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Add rqalpha-style scheduler time rules

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boris
2026-04-23 06:34:07 -07:00
parent fae09afb86
commit 5265f82fef
10 changed files with 557 additions and 233 deletions
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334
crates/fidc-core/src/portfolio.rs
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@@ -142,7 +142,11 @@ impl Position {
}
pub fn set_dividend_receivable(&mut self, value: f64) {
self.dividend_receivable = if value.is_finite() { value.max(0.0) } else { 0.0 };
self.dividend_receivable = if value.is_finite() {
value.max(0.0)
} else {
0.0
};
}
pub fn holding_return(&self, price: f64) -> Option<f64> {
@@ -227,11 +231,12 @@ impl Position {
self.position_pnl = if self.day_start_quantity == 0 || self.day_start_price <= 0.0 {
0.0
} else {
adjusted_old_quantity * (self.last_price - (self.day_start_price / self.day_split_ratio))
adjusted_old_quantity
* (self.last_price - (self.day_start_price / self.day_split_ratio))
+ self.day_dividend_cash
};
self.trading_pnl = (self.day_trade_quantity_delta as f64 * self.last_price)
- self.day_trade_cost;
self.trading_pnl =
(self.day_trade_quantity_delta as f64 * self.last_price) - self.day_trade_cost;
}
}
@@ -466,8 +471,11 @@ impl PortfolioState {
#[cfg(test)]
mod tests {
use super::*;
use crate::data::{BenchmarkSnapshot, CandidateEligibility, DailyFactorSnapshot, DailyMarketSnapshot, DataSet, PriceField};
use crate::Instrument;
use crate::data::{
BenchmarkSnapshot, CandidateEligibility, DailyFactorSnapshot, DailyMarketSnapshot, DataSet,
PriceField,
};
use std::collections::BTreeMap;
#[test]
@@ -494,44 +502,134 @@ mod tests {
let prev_date = NaiveDate::from_ymd_opt(2025, 1, 2).unwrap();
let date = NaiveDate::from_ymd_opt(2025, 1, 3).unwrap();
let mut portfolio = PortfolioState::new(10_000.0);
portfolio.position_mut("000001.SZ").buy(prev_date, 100, 10.0);
portfolio.update_prices(
prev_date,
&DataSet::from_components(
vec![Instrument {
symbol: "000001.SZ".to_string(),
name: "Test".to_string(),
board: "SZ".to_string(),
round_lot: 100,
listed_at: None,
delisted_at: None,
status: "active".to_string(),
}],
vec![
DailyMarketSnapshot {
date: prev_date,
portfolio
.position_mut("000001.SZ")
.buy(prev_date, 100, 10.0);
portfolio
.update_prices(
prev_date,
&DataSet::from_components(
vec![Instrument {
symbol: "000001.SZ".to_string(),
timestamp: None,
day_open: 10.0,
open: 10.0,
high: 10.0,
low: 10.0,
close: 10.0,
last_price: 10.0,
bid1: 9.99,
ask1: 10.01,
prev_close: 9.8,
name: "Test".to_string(),
board: "SZ".to_string(),
round_lot: 100,
listed_at: None,
delisted_at: None,
status: "active".to_string(),
}],
vec![
DailyMarketSnapshot {
date: prev_date,
symbol: "000001.SZ".to_string(),
timestamp: None,
day_open: 10.0,
open: 10.0,
high: 10.0,
low: 10.0,
close: 10.0,
last_price: 10.0,
bid1: 9.99,
ask1: 10.01,
prev_close: 9.8,
volume: 1000,
tick_volume: 1000,
bid1_volume: 1000,
ask1_volume: 1000,
trading_phase: None,
paused: false,
upper_limit: 11.0,
lower_limit: 9.0,
price_tick: 0.01,
},
DailyMarketSnapshot {
date,
symbol: "000001.SZ".to_string(),
timestamp: None,
day_open: 10.5,
open: 10.5,
high: 10.5,
low: 10.5,
close: 10.5,
last_price: 10.5,
bid1: 10.49,
ask1: 10.51,
prev_close: 10.0,
volume: 1000,
tick_volume: 1000,
bid1_volume: 1000,
ask1_volume: 1000,
trading_phase: None,
paused: false,
upper_limit: 11.0,
lower_limit: 9.0,
price_tick: 0.01,
},
],
vec![DailyFactorSnapshot {
date,
symbol: "000001.SZ".to_string(),
market_cap_bn: 50.0,
free_float_cap_bn: 45.0,
pe_ttm: 10.0,
turnover_ratio: Some(1.0),
effective_turnover_ratio: Some(1.0),
extra_factors: BTreeMap::new(),
}],
vec![CandidateEligibility {
date,
symbol: "000001.SZ".to_string(),
is_st: false,
is_new_listing: false,
is_paused: false,
allow_buy: true,
allow_sell: true,
is_kcb: false,
is_one_yuan: false,
}],
vec![BenchmarkSnapshot {
date,
benchmark: "000852.SH".to_string(),
open: 1000.0,
close: 1000.0,
prev_close: 999.0,
volume: 1000,
tick_volume: 1000,
bid1_volume: 1000,
ask1_volume: 1000,
