支持策略决策前批量加载执行价

2026-06-18 17:08:36 +08:00
parent 2265a5dc67
commit 3633905459
3 changed files with 83 additions and 0 deletions
@@ -622,6 +622,35 @@ where
        Ok(())
    }

+    fn ensure_execution_quotes_for_symbols_at_times(
+        &mut self,
+        execution_date: NaiveDate,
+        symbols: &BTreeSet<String>,
+        quote_times: &[NaiveTime],
+    ) -> Result<(), BacktestError> {
+        if self.execution_quote_loader.is_none() || quote_times.is_empty() || symbols.is_empty() {
+            return Ok(());
+        }
+        let base_symbols = symbols
+            .iter()
+            .filter(|symbol| !symbol.trim().is_empty())
+            .cloned()
+            .collect::<BTreeSet<_>>();
+        if base_symbols.is_empty() {
+            return Ok(());
+        }
+        for quote_time in quote_times {
+            let mut symbols = base_symbols.clone();
+            self.load_missing_execution_quotes(
+                execution_date,
+                Some(*quote_time),
+                None,
+                &mut symbols,
+            )?;
+        }
+        Ok(())
+    }
+
    fn apply_strategy_directives(
        &mut self,
        execution_date: NaiveDate,
@@ -1951,6 +1980,33 @@ where
            )?;
            let on_day_open_orders = self.open_order_views();
            let decision_quote_times = self.strategy.decision_quote_times();
+            if !decision_quote_times.is_empty() {
+                let decision_quote_symbols =
+                    self.strategy.decision_quote_symbols(&StrategyContext {
+                        execution_date,
+                        decision_date,
+                        decision_index,
+                        data: &self.data,
+                        portfolio: &portfolio,
+                        futures_account: self.futures_account.as_ref(),
+                        open_orders: &on_day_open_orders,
+                        dynamic_universe: self.dynamic_universe.as_ref(),
+                        subscriptions: &self.subscriptions,
+                        process_events: &process_events,
+                        active_process_event: None,
+                        active_datetime: stage_datetime(
+                            execution_date,
+                            default_stage_time(ScheduleStage::OnDay),
+                        ),
+                        order_events: result.order_events.as_slice(),
+                        fills: result.fills.as_slice(),
+                    })?;
+                self.ensure_execution_quotes_for_symbols_at_times(
+                    execution_date,
+                    &decision_quote_symbols,
+                    &decision_quote_times,
+                )?;
+            }
            self.ensure_execution_quotes_for_portfolio_times(
                execution_date,
                &portfolio,