Support algo order pricing in smart portfolio rebalances
This commit is contained in:
boris
@@ -3,7 +3,7 @@ use fidc_core::{
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AlgoOrderStyle, BenchmarkSnapshot, BrokerSimulator, CandidateEligibility, ChinaAShareCostModel,
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ChinaEquityRuleHooks, DailyFactorSnapshot, DailyMarketSnapshot, DataSet, Instrument,
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IntradayExecutionQuote, MatchingType, OrderIntent, OrderStatus, PortfolioState, PriceField,
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ProcessEventKind, SlippageModel, StrategyDecision,
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ProcessEventKind, SlippageModel, StrategyDecision, TargetPortfolioOrderPricing,
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};
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use std::collections::{BTreeMap, BTreeSet};
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@@ -479,10 +479,10 @@ fn broker_executes_target_portfolio_smart_with_custom_prices() {
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("000001.SZ".to_string(), 0.0),
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("000002.SZ".to_string(), 0.5),
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]),
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order_prices: Some(BTreeMap::from([
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order_prices: Some(TargetPortfolioOrderPricing::LimitPrices(BTreeMap::from([
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("000001.SZ".to_string(), 9.8),
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("000002.SZ".to_string(), 10.2),
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])),
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]))),
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valuation_prices: Some(BTreeMap::from([
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("000001.SZ".to_string(), 10.0),
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("000002.SZ".to_string(), 20.0),
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@@ -516,6 +516,146 @@ fn broker_executes_target_portfolio_smart_with_custom_prices() {
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);
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}
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#[test]
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fn broker_executes_target_portfolio_smart_with_algo_order_style() {
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let date = NaiveDate::from_ymd_opt(2024, 1, 10).unwrap();
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let data = DataSet::from_components_with_actions_and_quotes(
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vec![Instrument {
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symbol: "000002.SZ".to_string(),
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name: "New".to_string(),
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board: "SZ".to_string(),
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round_lot: 100,
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listed_at: None,
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delisted_at: None,
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status: "active".to_string(),
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}],
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vec![DailyMarketSnapshot {
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date,
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symbol: "000002.SZ".to_string(),
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timestamp: Some("2024-01-10 10:18:00".to_string()),
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day_open: 10.0,
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open: 10.0,
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high: 10.3,
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low: 9.9,
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close: 10.2,
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last_price: 10.2,
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bid1: 10.19,
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ask1: 10.21,
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prev_close: 10.0,
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volume: 100_000,
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tick_volume: 100_000,
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bid1_volume: 80_000,
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ask1_volume: 80_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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vec![DailyFactorSnapshot {
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date,
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symbol: "000002.SZ".to_string(),
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market_cap_bn: 45.0,
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free_float_cap_bn: 40.0,
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pe_ttm: 14.0,
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turnover_ratio: Some(2.2),
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effective_turnover_ratio: Some(2.0),
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extra_factors: BTreeMap::new(),
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}],
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vec![CandidateEligibility {
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date,
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symbol: "000002.SZ".to_string(),
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is_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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}],
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vec![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: 1002.0,
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prev_close: 998.0,
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volume: 1_000_000,
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}],
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Vec::new(),
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vec![
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IntradayExecutionQuote {
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date,
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symbol: "000002.SZ".to_string(),
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timestamp: date.and_hms_opt(9, 31, 0).unwrap(),
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last_price: 10.0,
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ask1: 10.01,
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bid1: 9.99,
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ask1_volume: 1,
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bid1_volume: 1,
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volume_delta: 1,
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amount_delta: 0.0,
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trading_phase: Some("continuous".to_string()),
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},
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IntradayExecutionQuote {
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date,
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symbol: "000002.SZ".to_string(),
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timestamp: date.and_hms_opt(9, 35, 0).unwrap(),
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last_price: 10.2,
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ask1: 10.21,
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bid1: 10.19,
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ask1_volume: 1,
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bid1_volume: 1,
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volume_delta: 1,
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amount_delta: 0.0,
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trading_phase: Some("continuous".to_string()),
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},
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],
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)
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.expect("dataset");
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let mut portfolio = PortfolioState::new(2_100.0);
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let broker = BrokerSimulator::new(
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ChinaAShareCostModel::default(),
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ChinaEquityRuleHooks::default(),
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);
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let report = broker
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.execute(
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date,
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&mut portfolio,
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&data,
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&StrategyDecision {
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rebalance: false,
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target_weights: BTreeMap::new(),
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exit_symbols: BTreeSet::new(),
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order_intents: vec![OrderIntent::TargetPortfolioSmart {
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target_weights: BTreeMap::from([("000002.SZ".to_string(), 1.0)]),
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order_prices: Some(TargetPortfolioOrderPricing::AlgoOrder {
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style: AlgoOrderStyle::Vwap,
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start_time: Some(NaiveTime::from_hms_opt(9, 31, 0).unwrap()),
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end_time: Some(NaiveTime::from_hms_opt(9, 35, 0).unwrap()),
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}),
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valuation_prices: Some(BTreeMap::from([("000002.SZ".to_string(), 10.0)])),
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reason: "test_target_portfolio_smart_algo".to_string(),
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}],
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notes: Vec::new(),
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diagnostics: Vec::new(),
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},
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)
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.expect("broker execution");
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assert_eq!(report.order_events.len(), 1);
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assert_eq!(report.fill_events.len(), 1);
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assert_eq!(report.fill_events[0].symbol, "000002.SZ");
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assert_eq!(report.fill_events[0].side, fidc_core::OrderSide::Buy);
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assert_eq!(report.fill_events[0].quantity, 200);
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assert!((report.fill_events[0].price - 10.1).abs() < 1e-9);
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assert_eq!(
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portfolio.position("000002.SZ").map(|pos| pos.quantity),
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Some(200)
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);
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}
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#[test]
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fn broker_executes_order_percent_and_target_percent() {
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let date = NaiveDate::from_ymd_opt(2024, 1, 10).unwrap();
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