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修正AiQuant兼容回测盘中估值口径

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This commit is contained in:
boris
2026-06-13 23:32:24 +08:00
parent 9512a5dd2f
commit 4c3653e009
2 changed files with 456 additions and 150 deletions
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crates/fidc-core/src/broker.rs
+85 -38
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@@ -361,30 +361,12 @@ where
symbol: &str,
snapshot: &crate::data::DailyMarketSnapshot,
) -> f64 {
if self.execution_price_field == PriceField::Last {
let start_cursor = self
.runtime_intraday_start_time
.get()
.or(self.intraday_execution_start_time)
.map(|start_time| date.and_time(start_time));
if let Some(price) = self
.latest_known_quote_at_or_before(
data.execution_quotes_on(date, symbol),
start_cursor,
snapshot,
OrderSide::Buy,
MatchingType::NextTickLast,
false,
)
.and_then(|quote| {
(quote.last_price.is_finite() && quote.last_price > 0.0)
.then_some(quote.last_price)
})
{
return price;
}
let _ = (date, data, symbol);
if snapshot.close.is_finite() && snapshot.close > 0.0 {
snapshot.close
} else {
self.sizing_price(snapshot)
}
self.sizing_price(snapshot)
}
fn value_order_sizing_price(
@@ -3675,16 +3657,11 @@ where
requested_qty
}
fn value_buy_gross_limit(
&self,
value_budget: Option<f64>,
requested_qty: u32,
reference_price: f64,
) -> Option<f64> {
fn value_buy_gross_limit(&self, value_budget: Option<f64>) -> Option<f64> {
if !self.strict_value_budget {
return None;
}
value_budget.map(|budget| budget.max(reference_price * requested_qty as f64))
value_budget.filter(|budget| budget.is_finite() && *budget > 0.0)
}
fn process_buy(
@@ -3843,8 +3820,15 @@ where
return Ok(());
}
};
let value_gross_limit =
self.value_buy_gross_limit(value_budget, constrained_qty, self.sizing_price(snapshot));
let value_gross_limit = self.value_buy_gross_limit(value_budget);
let buy_cash_limit = if self.strict_value_budget {
value_budget
.filter(|budget| budget.is_finite() && *budget > 0.0)
.map(|budget| portfolio.cash().min(budget))
.unwrap_or_else(|| portfolio.cash())
} else {
portfolio.cash()
};
let fill = self.resolve_execution_fill(
date,
@@ -3859,7 +3843,7 @@ where
false,
execution_cursors,
None,
Some(portfolio.cash()),
Some(buy_cash_limit),
value_gross_limit,
algo_request,
limit_price,
@@ -3896,7 +3880,7 @@ where
self.execution_price_with_limit_slippage(execution_price, limit_price);
let filled_qty = self.affordable_buy_quantity(
date,
portfolio.cash(),
buy_cash_limit,
value_gross_limit,
execution_price,
constrained_qty,
@@ -3913,7 +3897,7 @@ where
partial_fill_reason = merge_partial_fill_reason(
partial_fill_reason,
self.buy_reduction_reason(
portfolio.cash(),
buy_cash_limit,
value_gross_limit,
execution_price,
constrained_qty,
@@ -5119,7 +5103,7 @@ mod tests {
}
#[test]
fn target_value_sizing_uses_intraday_tick_instead_of_daily_snapshot() {
fn target_value_valuation_uses_daily_snapshot_but_value_order_sizing_uses_intraday_tick() {
let date = chrono::NaiveDate::from_ymd_opt(2025, 1, 2).expect("valid date");
let broker = BrokerSimulator::new_with_execution_price(
ChinaAShareCostModel::default(),
@@ -5128,7 +5112,7 @@ mod tests {
)
.with_intraday_execution_start_time(date.and_hms_opt(9, 33, 0).unwrap().time());
let mut snapshot = limit_test_snapshot();
snapshot.last_price = 10.0;
snapshot.last_price = 9.0;
snapshot.close = 10.0;
let mut quote = limit_test_quote(11.0, 10.99, 11.01);
quote.timestamp = date.and_hms_opt(9, 32, 58).expect("valid timestamp");
@@ -5146,7 +5130,7 @@ mod tests {
assert_eq!(
broker.target_value_valuation_price(date, &data, "000001.SZ", snapshot),
11.0
10.0
);
assert_eq!(
broker.value_sell_sizing_price(date, &data, "000001.SZ", snapshot),
@@ -5266,6 +5250,69 @@ mod tests {
assert_eq!(report.order_events[0].filled_quantity, 14_300);
}
#[test]
fn strict_value_buy_budget_includes_commission_at_execution_price() {
let date = chrono::NaiveDate::from_ymd_opt(2025, 1, 2).expect("valid date");
let broker = BrokerSimulator::new_with_execution_price(
ChinaAShareCostModel::default(),
ChinaEquityRuleHooks,
PriceField::Last,
)
.with_intraday_execution_start_time(date.and_hms_opt(9, 33, 0).unwrap().time())
.with_slippage_model(SlippageModel::PriceRatio(0.002))
.with_strict_value_budget(true)
.with_volume_limit(false)
.with_liquidity_limit(false)
.with_inactive_limit(false);
let mut snapshot = limit_test_snapshot();
snapshot.day_open = 7.14;
snapshot.open = 7.14;
snapshot.high = 7.20;
snapshot.low = 7.10;
snapshot.last_price = 7.14;
snapshot.bid1 = 7.14;
snapshot.ask1 = 7.15;
snapshot.close = 7.14;
snapshot.upper_limit = 7.85;
snapshot.lower_limit = 6.43;
let mut quote = limit_test_quote(7.14, 7.14, 7.15);
quote.timestamp = date.and_hms_opt(9, 32, 55).expect("valid timestamp");
let data = DataSet::from_components_with_actions_and_quotes(
vec![limit_test_instrument()],
vec![snapshot],
Vec::new(),
vec![limit_test_candidate(true, true)],
vec![limit_test_benchmark()],
Vec::new(),
vec![quote],
)
.expect("valid dataset");
let value_budget = 125_216.8131;
let mut portfolio = PortfolioState::new(10_000_000.0);
let mut report = BrokerExecutionReport::default();
broker
.process_value(
date,
&mut portfolio,
&data,
"000001.SZ",
value_budget,
"periodic_rebalance_buy",
&mut BTreeMap::new(),
&mut BTreeMap::new(),
&mut None,
&mut BTreeMap::new(),
&mut report,
)
.expect("value buy processed");
let fill = report.fill_events.first().expect("fill event");
assert_eq!(fill.quantity, 17_400);
assert!(fill.gross_amount + fill.commission <= value_budget + 1e-6);
assert!((fill.price - 7.15428).abs() < 1e-6);
}
#[test]
fn instantaneous_twap_without_limits_does_not_cap_quote_quantity() {
let broker = BrokerSimulator::new(ChinaAShareCostModel::default(), ChinaEquityRuleHooks)