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

Fix decision-time rolling factor semantics

Browse Source
This commit is contained in:
boris
2026-04-24 01:00:28 -07:00
parent e6621c1719
commit 55e8a59866
3 changed files with 237 additions and 59 deletions
Download Patch File Download Diff File Expand all files Collapse all files

109
crates/fidc-core/src/data.rs
View File

@@ -451,7 +451,6 @@ struct SymbolPriceSeries {
closes: Vec<f64>,
prev_closes: Vec<f64>,
last_prices: Vec<f64>,
volumes: Vec<f64>,
open_prefix: Vec<f64>,
close_prefix: Vec<f64>,
prev_close_prefix: Vec<f64>,
@@ -485,7 +484,6 @@ impl SymbolPriceSeries {
closes,
prev_closes,
last_prices,
volumes,
open_prefix,
close_prefix,
prev_close_prefix,
@@ -532,6 +530,14 @@ impl SymbolPriceSeries {
}
}
fn previous_completed_end_index(&self, date: NaiveDate) -> Option<usize> {
match self.dates.binary_search(&date) {
Ok(idx) => Some(idx),
Err(0) => None,
Err(idx) => Some(idx),
}
}
fn decision_close_moving_average(&self, date: NaiveDate, lookback: usize) -> Option<f64> {
if lookback == 0 {
return None;
@@ -545,28 +551,11 @@ impl SymbolPriceSeries {
Some(sum / lookback as f64)
}
fn decision_close_rolling_average(&self, date: NaiveDate, lookback: usize) -> Option<f64> {
if lookback == 0 {
return None;
}
let end = self.decision_end_index(date)?;
if end == 0 {
return None;
}
let start = end.saturating_sub(lookback);
let count = end.saturating_sub(start);
if count == 0 {
return None;
}
let sum = self.prev_close_prefix[end] - self.prev_close_prefix[start];
Some(sum / count as f64)
}
fn decision_volume_moving_average(&self, date: NaiveDate, lookback: usize) -> Option<f64> {
if lookback == 0 {
return None;
}
let end = self.decision_end_index(date)?;
let end = self.previous_completed_end_index(date)?;
if end < lookback {
return None;
}
@@ -575,23 +564,6 @@ impl SymbolPriceSeries {
Some(sum / lookback as f64)
}
fn decision_volume_rolling_average(&self, date: NaiveDate, lookback: usize) -> Option<f64> {
if lookback == 0 {
return None;
}
let end = self.decision_end_index(date)?;
if end == 0 {
return None;
}
let start = end.saturating_sub(lookback);
let count = end.saturating_sub(start);
if count == 0 {
return None;
}
let sum = self.volume_prefix[end] - self.volume_prefix[start];
Some(sum / count as f64)
}
fn end_index(&self, date: NaiveDate) -> Option<usize> {
match self.dates.binary_search(&date) {
Ok(idx) => Some(idx + 1),
@@ -630,7 +602,6 @@ impl SymbolPriceSeries {
#[derive(Debug, Clone)]
struct BenchmarkPriceSeries {
dates: Vec<NaiveDate>,
opens: Vec<f64>,
closes: Vec<f64>,
open_prefix: Vec<f64>,
close_prefix: Vec<f64>,
@@ -647,7 +618,6 @@ impl BenchmarkPriceSeries {
let close_prefix = prefix_sums(&closes);
Self {
dates,
opens,
closes,
open_prefix,
close_prefix,
@@ -2014,11 +1984,11 @@ impl DataSet {
"close" | "prev_close" | "stock_close" | "price" => self
.market_series_by_symbol
.get(symbol)
.and_then(|series| series.decision_close_rolling_average(date, lookback)),
.and_then(|series| series.decision_close_moving_average(date, lookback)),
"volume" | "stock_volume" => self
.market_series_by_symbol
.get(symbol)
.and_then(|series| series.decision_volume_rolling_average(date, lookback)),
.and_then(|series| series.decision_volume_moving_average(date, lookback)),
"day_open" | "dayopen" => {
self.market_moving_average(date, symbol, lookback, PriceField::DayOpen)
}
@@ -3111,6 +3081,63 @@ mod tests {
std::env::temp_dir().join(format!("{}_{}_{}.csv", name, std::process::id(), nanos))
}
fn market_row(date: &str, prev_close: f64, volume: u64) -> DailyMarketSnapshot {
DailyMarketSnapshot {
date: NaiveDate::parse_from_str(date, "%Y-%m-%d").unwrap(),
symbol: "000001.SZ".to_string(),
timestamp: None,
day_open: prev_close,
open: prev_close,
high: prev_close,
low: prev_close,
close: prev_close,
last_price: prev_close,
bid1: prev_close,
ask1: prev_close,
prev_close,
volume,
tick_volume: 0,
bid1_volume: 0,
ask1_volume: 0,
trading_phase: None,
paused: false,
upper_limit: prev_close * 1.1,
lower_limit: prev_close * 0.9,
price_tick: 0.01,
}
}
#[test]
fn decision_volume_average_uses_previous_completed_days_only() {
let series = SymbolPriceSeries::new(&[
market_row("2025-01-02", 10.0, 100),
market_row("2025-01-03", 11.0, 200),
market_row("2025-01-06", 12.0, 10_000),
]);
assert_eq!(
series.decision_close_moving_average(
NaiveDate::parse_from_str("2025-01-06", "%Y-%m-%d").unwrap(),
2
),
Some(11.5)
);
assert_eq!(
series.decision_volume_moving_average(
NaiveDate::parse_from_str("2025-01-06", "%Y-%m-%d").unwrap(),
2
),
Some(150.0)
);
assert_eq!(
series.decision_volume_moving_average(
NaiveDate::parse_from_str("2025-01-06", "%Y-%m-%d").unwrap(),
3
),
None
);
}
#[test]
fn reads_mixed_numeric_and_text_extra_factors_from_quoted_csv_json() {
let path = temp_csv_path("mixed_factor_maps");