修复回报上下文与盘前意图并在提交前采用最新完整目标

2026-09-14 06:06:57 +08:00
parent 600808b171
commit 81acc54228
7 changed files with 1366 additions and 63 deletions
@@ -1535,6 +1535,90 @@ fn engine_executes_futures_order_intents_against_future_account() {
    assert!((futures_account.cash() - 355_988.0).abs() < 1e-6);
 }

+#[test]
+fn futures_directive_notifications_include_the_actual_recorded_fill() {
+    struct Observed {
+        inner: FuturesOrderStrategy,
+        seen: Rc<RefCell<Vec<u64>>>,
+    }
+    impl Strategy for Observed {
+        fn name(&self) -> &str {
+            "observed-futures-directive"
+        }
+        fn on_day(
+            &mut self,
+            ctx: &StrategyContext<'_>,
+        ) -> Result<StrategyDecision, fidc_core::BacktestError> {
+            self.inner.on_day(ctx)
+        }
+        fn on_process_event(
+            &mut self,
+            ctx: &StrategyContext<'_>,
+            event: &ProcessEvent,
+        ) -> Result<(), fidc_core::BacktestError> {
+            if event.kind == ProcessEventKind::Trade
+                && event.symbol.as_deref() == Some("IF2501")
+            {
+                let id = event.order_id.unwrap();
+                assert!(
+                    ctx.fills
+                        .iter()
+                        .any(|fill| fill.order_id == Some(id) && fill.symbol == "IF2501")
+                );
+                assert!(
+                    ctx.order_events
+                        .iter()
+                        .any(|order| order.order_id == Some(id)
+                            && order.status == OrderStatus::Filled)
+                );
+                assert_eq!(
+                    ctx.current_datetime().map(|time| time.date()),
+                    Some(ctx.execution_date)
+                );
+                self.seen.borrow_mut().push(id);
+            }
+            Ok(())
+        }
+    }
+    let seen = Rc::new(RefCell::new(Vec::new()));
+    let broker = BrokerSimulator::new_with_execution_price(
+        ChinaAShareCostModel::default(),
+        ChinaEquityRuleHooks,
+        PriceField::Open,
+    )
+    .with_volume_capacity_mode(
+        fidc_core::execution_capacity::VolumeCapacityMode::SessionCapacityAudit,
+    );
+    let mut engine = BacktestEngine::new(
+        two_day_futures_data(),
+        Observed {
+            inner: FuturesOrderStrategy,
+            seen: seen.clone(),
+        },
+        broker,
+        BacktestConfig {
+            initial_cash: 100_000.,
+            benchmark_code: "000300.SH".into(),
+            start_date: Some(d(2025, 1, 2)),
+            end_date: Some(d(2025, 1, 3)),
+            decision_lag_trading_days: 0,
+            execution_price_field: PriceField::Open,
+        },
+    )
+    .with_futures_initial_cash(500_000.);
+    let result = engine.run().unwrap();
+    assert_eq!(
+        *seen.borrow(),
+        result
+            .fills
+            .iter()
+            .filter(|fill| fill.symbol == "IF2501")
+            .map(|fill| fill.order_id.unwrap())
+            .collect::<Vec<_>>()
+    );
+    assert_eq!(seen.borrow().len(), 1);
+}
+
 #[test]
 fn platform_runtime_actions_execute_generic_futures_open_and_close() {
    let mut cfg = PlatformExprStrategyConfig::generic();