切换回测执行价为分钟线语义
This commit is contained in:
boris
@@ -1444,7 +1444,7 @@ where
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let snapshot = self.data.market(date, &intent.symbol);
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if matches!(
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self.broker.matching_type(),
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MatchingType::NextTickBestCounterparty | MatchingType::CounterpartyOffer
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MatchingType::NextMinuteBestCounterparty | MatchingType::CounterpartyOffer
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) {
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let depth = self.data.order_book_depth_on(date, &intent.symbol);
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if !depth.is_empty() {
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@@ -1454,7 +1454,7 @@ where
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let quotes = self.data.execution_quotes_on(date, &intent.symbol);
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for quote in quotes {
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let price = match self.broker.matching_type() {
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MatchingType::NextTickBestOwn => match intent.side() {
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MatchingType::NextMinuteBestOwn => match intent.side() {
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OrderSide::Buy => {
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if quote.bid1.is_finite() && quote.bid1 > 0.0 {
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quote.bid1
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@@ -1470,7 +1470,7 @@ where
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}
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}
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},
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MatchingType::NextTickBestCounterparty | MatchingType::CounterpartyOffer => {
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MatchingType::NextMinuteBestCounterparty | MatchingType::CounterpartyOffer => {
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match intent.side() {
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OrderSide::Buy => quote.buy_price().unwrap_or(quote.last_price),
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OrderSide::Sell => quote.sell_price().unwrap_or(quote.last_price),
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@@ -2233,9 +2233,9 @@ where
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"bar:post",
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)?;
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if should_run_tick_events(&schedule_rules, &self.subscriptions) {
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if should_run_minute_events(&schedule_rules, &self.subscriptions) {
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let filter_by_subscription = !self.subscriptions.is_empty();
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let tick_quotes = self
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let minute_quotes = self
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.data
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.execution_quotes_on_date(execution_date)
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.into_iter()
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@@ -2243,9 +2243,9 @@ where
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!filter_by_subscription || self.subscriptions.contains("e.symbol)
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})
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.collect::<Vec<_>>();
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for quote in tick_quotes {
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let tick_time = quote.timestamp.time();
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let tick_open_orders = self.open_order_views();
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for quote in minute_quotes {
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let minute_time = quote.timestamp.time();
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let minute_open_orders = self.open_order_views();
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publish_phase_event(
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&mut self.strategy,
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&mut self.process_event_bus,
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@@ -2255,35 +2255,35 @@ where
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&self.data,
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&portfolio,
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self.futures_account.as_ref(),
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&tick_open_orders,
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&minute_open_orders,
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self.dynamic_universe.as_ref(),
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&self.subscriptions,
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&mut process_events,
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execution_date,
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ProcessEventKind::PreTick,
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format!("tick:{}:{}:pre", quote.symbol, quote.timestamp),
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ProcessEventKind::PreMinute,
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format!("minute:{}:{}:pre", quote.symbol, quote.timestamp),
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)?;
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let mut tick_decision = collect_scheduled_decisions(
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let mut minute_decision = collect_scheduled_decisions(
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&mut self.strategy,
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&scheduler,
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execution_date,
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ScheduleStage::Tick,
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ScheduleStage::Minute,
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&schedule_rules,
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decision_date,
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decision_index,
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&self.data,
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&portfolio,
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self.futures_account.as_ref(),
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&tick_open_orders,
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&minute_open_orders,
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self.dynamic_universe.as_ref(),
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&self.subscriptions,
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&mut process_events,
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&mut self.process_event_bus,
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Some(tick_time),
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Some(minute_time),
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result.order_events.as_slice(),
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result.fills.as_slice(),
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)?;
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tick_decision.merge_from(self.strategy.on_tick(
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minute_decision.merge_from(self.strategy.on_minute(
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&StrategyContext {
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execution_date,
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decision_date,
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@@ -2291,7 +2291,7 @@ where
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data: &self.data,
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portfolio: &portfolio,
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futures_account: self.futures_account.as_ref(),
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open_orders: &tick_open_orders,
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open_orders: &minute_open_orders,
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dynamic_universe: self.dynamic_universe.as_ref(),
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subscriptions: &self.subscriptions,
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process_events: &process_events,
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@@ -2311,42 +2311,42 @@ where
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&self.data,
