跳过无业务分钟回调

This commit is contained in:
boris
2026-08-25 04:02:33 +08:00
parent 85c9d03b99
commit 81d70f18b3
6 changed files with 154 additions and 21 deletions
+4
View File
@@ -384,6 +384,10 @@ impl<C, R> BrokerSimulator<C, R> {
})
.collect()
}
pub fn has_open_orders(&self) -> bool {
!self.open_orders.borrow().is_empty()
}
}
impl<C, R> BrokerSimulator<C, R>
+32 -1
View File
@@ -1,6 +1,6 @@
use std::collections::{BTreeMap, BTreeSet};
use chrono::{Datelike, Duration, NaiveDate, NaiveTime};
use chrono::{Datelike, Duration, NaiveDate, NaiveTime, Timelike};
use serde::Serialize;
use thiserror::Error;
@@ -1086,6 +1086,10 @@ where
views
}
fn has_open_orders(&self) -> bool {
self.broker.has_open_orders() || !self.futures_open_orders.is_empty()
}
fn aggregate_initial_cash(&self) -> f64 {
self.config.initial_cash
+ self
@@ -2486,6 +2490,20 @@ where
!filter_by_subscription || self.subscriptions.contains(&quote.symbol)
})
.collect::<Vec<_>>();
let requires_minute_callbacks = self.strategy.requires_minute_callbacks();
let has_minute_process_listeners = self.process_event_bus.has_listeners_for(&[
ProcessEventKind::PreMinute,
ProcessEventKind::Minute,
ProcessEventKind::PostMinute,
]);
let minute_schedule_all_times = schedule_rules
.iter()
.any(|rule| rule.stage == ScheduleStage::Minute && rule.time_rule.is_none());
let minute_schedule_minutes = schedule_rules
.iter()
.filter(|rule| rule.stage == ScheduleStage::Minute)
.filter_map(|rule| rule.time_rule.as_ref()?.minute_of_day())
.collect::<BTreeSet<_>>();
let mut minute_cursor = 0usize;
while minute_cursor < minute_quotes.len() {
let minute_timestamp = minute_quotes[minute_cursor].timestamp;
@@ -2497,6 +2515,17 @@ where
minute_end += 1;
}
let minute_group = &minute_quotes[minute_cursor..minute_end];
let schedule_candidate = minute_schedule_all_times
|| minute_schedule_minutes
.contains(&(minute_time.hour() * 60 + minute_time.minute()));
if !requires_minute_callbacks
&& !has_minute_process_listeners
&& !schedule_candidate
&& !self.has_open_orders()
{
minute_cursor = minute_end;
continue;
}
let minute_open_orders = self.open_order_views();
publish_phase_event(
&mut self.strategy,
@@ -2535,6 +2564,7 @@ where
result.order_events.as_slice(),
result.fills.as_slice(),
)?;
if requires_minute_callbacks {
for quote in minute_group {
minute_decision.merge_from(self.strategy.on_minute(
&StrategyContext {
@@ -2556,6 +2586,7 @@ where
quote,
)?);
}
}
publish_phase_event(
&mut self.strategy,
&mut self.process_event_bus,
+9
View File
@@ -125,6 +125,15 @@ impl ProcessEventBus {
loader.install_enabled(self, enabled_names)
}
pub fn has_listeners_for(&self, kinds: &[ProcessEventKind]) -> bool {
!self.any_listeners.is_empty()
|| kinds.iter().any(|kind| {
self.listeners
.get(kind)
.is_some_and(|listeners| !listeners.is_empty())
})
}
pub fn publish(&mut self, event: &ProcessEvent) {
if let Some(listeners) = self.listeners.get_mut(&event.kind) {
for listener in listeners {
@@ -10057,6 +10057,10 @@ impl Strategy for PlatformExprStrategy {
self.config.initial_subscriptions.clone()
}
fn requires_minute_callbacks(&self) -> bool {
false
}
fn schedule_rules(&self) -> Vec<ScheduleRule> {
