diff --git a/crates/fidc-core/src/engine.rs b/crates/fidc-core/src/engine.rs index bb64c3f..a3ac26d 100644 --- a/crates/fidc-core/src/engine.rs +++ b/crates/fidc-core/src/engine.rs @@ -4059,7 +4059,9 @@ mod date_format { #[cfg(test)] mod tests { - use std::collections::BTreeMap; + use std::cell::RefCell; + use std::collections::{BTreeMap, BTreeSet}; + use std::rc::Rc; use chrono::NaiveDate; @@ -4072,6 +4074,7 @@ mod tests { }; use crate::events::{OrderSide, OrderStatus}; use crate::instrument::Instrument; + use crate::portfolio::PortfolioState; use crate::risk_control::{FidcRiskControlConfig, RiskCheckScope}; use crate::rules::ChinaEquityRuleHooks; use crate::scheduler::{ScheduleRule, ScheduleStage}; @@ -4147,6 +4150,66 @@ mod tests { } } + #[derive(Debug)] + struct ScheduledDataDateProbeStrategy { + rule: ScheduleRule, + expected_decision_date: NaiveDate, + observed: Rc>>, + } + + impl Strategy for ScheduledDataDateProbeStrategy { + fn name(&self) -> &str { + "scheduled_data_date_probe" + } + + fn schedule_rules(&self) -> Vec { + vec![self.rule.clone()] + } + + fn on_scheduled( + &mut self, + ctx: &StrategyContext<'_>, + rule: &ScheduleRule, + ) -> Result { + assert_eq!(rule.name, self.rule.name); + if ctx.decision_date != self.expected_decision_date { + return Ok(StrategyDecision::default()); + } + let current_close = ctx + .current_snapshot(SYMBOL) + .map(|snapshot| format!("{:.2}", snapshot.close)) + .unwrap_or_default(); + let history_close = ctx + .history_bars(SYMBOL, 2, "1d", "close", true) + .iter() + .map(|value| format!("{value:.2}")) + .collect::>() + .join(","); + let suspended = ctx + .is_suspended(SYMBOL, 1) + .into_iter() + .map(|value| if value { "1" } else { "0" }) + .collect::>() + .join(","); + self.observed.borrow_mut().push(format!( + "signal={};execution={};active={};current={current_close};history={history_close};suspended={suspended}", + ctx.signal_date(), + ctx.execution_trade_date(), + ctx.current_datetime() + .map(|datetime| datetime.date().to_string()) + .unwrap_or_default() + )); + Ok(StrategyDecision { + order_intents: vec![OrderIntent::Shares { + symbol: SYMBOL.to_string(), + quantity: 100, + reason: "data_date_probe_buy".to_string(), + }], + ..StrategyDecision::default() + }) + } + } + #[derive(Debug)] struct ScheduledRoundTripStrategy { rule: ScheduleRule, @@ -4679,6 +4742,80 @@ mod tests { assert_eq!(result.fills[0].price, 12.0); } + #[test] + fn next_bar_open_strategy_context_data_helpers_use_decision_date() { + let first = d(2025, 1, 2); + let second = d(2025, 1, 3); + let observed = Rc::new(RefCell::new(Vec::new())); + let dataset = dataset_with( + market_with_state(first, 10.0, 11.5, true, 11.5, 9.0), + market_with_state(second, 12.0, 99.0, false, 200.0, 1.0), + candidate_with_state(first, true, false), + candidate(second), + ); + let portfolio = PortfolioState::new(100_000.0); + let subscriptions = BTreeSet::new(); + let manual_ctx = StrategyContext { + execution_date: second, + decision_date: first, + decision_index: 0, + data: &dataset, + portfolio: &portfolio, + futures_account: None, + open_orders: &[], + dynamic_universe: None, + subscriptions: &subscriptions, + process_events: &[], + active_process_event: None, + active_datetime: Some(second.and_hms_opt(9, 31, 0).unwrap()), + order_events: &[], + fills: &[], + }; + assert_eq!( + manual_ctx + .current_snapshot(SYMBOL) + .map(|snapshot| snapshot.close), + Some(11.5) + ); + assert_eq!