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

fix: align risk-free dates with engine schedule

Browse Source
This commit is contained in:
boris
2026-09-06 18:45:11 +08:00
parent a838732e5a
commit 5bc9753766
2 changed files with 88 additions and 46 deletions
Download Patch File Download Diff File Expand all files Collapse all files
crates/fidc-core/src/engine.rs
+87 -45
View File
@@ -458,6 +458,60 @@ pub struct BacktestEngine<S, C, R> {
risk_free_rate_contract: Option<RiskFreeRateContract>,
}
fn backtest_execution_schedule(
data: &DataSet,
start_date: Option<NaiveDate>,
end_date: Option<NaiveDate>,
decision_lag_trading_days: usize,
) -> Vec<(NaiveDate, Option<(usize, NaiveDate)>)> {
let calendar_dates = data
.calendar()
.iter()
.filter(|date| start_date.map(|start| *date >= start).unwrap_or(true))
.filter(|date| end_date.map(|end| *date <= end).unwrap_or(true))
.collect::<Vec<_>>();
let has_decision_inputs = |date: NaiveDate| {
!data.factor_snapshot_rows_on(date).is_empty()
&& !data.candidate_snapshot_rows_on(date).is_empty()
};
let has_execution_market = |date: NaiveDate| !data.market_snapshot_rows_on(date).is_empty();
let mut schedule = Vec::new();
for (calendar_idx, execution_date) in calendar_dates.iter().copied().enumerate() {
if decision_lag_trading_days == 0 {
if has_decision_inputs(execution_date) {
schedule.push((execution_date, Some((calendar_idx, execution_date))));
}
continue;
}
if !has_execution_market(execution_date) {
continue;
}
let decision_slot = calendar_idx
.checked_sub(decision_lag_trading_days)
.map(|decision_idx| (decision_idx, calendar_dates[decision_idx]));
match decision_slot {
Some((_, decision_date)) if has_decision_inputs(decision_date) => {
schedule.push((execution_date, decision_slot));
}
None => schedule.push((execution_date, None)),
_ => {}
}
}
schedule
}
pub fn backtest_execution_dates(
data: &DataSet,
start_date: Option<NaiveDate>,
end_date: Option<NaiveDate>,
decision_lag_trading_days: usize,
) -> Vec<NaiveDate> {
backtest_execution_schedule(data, start_date, end_date, decision_lag_trading_days)
.into_iter()
.map(|(execution_date, _)| execution_date)
.collect()
}
impl<S, C, R> BacktestEngine<S, C, R> {
pub fn new(
data: DataSet,
@@ -1977,52 +2031,16 @@ where
self.subscriptions = self.strategy.initial_subscriptions();
let scheduler_calendar = self.data.calendar().clone();
let scheduler = Scheduler::new(&scheduler_calendar);
let calendar_dates = self
.data
.calendar()
let execution_schedule = backtest_execution_schedule(
&self.data,
self.config.start_date,
self.config.end_date,
self.config.decision_lag_trading_days,
);
let execution_dates = execution_schedule
.iter()
.filter(|date| {
self.config
.start_date
.map(|start| *date >= start)
.unwrap_or(true)
})
.filter(|date| self.config.end_date.map(|end| *date <= end).unwrap_or(true))
.map(|(execution_date, _)| *execution_date)
.collect::<Vec<_>>();
let has_decision_inputs = |date: NaiveDate| {
!self.data.factor_snapshot_rows_on(date).is_empty()
&& !self.data.candidate_snapshot_rows_on(date).is_empty()
};
let has_execution_market =
|date: NaiveDate| !self.data.market_snapshot_rows_on(date).is_empty();
let mut execution_dates = Vec::new();
let mut decision_slots = Vec::new();
for (calendar_idx, execution_date) in calendar_dates.iter().copied().enumerate() {
if self.config.decision_lag_trading_days == 0 {
if has_decision_inputs(execution_date) {
execution_dates.push(execution_date);
decision_slots.push(Some((calendar_idx, execution_date)));
}
continue;
}
if !has_execution_market(execution_date) {
continue;
}
let decision_slot = calendar_idx
.checked_sub(self.config.decision_lag_trading_days)
.map(|decision_idx| (decision_idx, calendar_dates[decision_idx]));
match decision_slot {
Some((_, decision_date)) if has_decision_inputs(decision_date) => {
execution_dates.push(execution_date);
decision_slots.push(decision_slot);
}
None => {
execution_dates.push(execution_date);
decision_slots.push(None);
}
_ => {}
}
}
let mut result = BacktestResult {
strategy_name: self.strategy.name().to_string(),
benchmark_series: self
@@ -2117,7 +2135,9 @@ where
let day_order_start = result.order_events.len();
let day_fill_start = result.fills.len();
let decision_slot = decision_slots.get(execution_idx).copied().flatten();
let decision_slot = execution_schedule
.get(execution_idx)
.and_then(|(_, decision_slot)| *decision_slot);
let Some((decision_index, decision_date)) = decision_slot else {
let mut process_events = Vec::new();
let mut report = BrokerExecutionReport::default();
@@ -5452,6 +5472,28 @@ mod tests {
.expect("dataset")
}
#[test]
fn backtest_execution_dates_match_sparse_lagged_equity_schedule() {
let dates = [d(2025, 1, 2), d(2025, 1, 3), d(2025, 1, 6), d(2025, 1, 7)];
let data = DataSet::from_components(
vec![default_instrument()],
dates.iter().map(|date| market(*date, 10.0, 10.0)).collect(),
vec![factor(dates[0]), factor(dates[2])],
vec![candidate(dates[0]), candidate(dates[2])],
dates.iter().map(|date| benchmark(*date)).collect(),
)
.expect("sparse lagged dataset");
assert_eq!(
super::backtest_execution_dates(&data, Some(dates[0]), Some(dates[3]), 1,),
vec![dates[0], dates[1], dates[3]]
);
assert_eq!(
super::backtest_execution_dates(&data, Some(dates[0]), Some(dates[3]), 0,),
vec![dates[0], dates[2]]
);
}
fn engine_with_matching(
matching_type: MatchingType,
execution_price_field: PriceField,
crates/fidc-core/src/lib.rs
+1 -1
View File
@@ -39,7 +39,7 @@ pub use engine::{
AnalyzerTradeRow, BacktestConfig, BacktestDayProgress, BacktestEngine, BacktestError,
BacktestResult, BacktestTerminalAssetClass, BacktestTerminalAudit, BacktestTerminalOpenOrder,
BacktestTerminalStatus, DailyEquityPoint, ExecutionQuoteRequest, FuturesValidationConfig,
ProcessEventRetention,
ProcessEventRetention, backtest_execution_dates,
};
pub use event_bus::{BacktestProcessMod, BacktestProcessModLoader, ProcessEventBus};
pub use events::{