zsb/fidc-backtest-engine
1
0
Fork 0
Code Issues Pull Requests Packages Projects Releases Wiki Activity

perf(data): compact immutable snapshots with current execution rules

Browse Source
This commit is contained in:
boris
2026-09-12 16:02:24 +08:00
parent ffd23b9920
commit 828690a51e
22 changed files with 1430 additions and 1058 deletions
Download Patch File Download Diff File Expand all files Collapse all files
crates/fidc-core/tests/delisting.rs
+28 -28
View File
@@ -71,7 +71,7 @@ fn engine_keeps_unresolved_delisted_position_without_fabricating_a_fill() {
vec![
DailyMarketSnapshot {
date: date1,
symbol: "000001.SZ".to_string(),
symbol: "000001.SZ".into(),
timestamp: Some("2025-01-02 10:18:00".to_string()),
day_open: 10.0,
open: 10.0,
@@ -94,7 +94,7 @@ fn engine_keeps_unresolved_delisted_position_without_fabricating_a_fill() {
},
DailyMarketSnapshot {
date: date1,
symbol: "000002.SZ".to_string(),
symbol: "000002.SZ".into(),
timestamp: Some("2025-01-02 10:18:00".to_string()),
day_open: 5.0,
open: 5.0,
@@ -117,7 +117,7 @@ fn engine_keeps_unresolved_delisted_position_without_fabricating_a_fill() {
},
DailyMarketSnapshot {
date: delist_date,
symbol: "000002.SZ".to_string(),
symbol: "000002.SZ".into(),
timestamp: Some("2025-01-03 10:18:00".to_string()),
day_open: 5.05,
open: 5.05,
@@ -140,7 +140,7 @@ fn engine_keeps_unresolved_delisted_position_without_fabricating_a_fill() {
},
DailyMarketSnapshot {
date: date2,
symbol: "000002.SZ".to_string(),
symbol: "000002.SZ".into(),
timestamp: Some("2025-01-06 10:18:00".to_string()),
day_open: 5.1,
open: 5.1,
@@ -165,53 +165,53 @@ fn engine_keeps_unresolved_delisted_position_without_fabricating_a_fill() {
vec![
DailyFactorSnapshot {
date: date1,
symbol: "000001.SZ".to_string(),
symbol: "000001.SZ".into(),
market_cap_bn: 20.0,
free_float_cap_bn: 18.0,
pe_ttm: 10.0,
turnover_ratio: Some(1.0),
effective_turnover_ratio: Some(1.0),
adjustment_factor_backward1: None,
extra_factors: BTreeMap::new(),
extra_factors: Default::default(),
},
DailyFactorSnapshot {
date: date1,
symbol: "000002.SZ".to_string(),
symbol: "000002.SZ".into(),
market_cap_bn: 30.0,
free_float_cap_bn: 28.0,
pe_ttm: 10.0,
turnover_ratio: Some(1.0),
effective_turnover_ratio: Some(1.0),
adjustment_factor_backward1: None,
extra_factors: BTreeMap::new(),
extra_factors: Default::default(),
},
DailyFactorSnapshot {
date: delist_date,
symbol: "000002.SZ".to_string(),
symbol: "000002.SZ".into(),
market_cap_bn: 30.5,
free_float_cap_bn: 28.5,
pe_ttm: 10.0,
turnover_ratio: Some(1.0),
effective_turnover_ratio: Some(1.0),
adjustment_factor_backward1: None,
extra_factors: BTreeMap::new(),
extra_factors: Default::default(),
},
DailyFactorSnapshot {
date: date2,
symbol: "000002.SZ".to_string(),
symbol: "000002.SZ".into(),
market_cap_bn: 31.0,
free_float_cap_bn: 29.0,
pe_ttm: 10.0,
turnover_ratio: Some(1.0),
effective_turnover_ratio: Some(1.0),
adjustment_factor_backward1: None,
extra_factors: BTreeMap::new(),
extra_factors: Default::default(),
},
],
vec![
CandidateEligibility {
date: date1,
symbol: "000001.SZ".to_string(),
symbol: "000001.SZ".into(),
is_st: false,
is_star_st: false,
is_new_listing: false,
@@ -224,7 +224,7 @@ fn engine_keeps_unresolved_delisted_position_without_fabricating_a_fill() {
},