( + manual_ctx.history_bars(SYMBOL, 2, "1d", "close", true), + vec![11.5] + ); + assert_eq!(manual_ctx.is_suspended(SYMBOL, 1), vec![true]); + let broker = scheduled_next_open_broker(FidcRiskControlConfig::default()); + let config = BacktestConfig { + initial_cash: 100_000.0, + benchmark_code: "000852.SH".to_string(), + start_date: Some(first), + end_date: Some(second), + decision_lag_trading_days: 1, + execution_price_field: PriceField::Open, + }; + + let result = BacktestEngine::new( + dataset.clone(), + ScheduledDataDateProbeStrategy { + rule: ScheduleRule::daily("daily_data_date_probe", ScheduleStage::OnDay), + expected_decision_date: first, + observed: observed.clone(), + }, + broker, + config, + ) + .run() + .expect("backtest run"); + + assert_eq!( + observed.borrow().as_slice(), + [ + "signal=2025-01-02;execution=2025-01-03;active=2025-01-02;current=11.50;history=11.50;suspended=1" + ] + ); + assert_eq!(result.fills.len(), 1); + assert_eq!(result.fills[0].date, second); + assert_eq!(result.fills[0].price, 12.0); + } + #[test] fn next_bar_open_execution_risk_ignores_decision_day_paused_state() { let first = d(2025, 1, 2); diff --git a/crates/fidc-core/src/strategy.rs b/crates/fidc-core/src/strategy.rs index 2cada3f..4b58c9b 100644 --- a/crates/fidc-core/src/strategy.rs +++ b/crates/fidc-core/src/strategy.rs @@ -156,6 +156,31 @@ pub struct StrategyContext<'a> { } impl StrategyContext<'_> { + pub fn signal_date(&self) -> NaiveDate { + self.decision_date + } + + pub fn execution_trade_date(&self) -> NaiveDate { + self.execution_date + } + + fn current_data_date(&self) -> NaiveDate { + let active_date = self + .active_datetime + .map(|datetime| datetime.date()) + .unwrap_or(self.decision_date); + if self.is_lagged_execution() && active_date > self.decision_date { + self.decision_date + } else { + active_date + } + } + + fn current_data_datetime(&self) -> Option { + self.active_datetime + .map(|datetime| self.current_data_date().and_time(datetime.time())) + } + pub fn is_lagged_execution(&self) -> bool { self.execution_date != self.decision_date } @@ -544,7 +569,7 @@ impl StrategyContext<'_> { } pub fn current_snapshot(&self, symbol: &str) -> Option<&DailyMarketSnapshot> { - self.data.market(self.execution_date, symbol) + self.data.market(self.current_data_date(), symbol) } pub fn history_bars( @@ -556,8 +581,8 @@ impl StrategyContext<'_> { include_now: bool, ) -> Vec { self.data.history_bars_at( - self.execution_date, - self.active_datetime, + self.current_data_date(), + self.current_data_datetime(), symbol, bar_count, frequency, @@ -573,7 +598,7 @@ impl StrategyContext<'_> { include_now: bool, ) -> Vec { self.data - .history_daily_snapshots(self.execution_date, symbol, bar_count, include_now) + .history_daily_snapshots(self.current_data_date(), symbol, bar_count, include_now) } pub fn history_intraday_quotes( @@ -583,8 +608,8 @@ impl StrategyContext<'_> { include_now: bool, ) -> Vec { self.data.history_intraday_quotes_at( - self.execution_date, - self.active_datetime, + self.current_data_date(), + self.current_data_datetime(), symbol, bar_count, include_now, @@ -607,7 +632,8 @@ impl StrategyContext<'_> { } pub fn active_instruments(&self, symbols: &[&str]) -> Vec<&Instrument> { - self.data.active_instruments(self.execution_date, symbols) + self.data + .active_instruments(self.current_data_date(), symbols) } pub fn all_instruments(&self) -> Vec<&Instrument> { @@ -628,12 +654,12 @@ impl StrategyContext<'_> { pub fn is_suspended(&self, symbol: &str, count: usize) -> Vec { self.data - .is_suspended_flags(self.execution_date, symbol, count) + .is_suspended_flags(self.current_data_date(), symbol, count) } pub fn is_st_stock(&self, symbol: &str, count: usize) -> Vec { self.data - .is_st_stock_flags(self.execution_date, symbol, count) + .is_st_stock_flags(self.current_data_date(), symbol, count) } pub fn get_price( @@ -647,18 +673,20 @@ impl StrategyContext<'_> { } pub fn get_dividend(&self, symbol: &str, start: NaiveDate) -> Vec { + let current_data_date = self.current_data_date(); let end = self .data - .previous_trading_date(self.execution_date, 1) - .unwrap_or(self.execution_date); + .previous_trading_date(current_data_date, 1) + .unwrap_or(current_data_date); self.data.get_dividend(symbol, start, end) } pub fn get_split(&self, symbol: &str, start: NaiveDate) -> Vec { + let current_data_date = self.current_data_date(); let end = self .data - .previous_trading_date(self.execution_date, 1) - .unwrap_or(self.execution_date); + .previous_trading_date(current_data_date, 1) + .unwrap_or(current_data_date); self.data.get_split(symbol, start, end) } @@ -693,7 +721,7 @@ impl StrategyContext<'_> { pub fn get_margin_stocks(&self, margin_type: &str) -> Vec { self.data - .get_margin_stocks(self.execution_date, margin_type) + .get_margin_stocks(self.current_data_date(), margin_type) } pub fn get_securities_margin( @@ -787,7 +815,7 @@ impl StrategyContext<'_> { pub fn get_industry(&self, symbol: &str, source: &str, level: usize) -> Option { self.data - .get_industry(symbol, self.execution_date, source, level) + .get_industry(symbol, self.current_data_date(), source, level) } pub fn get_industry_name( @@ -797,12 +825,12 @@ impl StrategyContext<'_> { level: usize, ) -> Option { self.data - .get_industry_name(symbol, self.execution_date, source, level) + .get_industry_name(symbol, self.current_data_date(), source, level) } pub fn get_dominant_future(&self, underlying_symbol: &str) -> Option { self.data - .get_dominant_future(underlying_symbol, self.execution_date) + .get_dominant_future(underlying_symbol, self.current_data_date()) } pub fn get_dominant_future_price( diff --git a/crates/fidc-core/src/strategy_ai.rs b/crates/fidc-core/src/strategy_ai.rs index 16435fc..7a5be52 100644 --- a/crates/fidc-core/src/strategy_ai.rs +++ b/crates/fidc-core/src/strategy_ai.rs @@ -311,12 +311,12 @@ pub fn built_in_strategy_manual() -> StrategyAiManual { functions: vec![ ManualFunction { name: "factor".to_string(), signature: "factor(\"column_name\")".to_string(), detail: "读取当前股票当日可用因子列。数值因子返回 float，字符串因子返回 string；缺失字段默认返回 0 或空字符串，建议重要条件配合 diagnostics 查看候选过滤数量。".to_string() }, ManualFunction { name: "day_factor".to_string(), signature: "day_factor(\"field_name\")".to_string(), detail: "读取日级/指数级字段映射。".to_string() }, - ManualFunction { name: "history_bars".to_string(), signature: "ctx.history_bars(symbol, count, \"1d\" | \"1m\", \"close\", include_now)".to_string(), detail: "回测内核策略上下文数据 API，返回指定证券最近 N 条数值序列。日线字段支持 open/high/low/close/last/prev_close/volume/upper_limit/lower_limit；分钟字段支持 last/bid1/ask1/volume_delta/amount_delta。