinaAShareCostModel::default(),
+        ChinaEquityRuleHooks::default(),
+        PriceField::Open,
+    );
+    let mut engine = BacktestEngine::new(
+        two_day_futures_data(),
+        FuturesLimitOrderStrategy,
+        broker,
+        BacktestConfig {
+            initial_cash: 100_000.0,
+            benchmark_code: "000300.SH".to_string(),
+            start_date: Some(date),
+            end_date: Some(date),
+            decision_lag_trading_days: 0,
+            execution_price_field: PriceField::Open,
+        },
+    )
+    .with_futures_initial_cash(1_000_000.0);
+
+    let result = engine.run().expect("backtest succeeds");
+
+    assert!(result.fills.is_empty());
+    assert_eq!(
+        result.terminal_audit.status,
+        BacktestTerminalStatus::CompletedWithPendingState
+    );
+    assert_eq!(result.terminal_audit.last_execution_date, Some(date));
+    assert_eq!(result.terminal_audit.stock_open_order_count, 0);
+    assert_eq!(result.terminal_audit.futures_open_order_count, 1);
+    assert_eq!(result.terminal_audit.open_order_count(), 1);
+    assert_eq!(result.terminal_audit.omitted_open_order_count, 0);
+    assert_eq!(result.terminal_audit.open_order_samples.len(), 1);
+    assert_eq!(
+        result.terminal_audit.open_order_samples[0].asset_class,
+        BacktestTerminalAssetClass::Futures
+    );
+    assert_eq!(result.terminal_audit.open_order_samples[0].symbol, "IF2501");
+    assert_eq!(
+        result.terminal_audit.open_order_samples[0].remaining_quantity,
+        2
+    );
+    assert!(
+        result
+            .order_events
+            .iter()
+            .any(|event| { event.symbol == "IF2501" && event.status == OrderStatus::Pending })
+    );
 }

 #[test]
@@ -2895,6 +2951,8 @@ fn engine_applies_account_cash_flow_and_financing_intents() {
    assert!(result.process_events.iter().any(|event| {
        event.kind == ProcessEventKind::AccountManagementFee && event.detail.contains("fee=42.00")
    }));
+    assert_eq!(result.terminal_audit.status, BacktestTerminalStatus::Clean);
+    assert_eq!(result.terminal_audit.pending_cash_flow_count, 0);
 }

 #[test]
@@ -3066,6 +3124,8 @@ fn engine_rejects_pending_limit_orders_at_market_close() {
    assert!(result.process_events.iter().any(|event| {
        event.date == date1 && event.kind == ProcessEventKind::OrderUnsolicitedUpdate
    }));
+    assert_eq!(result.terminal_audit.status, BacktestTerminalStatus::Clean);
+    assert_eq!(result.terminal_audit.stock_open_order_count, 0);
 }

 #[test]