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Add account cash flow intents

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This commit is contained in:
boris
2026-04-23 20:14:05 -07:00
parent e0a5d0c945
commit 85feee6dac
10 changed files with 608 additions and 27 deletions
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214
crates/fidc-core/tests/engine_hooks.rs
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@@ -162,6 +162,8 @@ struct OrderInspectionStrategy {
observed: Rc<RefCell<Vec<String>>>,
}
struct AccountFlowStrategy;
impl Strategy for ScheduledProbeStrategy {
fn name(&self) -> &str {
"scheduled-probe"
@@ -492,6 +494,44 @@ impl Strategy for OrderInspectionStrategy {
}
}
impl Strategy for AccountFlowStrategy {
fn name(&self) -> &str {
"account-flow"
}
fn on_day(
&mut self,
ctx: &StrategyContext<'_>,
) -> Result<StrategyDecision, fidc_core::BacktestError> {
if ctx.execution_date != d(2025, 1, 2) {
return Ok(StrategyDecision::default());
}
Ok(StrategyDecision {
rebalance: false,
target_weights: BTreeMap::new(),
exit_symbols: BTreeSet::new(),
order_intents: vec![
OrderIntent::FinanceRepay {
amount: 1_000.0,
reason: "borrow".to_string(),
},
OrderIntent::DepositWithdraw {
amount: 500.0,
receiving_days: 0,
reason: "cash_in".to_string(),
},
OrderIntent::DepositWithdraw {
amount: 1_000.0,
receiving_days: 1,
reason: "cash_in_next_day".to_string(),
},
],
notes: Vec::new(),
diagnostics: Vec::new(),
})
}
}
#[test]
fn engine_runs_strategy_hooks_in_daily_order() {
let date1 = d(2025, 1, 2);
@@ -1300,6 +1340,180 @@ fn strategy_context_exposes_rqalpha_style_account_runtime_view() {
assert!((ctx.available_cash() - account.available_cash).abs() < 1e-6);
}
#[test]
fn engine_applies_account_cash_flow_and_financing_intents() {
let date1 = d(2025, 1, 2);
let date2 = d(2025, 1, 3);
let data = DataSet::from_components(
vec![Instrument {
symbol: "000001.SZ".to_string(),
name: "Anchor".to_string(),
board: "SZ".to_string(),
round_lot: 100,
listed_at: Some(d(2020, 1, 1)),
delisted_at: None,
status: "active".to_string(),
}],
vec![
DailyMarketSnapshot {
date: date1,
symbol: "000001.SZ".to_string(),
timestamp: Some("2025-01-02 10:18:00".to_string()),
day_open: 10.0,
open: 10.0,
high: 10.0,
low: 10.0,
close: 10.0,
last_price: 10.0,
bid1: 9.99,
ask1: 10.01,
prev_close: 9.9,
volume: 100_000,
tick_volume: 100_000,
bid1_volume: 100_000,
ask1_volume: 100_000,
trading_phase: Some("continuous".to_string()),
paused: false,
upper_limit: 11.0,
lower_limit: 9.0,
price_tick: 0.01,
},
DailyMarketSnapshot {
date: date2,
symbol: "000001.SZ".to_string(),
timestamp: Some("2025-01-03 10:18:00".to_string()),
day_open: 10.0,
open: 10.0,
high: 10.0,
low: 10.0,
close: 10.0,
last_price: 10.0,
bid1: 9.99,
ask1: 10.01,
prev_close: 10.0,
volume: 100_000,
tick_volume: 100_000,
bid1_volume: 100_000,
ask1_volume: 100_000,
trading_phase: Some("continuous".to_string()),
paused: false,
upper_limit: 11.0,
lower_limit: 9.0,
price_tick: 0.01,
},
],
vec![
DailyFactorSnapshot {
date: date1,
symbol: "000001.SZ".to_string(),
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),
extra_factors: BTreeMap::new(),
},
DailyFactorSnapshot {
date: date2,
symbol: "000001.SZ".to_string(),
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),
extra_factors: BTreeMap::new(),
},
],
vec![
CandidateEligibility {
date: date1,
symbol: "000001.SZ".to_string(),
is_st: false,
is_new_listing: false,
is_paused: false,
allow_buy: true,
allow_sell: true,
is_kcb: false,
is_one_yuan: false,
},
CandidateEligibility {
date: date2,
symbol: "000001.SZ".to_string(),
is_st: false,
is_new_listing: false,
is_paused: false,
allow_buy: true,
allow_sell: true,
is_kcb: false,
is_one_yuan: false,
},
],
vec![
BenchmarkSnapshot {
date: date1,
benchmark: "000300.SH".to_string(),
open: 100.0,
close: 100.0,
prev_close: 99.0,
volume: 1_000_000,
},
BenchmarkSnapshot {
date: date2,
benchmark: "000300.SH".to_string(),
open: 100.0,
close: 100.0,
prev_close: 100.0,
volume: 1_000_000,
},
],
)
.expect("dataset");
let broker = BrokerSimulator::new_with_execution_price(
ChinaAShareCostModel::default(),
ChinaEquityRuleHooks::default(),
PriceField::Close,
);
let mut engine = BacktestEngine::new(
data,
AccountFlowStrategy,
broker,
BacktestConfig {
initial_cash: 10_000.0,
benchmark_code: "000300.SH".to_string(),
start_date: Some(date1),
end_date: Some(date2),
decision_lag_trading_days: 0,
execution_price_field: PriceField::Close,
},
);
let result = engine.run().expect("backtest run");
assert!((result.equity_curve[0].cash - 11_500.0).abs() < 1e-6);
assert!((result.equity_curve[0].total_equity - 10_500.0).abs() < 1e-6);
assert!((result.equity_curve[1].cash - 12_500.0).abs() < 1e-6);
assert!((result.equity_curve[1].total_equity - 11_500.0).abs() < 1e-6);
assert!(result.account_events.iter().any(|event| {
event
.note
.contains("finance_repay amount=1000.00 liabilities_before=0.00")
}));
assert!(result.account_events.iter().any(|event| {
event
.note
.contains("deposit_withdraw_scheduled amount=1000.00")
}));
assert!(result.account_events.iter().any(|event| {
event
.note
.contains("deposit_withdraw_settled amount=1000.00")
}));
assert!(result.process_events.iter().any(|event| {
event.kind == ProcessEventKind::AccountFinanceRepay
&& event.detail.contains("liabilities_after=1000.00")
}));
}
#[test]
fn engine_rejects_pending_limit_orders_at_market_close() {
let date1 = d(2025, 1, 2);