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&portfolio,
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self.futures_account.as_ref(),
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&tick_open_orders,
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&minute_open_orders,
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self.dynamic_universe.as_ref(),
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&self.subscriptions,
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&mut process_events,
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execution_date,
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ProcessEventKind::Tick,
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format!("tick:{}:{}", quote.symbol, quote.timestamp),
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ProcessEventKind::Minute,
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format!("minute:{}:{}", quote.symbol, quote.timestamp),
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)?;
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self.apply_strategy_directives(
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execution_date,
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decision_date,
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decision_index,
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&mut portfolio,
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&tick_open_orders,
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&minute_open_orders,
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&mut process_events,
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&mut tick_decision,
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&mut minute_decision,
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&mut directive_report,
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)?;
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let pre_tick_execution_orders = self.open_order_views();
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let pre_minute_execution_orders = self.open_order_views();
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self.ensure_execution_quotes_for_decision(
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execution_date,
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&portfolio,
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&pre_tick_execution_orders,
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&tick_decision,
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Some(tick_time),
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Some(tick_time),
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&pre_minute_execution_orders,
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&minute_decision,
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Some(minute_time),
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Some(minute_time),
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)?;
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let mut tick_report = self.broker.execute_between(
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let mut minute_report = self.broker.execute_between(
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execution_date,
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&mut portfolio,
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&self.data,
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&tick_decision,
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Some(tick_time),
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Some(tick_time),
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&minute_decision,
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Some(minute_time),
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Some(minute_time),
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)?;
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let post_tick_open_orders = self.open_order_views();
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let post_minute_open_orders = self.open_order_views();
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publish_process_events(
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&mut self.strategy,
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&mut self.process_event_bus,
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@@ -2356,13 +2356,13 @@ where
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&self.data,
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&portfolio,
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self.futures_account.as_ref(),
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&post_tick_open_orders,
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&post_minute_open_orders,
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self.dynamic_universe.as_ref(),
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&self.subscriptions,
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&mut process_events,
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&mut tick_report.process_events,
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&mut minute_report.process_events,
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)?;
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merge_broker_report(&mut report, tick_report);
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merge_broker_report(&mut report, minute_report);
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publish_phase_event(
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&mut self.strategy,
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&mut self.process_event_bus,
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@@ -2372,13 +2372,13 @@ where
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&self.data,
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&portfolio,
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self.futures_account.as_ref(),
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&post_tick_open_orders,
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&post_minute_open_orders,
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self.dynamic_universe.as_ref(),
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&self.subscriptions,
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&mut process_events,
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execution_date,
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ProcessEventKind::PostTick,
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format!("tick:{}:{}:post", quote.symbol, quote.timestamp),
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ProcessEventKind::PostMinute,
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format!("minute:{}:{}:post", quote.symbol, quote.timestamp),
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)?;
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}
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}
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@@ -3709,7 +3709,7 @@ fn stage_label(stage: ScheduleStage) -> &'static str {
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ScheduleStage::BeforeTrading => "before_trading",
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ScheduleStage::OpenAuction => "open_auction",
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ScheduleStage::Bar => "bar",
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ScheduleStage::Tick => "tick",
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ScheduleStage::Minute => "minute",
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ScheduleStage::OnDay => "on_day",
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ScheduleStage::AfterTrading => "after_trading",
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ScheduleStage::Settlement => "settlement",
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@@ -3723,8 +3723,8 @@ fn stage_datetime(
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time.map(|value| date.and_time(value))
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}
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fn should_run_tick_events(rules: &[ScheduleRule], subscriptions: &BTreeSet<String>) -> bool {
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!subscriptions.is_empty() || rules.iter().any(|rule| rule.stage == ScheduleStage::Tick)
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fn should_run_minute_events(rules: &[ScheduleRule], subscriptions: &BTreeSet<String>) -> bool {
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!subscriptions.is_empty() || rules.iter().any(|rule| rule.stage == ScheduleStage::Minute)
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}
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fn merge_broker_report(target: &mut BrokerExecutionReport, incoming: BrokerExecutionReport) {
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