if self.config.explicit_action_stage != PlatformExplicitActionStage::Minute {
return Vec::new();
+3
View File
@@ -22,6 +22,9 @@ pub trait Strategy {
fn initial_subscriptions(&self) -> BTreeSet<String> {
BTreeSet::new()
}
fn requires_minute_callbacks(&self) -> bool {
true
}
fn management_fee(
&mut self,
_ctx: &StrategyContext<'_>,
+82
View File
@@ -637,6 +637,7 @@ struct MinuteProbeStrategy {
seen_ticks: Rc<RefCell<Vec<String>>>,
scheduled_count: Rc<RefCell<usize>>,
subscribe_symbols: BTreeSet<String>,
minute_callbacks: bool,
ordered: bool,
}
@@ -812,6 +813,10 @@ impl Strategy for MinuteProbeStrategy {
"minute-probe"
}
fn requires_minute_callbacks(&self) -> bool {
self.minute_callbacks
}
fn schedule_rules(&self) -> Vec<ScheduleRule> {
vec![
ScheduleRule::daily("minute_barrier", ScheduleStage::Minute)
@@ -2066,6 +2071,7 @@ fn engine_runs_minute_hooks_and_executes_minute_orders() {
seen_ticks: seen_ticks.clone(),
scheduled_count: scheduled_count.clone(),
subscribe_symbols: BTreeSet::from(["000001.SZ".to_string(), "000002.SZ".to_string()]),
minute_callbacks: true,
ordered: false,
};
let broker = BrokerSimulator::new_with_execution_price(
@@ -2143,6 +2149,82 @@ fn engine_runs_minute_hooks_and_executes_minute_orders() {
);
}
#[test]
fn engine_skips_empty_platform_style_minute_callbacks_between_schedule_times() {
let date = d(2025, 1, 2);
let mut data = single_day_anchor_data(date);
data.add_execution_quotes(vec![
IntradayExecutionQuote {
date,
symbol: "000001.SZ".to_string(),
timestamp: dt(2025, 1, 2, 10, 18, 0),
last_price: 10.2,
bid1: 10.1,
ask1: 10.2,
bid1_volume: 1_000,
ask1_volume: 1_000,
volume_delta: 1_000,
amount_delta: 10_200.0,
trading_phase: Some("continuous".to_string()),
},
IntradayExecutionQuote {
date,
symbol: "000001.SZ".to_string(),
timestamp: dt(2025, 1, 2, 10, 19, 0),
last_price: 10.3,
bid1: 10.2,
ask1: 10.3,
bid1_volume: 1_000,
ask1_volume: 1_000,
volume_delta: 1_000,
amount_delta: 10_300.0,
trading_phase: Some("continuous".to_string()),
},
]);
let seen_ticks = Rc::new(RefCell::new(Vec::new()));
let scheduled_count = Rc::new(RefCell::new(0usize));
let strategy = MinuteProbeStrategy {
seen_ticks: seen_ticks.clone(),
scheduled_count: scheduled_count.clone(),
subscribe_symbols: BTreeSet::from(["000001.SZ".to_string()]),
minute_callbacks: false,
ordered: false,
};
let broker = BrokerSimulator::new_with_execution_price(
ChinaAShareCostModel::default(),
ChinaEquityRuleHooks::default(),
PriceField::Last,
);
let mut engine = BacktestEngine::new(
data,
strategy,
broker,
BacktestConfig {
initial_cash: 10_000.0,
benchmark_code: "000300.SH".to_string(),
start_date: Some(date),
end_date: Some(date),
decision_lag_trading_days: 0,
execution_price_field: PriceField::Last,
},
)
.with_execution_quote_loader(|_| Ok(Vec::new()));
let result = engine.run().expect("scheduled-only minute run");
assert!(seen_ticks.borrow().is_empty());
assert_eq!(*scheduled_count.borrow(), 1);
assert!(result.fills.is_empty());
assert_eq!(
result
.process_events
.iter()
.filter(|event| event.kind == ProcessEventKind::PreMinute)
.count(),
1
);
}
#[test]
fn strategy_context_exposes_engine_native_data_helpers() {
let date1 = d(2025, 1, 2);