CandidateEligibility {
date: date1,
symbol: "000002.SZ".to_string(),
symbol: "000002.SZ".into(),
is_st: false,
is_star_st: false,
is_new_listing: false,
@@ -237,7 +237,7 @@ fn engine_keeps_unresolved_delisted_position_without_fabricating_a_fill() {
},
CandidateEligibility {
date: delist_date,
symbol: "000002.SZ".to_string(),
symbol: "000002.SZ".into(),
is_st: false,
is_star_st: false,
is_new_listing: false,
@@ -250,7 +250,7 @@ fn engine_keeps_unresolved_delisted_position_without_fabricating_a_fill() {
},
CandidateEligibility {
date: date2,
symbol: "000002.SZ".to_string(),
symbol: "000002.SZ".into(),
is_st: false,
is_star_st: false,
is_new_listing: false,
@@ -364,7 +364,7 @@ fn engine_applies_successor_conversion_before_unresolved_delisting_audit() {
vec![
DailyMarketSnapshot {
date: date1,
symbol: "000001.SZ".to_string(),
symbol: "000001.SZ".into(),
timestamp: Some("2025-01-02 10:18:00".to_string()),
day_open: 10.0,
open: 10.0,
@@ -387,7 +387,7 @@ fn engine_applies_successor_conversion_before_unresolved_delisting_audit() {
},
DailyMarketSnapshot {
date: date1,
symbol: "000002.SZ".to_string(),
symbol: "000002.SZ".into(),
timestamp: Some("2025-01-02 10:18:00".to_string()),
day_open: 20.0,
open: 20.0,
@@ -410,7 +410,7 @@ fn engine_applies_successor_conversion_before_unresolved_delisting_audit() {
},
DailyMarketSnapshot {
date: date2,
symbol: "000002.SZ".to_string(),
symbol: "000002.SZ".into(),
timestamp: Some("2025-01-03 10:18:00".to_string()),
day_open: 21.0,
open: 21.0,
@@ -435,42 +435,42 @@ fn engine_applies_successor_conversion_before_unresolved_delisting_audit() {
vec![
DailyFactorSnapshot {
date: date1,
symbol: "000001.SZ".to_string(),
symbol: "000001.SZ".into(),
market_cap_bn: 20.0,
free_float_cap_bn: 18.0,
pe_ttm: 10.0,
turnover_ratio: Some(1.0),
effective_turnover_ratio: Some(1.0),
adjustment_factor_backward1: None,
extra_factors: BTreeMap::new(),
extra_factors: Default::default(),
},
DailyFactorSnapshot {
date: date1,
symbol: "000002.SZ".to_string(),
symbol: "000002.SZ".into(),
market_cap_bn: 30.0,
free_float_cap_bn: 28.0,
pe_ttm: 10.0,
turnover_ratio: Some(1.0),
effective_turnover_ratio: Some(1.0),
adjustment_factor_backward1: None,
extra_factors: BTreeMap::new(),
extra_factors: Default::default(),
},
DailyFactorSnapshot {
date: date2,
symbol: "000002.SZ".to_string(),
symbol: "000002.SZ".into(),
market_cap_bn: 31.0,
free_float_cap_bn: 29.0,
pe_ttm: 10.0,
turnover_ratio: Some(1.0),
effective_turnover_ratio: Some(1.0),
adjustment_factor_backward1: None,
extra_factors: BTreeMap::new(),
extra_factors: Default::default(),
},
],
vec![
CandidateEligibility {
date: date1,
symbol: "000001.SZ".to_string(),
symbol: "000001.SZ".into(),
is_st: false,
is_star_st: false,
is_new_listing: false,
@@ -483,7 +483,7 @@ fn engine_applies_successor_conversion_before_unresolved_delisting_audit() {
},
CandidateEligibility {
date: date1,
symbol: "000002.SZ".to_string(),
symbol: "000002.SZ".into(),
is_st: false,
is_star_st: false,
is_new_listing: false,
@@ -496,7 +496,7 @@ fn engine_applies_successor_conversion_before_unresolved_delisting_audit() {
},
CandidateEligibility {
date: date2,
symbol: "000002.SZ".to_string(),
symbol: "000002.SZ".into(),
is_st: false,
is_star_st: false,
is_new_listing: false,