trading_phase: None,
paused: false,
upper_limit: 11.0,
lower_limit: 9.0,
price_tick: 0.01,
},
DailyMarketSnapshot {
}],
)
.expect("dataset"),
PriceField::Close,
)
.expect("prev close");
portfolio.begin_trading_day();
portfolio.add_cash_receivable(CashReceivable {
symbol: "000001.SZ".to_string(),
ex_date: prev_date,
payable_date: date.succ_opt().unwrap(),
amount: 25.0,
reason: "cash_dividend".to_string(),
});
portfolio
.position_mut_if_exists("000001.SZ")
.expect("position")
.apply_cash_dividend(0.2);
portfolio
.position_mut_if_exists("000001.SZ")
.expect("position")
.record_trade_cost(5.0);
portfolio
.update_prices(
date,
&DataSet::from_components(
vec![Instrument {
symbol: "000001.SZ".to_string(),
name: "Test".to_string(),
board: "SZ".to_string(),
round_lot: 100,
listed_at: None,
delisted_at: None,
status: "active".to_string(),
}],
vec![DailyMarketSnapshot {
date,
symbol: "000001.SZ".to_string(),
timestamp: None,
@@ -553,127 +651,41 @@ mod tests {
upper_limit: 11.0,
lower_limit: 9.0,
price_tick: 0.01,
},
],
vec![DailyFactorSnapshot {
date,
symbol: "000001.SZ".to_string(),
market_cap_bn: 50.0,
free_float_cap_bn: 45.0,
pe_ttm: 10.0,
turnover_ratio: Some(1.0),
effective_turnover_ratio: Some(1.0),
extra_factors: BTreeMap::new(),
}],
vec![CandidateEligibility {
date,
symbol: "000001.SZ".to_string(),
is_st: false,
is_new_listing: false,
is_paused: false,
allow_buy: true,
allow_sell: true,
is_kcb: false,
is_one_yuan: false,
}],
vec![BenchmarkSnapshot {
date,
benchmark: "000852.SH".to_string(),
open: 1000.0,
close: 1000.0,
prev_close: 999.0,
volume: 1000,
}],
}],
vec![DailyFactorSnapshot {
date,
symbol: "000001.SZ".to_string(),
market_cap_bn: 50.0,
free_float_cap_bn: 45.0,
pe_ttm: 10.0,
turnover_ratio: Some(1.0),
effective_turnover_ratio: Some(1.0),
extra_factors: BTreeMap::new(),
}],
vec![CandidateEligibility {
date,
symbol: "000001.SZ".to_string(),
is_st: false,
is_new_listing: false,
is_paused: false,
allow_buy: true,
allow_sell: true,
is_kcb: false,
is_one_yuan: false,
}],
vec![BenchmarkSnapshot {
date,
benchmark: "000852.SH".to_string(),
open: 1000.0,
close: 1000.0,
prev_close: 999.0,
volume: 1000,
}],
)
.expect("dataset"),
PriceField::Close,
)
.expect("dataset"),
PriceField::Close,
)
.expect("prev close");
portfolio.begin_trading_day();
portfolio.add_cash_receivable(CashReceivable {
symbol: "000001.SZ".to_string(),
ex_date: prev_date,
payable_date: date.succ_opt().unwrap(),
amount: 25.0,
reason: "cash_dividend".to_string(),
});
portfolio
.position_mut_if_exists("000001.SZ")
.expect("position")
.apply_cash_dividend(0.2);
portfolio
.position_mut_if_exists("000001.SZ")
.expect("position")
.record_trade_cost(5.0);
portfolio.update_prices(
date,
&DataSet::from_components(
vec![Instrument {
symbol: "000001.SZ".to_string(),
name: "Test".to_string(),
board: "SZ".to_string(),
round_lot: 100,
listed_at: None,
delisted_at: None,
status: "active".to_string(),
}],
vec![DailyMarketSnapshot {
date,
symbol: "000001.SZ".to_string(),
timestamp: None,
day_open: 10.5,
open: 10.5,
high: 10.5,
low: 10.5,
close: 10.5,
last_price: 10.5,
bid1: 10.49,
ask1: 10.51,
prev_close: 10.0,
volume: 1000,
tick_volume: 1000,
bid1_volume: 1000,
ask1_volume: 1000,
trading_phase: None,
paused: false,
upper_limit: 11.0,
lower_limit: 9.0,
price_tick: 0.01,
}],
vec![DailyFactorSnapshot {
date,
symbol: "000001.SZ".to_string(),
market_cap_bn: 50.0,
free_float_cap_bn: 45.0,
pe_ttm: 10.0,
turnover_ratio: Some(1.0),
effective_turnover_ratio: Some(1.0),
extra_factors: BTreeMap::new(),
}],
vec![CandidateEligibility {
date,
symbol: "000001.SZ".to_string(),
is_st: false,
is_new_listing: false,
is_paused: false,
allow_buy: true,
allow_sell: true,
is_kcb: false,
is_one_yuan: false,
}],
vec![BenchmarkSnapshot {
date,
benchmark: "000852.SH".to_string(),
open: 1000.0,
close: 1000.0,
prev_close: 999.0,
volume: 1000,
}],
)
.expect("dataset"),
PriceField::Close,
)
.expect("close");
.expect("close");
let position = portfolio.position("000001.SZ").expect("position");
assert!((position.dividend_receivable - 25.0).abs() < 1e-6);