zsb/fidc-backtest-engine
1
0
Fork 0
Code Issues Pull Requests Packages Projects Releases Wiki Activity

fix: distinguish signal consumption and strategy decision schedule dates

Browse Source
This commit is contained in:
boris
2026-09-10 21:20:43 +08:00
parent c8f6ed102c
commit 3dd7b2bd50
2 changed files with 10 additions and 11 deletions
Download Patch File Download Diff File Expand all files Collapse all files
crates/fidc-core/src/platform_expr_strategy.rs
+7 -8
View File
@@ -9122,11 +9122,10 @@ impl PlatformExprStrategy {
self.stock_state(ctx, date, symbol).map(Some) self.stock_state(ctx, date, symbol).map(Some)
} }
fn unscheduled_explicit_actions_are_due(&self, ctx: &StrategyContext<'_>) -> bool { fn unscheduled_explicit_actions_are_due(&self, decision_date: NaiveDate, execution_date: NaiveDate) -> bool {
if let Some(book) = &self.config.signal_book { if let Some(book) = &self.config.signal_book {
return book.is_due_on(ctx); return book.is_due_on(execution_date);
} }
let decision_date = ctx.decision_date;
self.config.signal_rebalance_dates.is_empty() self.config.signal_rebalance_dates.is_empty()
|| self.config.signal_rebalance_dates.contains(&decision_date) || self.config.signal_rebalance_dates.contains(&decision_date)
} }
@@ -12418,7 +12417,7 @@ impl Strategy for PlatformExprStrategy {
if self.config.explicit_action_stage == PlatformExplicitActionStage::OpenAuction if self.config.explicit_action_stage == PlatformExplicitActionStage::OpenAuction
&& !self.config.explicit_actions.is_empty() && !self.config.explicit_actions.is_empty()
&& self.config.explicit_action_schedule.is_none() && self.config.explicit_action_schedule.is_none()
&& self.unscheduled_explicit_actions_are_due(ctx) && self.unscheduled_explicit_actions_are_due(ctx.decision_date, ctx.execution_date)
{ {
let mut decision = self.explicit_action_decision(ctx)?; let mut decision = self.explicit_action_decision(ctx)?;
self.attach_buy_denials(ctx, &mut decision)?; self.attach_buy_denials(ctx, &mut decision)?;
@@ -12559,7 +12558,7 @@ impl PlatformExprStrategy {
let (explicit_action_intents, mut explicit_action_diagnostics) = if !in_skip_window let (explicit_action_intents, mut explicit_action_diagnostics) = if !in_skip_window
&& self.config.explicit_action_stage == PlatformExplicitActionStage::OnDay && self.config.explicit_action_stage == PlatformExplicitActionStage::OnDay
&& self.config.explicit_action_schedule.is_none() && self.config.explicit_action_schedule.is_none()
&& self.unscheduled_explicit_actions_are_due(ctx) && self.unscheduled_explicit_actions_are_due(decision_date, execution_date)
{ {
self.explicit_action_intents(ctx, decision_date, &day)? self.explicit_action_intents(ctx, decision_date, &day)?
} else { } else {
@@ -25526,9 +25525,9 @@ mod tests {
}]; }];
let mut strategy = PlatformExprStrategy::new(config); let mut strategy = PlatformExprStrategy::new(config);
assert!(strategy.unscheduled_explicit_actions_are_due(first)); assert!(strategy.unscheduled_explicit_actions_are_due(first, first));
assert!(!strategy.unscheduled_explicit_actions_are_due(between)); assert!(!strategy.unscheduled_explicit_actions_are_due(between, between));
assert!(strategy.unscheduled_explicit_actions_are_due(second)); assert!(strategy.unscheduled_explicit_actions_are_due(second, second));
let mut decide = |date, decision_index| { let mut decide = |date, decision_index| {
let ctx = StrategyContext { let ctx = StrategyContext {
crates/fidc-core/src/signal_contract.rs
+3 -3
View File
@@ -185,9 +185,9 @@ impl ValidatedSignalBook {
Ok(snapshot) Ok(snapshot)
} }
pub fn is_due_on(&self, ctx: &StrategyContext<'_>) -> bool { pub fn is_due_on(&self, execution_date: NaiveDate) -> bool {
self.index.range(ctx.execution_date.and_hms_opt(0,0,0).expect("session start")..) self.index.range(execution_date.and_hms_opt(0,0,0).expect("session start")..)
.next().is_some_and(|(at,_)|at.date()==ctx.execution_date) .next().is_some_and(|(at,_)|at.date()==execution_date)
} }
fn snapshot_at(&self, execution_date: NaiveDate, current_time: Option<NaiveTime>, lagged: bool) -> Result<&SignalSnapshot, String> { fn snapshot_at(&self, execution_date: NaiveDate, current_time: Option<NaiveTime>, lagged: bool) -> Result<&SignalSnapshot, String> {