test: cover signal-date target persistence
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@@ -13401,6 +13401,91 @@ mod tests {
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NaiveDate::from_ymd_opt(year, month, day).expect("valid date")
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NaiveDate::from_ymd_opt(year, month, day).expect("valid date")
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}
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}
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fn single_symbol_platform_data(dates: &[NaiveDate], symbol: &str) -> DataSet {
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DataSet::from_components(
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vec![Instrument {
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symbol: symbol.to_string(),
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name: symbol.to_string(),
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board: "SZSE".to_string(),
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round_lot: 100,
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listed_at: Some(d(2010, 1, 1)),
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delisted_at: None,
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status: "active".to_string(),
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}],
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dates
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.iter()
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.copied()
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.map(|date| DailyMarketSnapshot {
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date,
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symbol: symbol.to_string(),
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timestamp: None,
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day_open: 10.0,
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open: 10.0,
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high: 10.2,
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low: 9.8,
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close: 10.0,
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last_price: 10.0,
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bid1: 9.99,
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ask1: 10.01,
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prev_close: 10.0,
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volume: 1_000_000,
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minute_volume: 10_000,
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bid1_volume: 10_000,
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ask1_volume: 10_000,
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trading_phase: Some("continuous".to_string()),
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paused: false,
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upper_limit: 11.0,
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lower_limit: 9.0,
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price_tick: 0.01,
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})
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.collect(),
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dates
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.iter()
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.copied()
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.map(|date| DailyFactorSnapshot {
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date,
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symbol: symbol.to_string(),
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market_cap_bn: 10.0,
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free_float_cap_bn: 9.0,
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pe_ttm: 8.0,
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turnover_ratio: Some(1.0),
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effective_turnover_ratio: Some(1.0),
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extra_factors: BTreeMap::new(),
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})
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.collect(),
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dates
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.iter()
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.copied()
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.map(|date| CandidateEligibility {
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date,
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symbol: symbol.to_string(),
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is_st: false,
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is_star_st: false,
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is_new_listing: false,
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is_paused: false,
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allow_buy: true,
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allow_sell: true,
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is_kcb: false,
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is_one_yuan: false,
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risk_level_code: None,
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})
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.collect(),
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dates
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.iter()
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.copied()
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.map(|date| BenchmarkSnapshot {
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date,
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benchmark: "000852.SH".to_string(),
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open: 1000.0,
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close: 1000.0,
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prev_close: 1000.0,
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volume: 1_000_000,
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})
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.collect(),
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)
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.expect("single-symbol platform dataset")
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}
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#[test]
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#[test]
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fn stock_state_cache_resets_before_reusing_compact_keys_on_another_date() {
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fn stock_state_cache_resets_before_reusing_compact_keys_on_another_date() {
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let dates = [d(2025, 1, 2), d(2025, 1, 3)];
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let dates = [d(2025, 1, 2), d(2025, 1, 3)];
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@@ -23528,11 +23613,18 @@ mod tests {
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let first = d(2025, 2, 3);
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let first = d(2025, 2, 3);
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let between = d(2025, 2, 4);
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let between = d(2025, 2, 4);
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let second = d(2025, 2, 5);
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let second = d(2025, 2, 5);
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let symbol = "000001.SZ";
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let data = single_symbol_platform_data(&[first, between, second], symbol);
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let portfolio = PortfolioState::new(1_000_000.0);
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let subscriptions = BTreeSet::new();
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let mut config = PlatformExprStrategyConfig::generic();
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let mut config = PlatformExprStrategyConfig::generic();
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config.signal_symbol = symbol.to_string();
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config.benchmark_symbol = "000852.SH".to_string();
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config.rotation_enabled = false;
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config.signal_rebalance_dates = BTreeSet::from([first, second]);
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config.signal_rebalance_dates = BTreeSet::from([first, second]);
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config.explicit_actions = vec![PlatformTradeAction::Order {
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config.explicit_actions = vec![PlatformTradeAction::Order {
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kind: PlatformExplicitOrderKind::TargetPercent,
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kind: PlatformExplicitOrderKind::TargetPercent,
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symbol: "000001.SZ".to_string(),
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symbol: symbol.to_string(),
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amount_expr: format!(
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amount_expr: format!(
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"if decision_date == \"{first}\" {{ 0.5 }} else if decision_date == \"{second}\" {{ 0.0 }} else {{ 0.0 }}"
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"if decision_date == \"{first}\" {{ 0.5 }} else if decision_date == \"{second}\" {{ 0.0 }} else {{ 0.0 }}"
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),
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),
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@@ -23543,11 +23635,46 @@ mod tests {
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when_expr: None,
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when_expr: None,
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reason: "full_target_snapshot".to_string(),
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reason: "full_target_snapshot".to_string(),
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}];
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}];
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let strategy = PlatformExprStrategy::new(config);
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let mut strategy = PlatformExprStrategy::new(config);
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assert!(strategy.unscheduled_explicit_actions_are_due(first));
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assert!(strategy.unscheduled_explicit_actions_are_due(first));
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assert!(!strategy.unscheduled_explicit_actions_are_due(between));
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assert!(!strategy.unscheduled_explicit_actions_are_due(between));
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assert!(strategy.unscheduled_explicit_actions_are_due(second));
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assert!(strategy.unscheduled_explicit_actions_are_due(second));
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let mut decide = |date, decision_index| {
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let ctx = StrategyContext {
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execution_date: date,
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decision_date: date,
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decision_index,
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data: &data,
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portfolio: &portfolio,
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futures_account: None,
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open_orders: &[],
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dynamic_universe: None,
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subscriptions: &subscriptions,
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process_events: &[],
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active_process_event: None,
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active_datetime: None,
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order_events: &[],
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fills: &[],
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};
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strategy.on_day(&ctx).expect("explicit action decision")
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};
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let first_decision = decide(first, 0);
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let between_decision = decide(between, 1);
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let second_decision = decide(second, 2);
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assert!(matches!(
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first_decision.order_intents.as_slice(),
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[OrderIntent::TargetPercent { symbol: actual_symbol, target_percent, .. }]
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if actual_symbol == symbol && (*target_percent - 0.5).abs() < f64::EPSILON
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));
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assert!(between_decision.order_intents.is_empty());
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assert!(matches!(
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second_decision.order_intents.as_slice(),
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[OrderIntent::TargetPercent { symbol: actual_symbol, target_percent, .. }]
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if actual_symbol == symbol && target_percent.abs() < f64::EPSILON
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));
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}
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}
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#[test]
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#[test]
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