日线 include_now=false 排除当前交易日；分钟线会按当前 on_bar、日内事件或调度时刻截断，include_now=false 排除当前分钟执行价，避免未来函数。".to_string() }, - ManualFunction { name: "current_snapshot".to_string(), signature: "ctx.current_snapshot(symbol)".to_string(), detail: "读取当前交易日指定证券的日级快照，可用于获得当日 open/close/last/upper_limit/lower_limit 等字段。".to_string() }, + ManualFunction { name: "history_bars".to_string(), signature: "ctx.history_bars(symbol, count, \"1d\" | \"1m\", \"close\", include_now)".to_string(), detail: "回测内核策略上下文数据 API，返回指定证券最近 N 条数值序列。日线字段支持 open/high/low/close/last/prev_close/volume/upper_limit/lower_limit；分钟字段支持 last/bid1/ask1/volume_delta/amount_delta。日线 include_now=false 排除当前信号日；分钟线会按当前 on_bar、日内事件或调度时刻截断，include_now=false 排除当前分钟执行价。next_bar_open 下该 API 只能看到信号日数据，不能读取实际成交日数据。".to_string() }, + ManualFunction { name: "current_snapshot".to_string(), signature: "ctx.current_snapshot(symbol)".to_string(), detail: "读取当前信号日指定证券的日级快照，可用于获得信号日 open/close/last/upper_limit/lower_limit 等字段；next_bar_open 的实际成交日涨跌停、停牌、ST、退市、一元、黑名单、成交量和盘口流动性由撮合层按执行日判断。".to_string() }, ManualFunction { name: "instrument/instruments/all_instruments".to_string(), signature: "ctx.instrument(symbol)".to_string(), detail: "读取证券元数据，包括名称、板块、上市日期、退市日期、最小下单量、整手、最小价位等；all_instruments 按证券代码稳定排序返回全量证券。".to_string() }, - ManualFunction { name: "active_instruments/instruments_history".to_string(), signature: "ctx.active_instruments(&[symbol])".to_string(), detail: "active_instruments 返回当前交易日已上市且未退市的证券；instruments_history 返回给定代码的历史证券记录，包含当前已退市标的，对齐 平台内核 的 active_instruments/instruments_history 能力。".to_string() }, + ManualFunction { name: "active_instruments/instruments_history".to_string(), signature: "ctx.active_instruments(&[symbol])".to_string(), detail: "active_instruments 返回当前信号日已上市且未退市的证券；instruments_history 返回给定代码的历史证券记录，包含当前已退市标的，对齐 平台内核 的 active_instruments/instruments_history 能力。".to_string() }, ManualFunction { name: "get_trading_dates/get_previous_trading_date/get_next_trading_date".to_string(), signature: "ctx.get_previous_trading_date(date, n)".to_string(), detail: "交易日历 API。get_trading_dates 返回闭区间交易日；previous/next 返回相对某日向前或向后的第 n 个交易日，当前日自身不计入。".to_string() }, - ManualFunction { name: "is_suspended/is_st_stock".to_string(), signature: "ctx.is_suspended(symbol, count)".to_string(), detail: "读取指定证券截至当前交易日最近 count 个交易日的停牌或 ST 标记，返回 bool 序列，顺序从旧到新；对应平台内核的 is_suspended/is_st_stock 数据能力。".to_string() }, + ManualFunction { name: "is_suspended/is_st_stock".to_string(), signature: "ctx.is_suspended(symbol, count)".to_string(), detail: "读取指定证券截至当前信号日最近 count 个交易日的停牌或 ST 标记，返回 bool 序列，顺序从旧到新；对应平台内核的 is_suspended/is_st_stock 数据能力。执行日停牌或 ST 只能由撮合风控判断，不能在 next_bar_open 的 T 日提前固化。".to_string() }, ManualFunction { name: "get_price".to_string(), signature: "ctx.get_price(symbol, start_date, end_date, \"1d\" | \"1m\")".to_string(), detail: "按日期区间读取统一 PriceBar 序列。日线返回 open/high/low/close/last/volume/盘口字段；分钟线返回按 timestamp 排序的 last/bid1/ask1/volume_delta/amount_delta 映射，便于服务层转成表格或前端明细。".to_string() }, ManualFunction { name: "get_dividend / dividend_cash / has_dividend".to_string(), signature: "dividend_cash(lookback) / has_dividend(lookback)".to_string(), detail: "高级数据 风格分红 API。Rust Context 可用 ctx.get_dividend(symbol, start_date) 读取明细；平台表达式可用 dividend_cash(lookback) 汇总当前股票最近 N 个交易日现金分红，用 has_dividend(lookback) 判断是否发生分红，也支持 dividend_cash(\"600000.SH\", lookback)。".to_string() }, ManualFunction { name: "get_split / split_ratio / has_split".to_string(), signature: "split_ratio(lookback) / has_split(lookback)".to_string(), detail: "高级数据 风格拆分/送转 API。Rust Context 可用 ctx.get_split(symbol, start_date) 读取明细；平台表达式可用 split_ratio(lookback) 计算当前股票最近 N 个交易日累计拆分比例，has_split(lookback) 判断是否发生送转。".to_string() },