实现FIDC配置化风控与交易成本

2026-07-02 07:16:47 +08:00
parent 754fc91376
commit 7db0e8da1d
17 changed files with 2689 additions and 249 deletions
@@ -3,6 +3,7 @@ use std::collections::BTreeMap;
 use chrono::NaiveDate;

 use crate::events::OrderSide;
+use crate::risk_control::TradingConstraintConfig;

 pub const STOCK_PIT_TAX_CHANGE_DATE: (i32, u32, u32) = (2023, 8, 28);

@@ -38,6 +39,7 @@ pub struct ChinaAShareCostModel {
    pub commission_rate: f64,
    pub stamp_tax_rate_before_change: f64,
    pub stamp_tax_rate_after_change: f64,
+    pub stamp_tax_change_date: NaiveDate,
    pub minimum_commission: f64,
 }

@@ -47,6 +49,7 @@ impl Default for ChinaAShareCostModel {
            commission_rate: 0.0008,
            stamp_tax_rate_before_change: 0.001,
            stamp_tax_rate_after_change: 0.0005,
+            stamp_tax_change_date: default_stamp_tax_change_date(),
            minimum_commission: 5.0,
        }
    }
@@ -55,13 +58,23 @@ impl Default for ChinaAShareCostModel {
 impl ChinaAShareCostModel {
    pub fn aiquant_default() -> Self {
        Self {
-            commission_rate: 0.0008,
+            commission_rate: 0.0003,
            stamp_tax_rate_before_change: 0.0005,
            stamp_tax_rate_after_change: 0.0005,
            ..Self::default()
        }
    }

+    pub fn from_trading_constraints(config: TradingConstraintConfig) -> Self {
+        Self {
+            commission_rate: config.commission_rate,
+            stamp_tax_rate_before_change: config.stamp_tax_rate_before_change,
+            stamp_tax_rate_after_change: config.stamp_tax_rate_after_change,
+            stamp_tax_change_date: config.stamp_tax_change_date,
+            minimum_commission: config.minimum_commission,
+        }
+    }
+
    pub fn commission_for(&self, gross_amount: f64) -> f64 {
        if gross_amount <= 0.0 {
            return 0.0;
@@ -70,13 +83,7 @@ impl ChinaAShareCostModel {
    }

    pub fn stamp_tax_rate_for(&self, date: NaiveDate) -> f64 {
-        let change_date = NaiveDate::from_ymd_opt(
-            STOCK_PIT_TAX_CHANGE_DATE.0,
-            STOCK_PIT_TAX_CHANGE_DATE.1,
-            STOCK_PIT_TAX_CHANGE_DATE.2,
-        )
-        .expect("valid pit tax change date");
-        if date < change_date {
+        if date < self.stamp_tax_change_date {
            self.stamp_tax_rate_before_change
        } else {
            self.stamp_tax_rate_after_change
@@ -128,6 +135,15 @@ impl ChinaAShareCostModel {
    }
 }

+fn default_stamp_tax_change_date() -> NaiveDate {
+    NaiveDate::from_ymd_opt(
+        STOCK_PIT_TAX_CHANGE_DATE.0,
+        STOCK_PIT_TAX_CHANGE_DATE.1,
+        STOCK_PIT_TAX_CHANGE_DATE.2,
+    )
+    .expect("valid pit tax change date")
+}
+
 impl CostModel for ChinaAShareCostModel {
    fn calculate(&self, date: NaiveDate, side: OrderSide, gross_amount: f64) -> TradingCost {
        if gross_amount <= 0.0 {
@@ -180,9 +196,41 @@ mod tests {
        let model = ChinaAShareCostModel::aiquant_default();
        let date = NaiveDate::from_ymd_opt(2025, 11, 11).expect("valid date");

-        assert!((model.commission_for(248_059.812) - 198.4478496).abs() < 1e-9);
+        assert!((model.commission_for(248_059.812) - 74.4179436).abs() < 1e-9);
        assert!(
            (model.stamp_tax_for(date, OrderSide::Sell, 245_747.007) - 122.8735035).abs() < 1e-9
        );
    }
+
+    #[test]
+    fn cost_model_can_use_configurable_stamp_tax_change_date() {
+        let config = TradingConstraintConfig {
+            commission_rate: 0.0003,
+            minimum_commission: 5.0,
+            stamp_tax_rate_before_change: 0.002,
+            stamp_tax_rate_after_change: 0.001,
+            stamp_tax_change_date: NaiveDate::from_ymd_opt(2025, 1, 10).expect("valid date"),
+            ..TradingConstraintConfig::default()
+        };
+        let model = ChinaAShareCostModel::from_trading_constraints(config);
+
+        assert!(
+            (model.stamp_tax_for(
+                NaiveDate::from_ymd_opt(2025, 1, 9).expect("valid date"),
+                OrderSide::Sell,
+                10_000.0
+            ) - 20.0)
+                .abs()
+                < 1e-9
+        );
+        assert!(
+            (model.stamp_tax_for(
+                NaiveDate::from_ymd_opt(2025, 1, 10).expect("valid date"),
+                OrderSide::Sell,
+                10_000.0
+            ) - 10.0)
+                .abs()
+                < 1e-9
+        );
+    }
 }