将股票执行资金切换为定点账本

2026-08-25 14:36:15 +08:00
parent c9ddff46dd
commit 92724c6ab0
9 changed files with 640 additions and 250 deletions
@@ -10,6 +10,7 @@ use crate::events::{
    AccountEvent, FillEvent, OrderEvent, OrderSide, OrderStatus, PositionEvent, ProcessEvent,
    ProcessEventKind,
 };
+use crate::fixed_point::FixedMoney;
 use crate::instrument::Instrument;
 use crate::portfolio::PortfolioState;
 use crate::risk_control::{ChinaAShareRiskControl, FidcRiskControlConfig, RiskCheckScope};
@@ -2585,7 +2586,7 @@ where
            } else {
                0.0
            };
-            if buy_cash_out <= projected_cash + 1e-6 {
+            if Self::fixed_cash_fits(buy_cash_out, projected_cash) {
                if proportion_diff < best_proportion_diff - 1e-12
                    || ((proportion_diff - best_proportion_diff).abs() <= 1e-12
                        && safety_value > best_safety)
@@ -3150,9 +3151,14 @@ where
        if quantity == 0 {
            return 0.0;
        }
-        let gross = price * quantity as f64;
-        let cost = self.cost_model.calculate(date, OrderSide::Sell, gross);
-        gross - cost.total()
+        let gross = Self::fixed_gross_amount(price, quantity);
+        let cost = self
+            .cost_model
+            .calculate(date, OrderSide::Sell, gross.to_f64());
+        gross
+            .checked_sub(cost.fixed_total())
+            .expect("fixed-point sell proceeds underflow")
+            .to_f64()
    }

    fn sell_target_denial_reason(
@@ -3256,9 +3262,23 @@ where
        if quantity == 0 {
            return 0.0;
        }
-        let gross = price * quantity as f64;
-        let cost = self.cost_model.calculate(date, OrderSide::Buy, gross);
-        gross + cost.total()
+        let gross = Self::fixed_gross_amount(price, quantity);
+        let cost = self
+            .cost_model
+            .calculate(date, OrderSide::Buy, gross.to_f64());
+        gross
+            .checked_add(cost.fixed_total())
+            .expect("fixed-point buy cash overflow")
+            .to_f64()
+    }
+
+    fn fixed_gross_amount(price: f64, quantity: u32) -> FixedMoney {
+        FixedMoney::from_f64(price * quantity as f64)
+            .expect("execution gross amount must be finite fixed-point money")
+    }
+
+    fn fixed_cash_fits(value: f64, limit: f64) -> bool {
+        FixedMoney::f64_fits_within(value, limit).unwrap_or(false)
    }

    fn can_afford_minimum_buy(
@@ -3283,8 +3303,10 @@ where
        }
        let minimum_execution_price =
            self.snapshot_execution_price(snapshot, OrderSide::Buy, Some(minimum_buy_quantity));
-        self.estimated_buy_cash_out(date, minimum_execution_price, minimum_buy_quantity)
-            <= portfolio.cash() + 1e-6
+        Self::fixed_cash_fits(
+            self.estimated_buy_cash_out(date, minimum_execution_price, minimum_buy_quantity),
+            portfolio.cash(),
+        )
    }

    fn process_sell(
@@ -3722,7 +3744,8 @@ where
        }
        for leg in &execution_legs {
            let leg_cash_before = portfolio.cash();
-            let gross_amount = leg.price * leg.quantity as f64;
+            let gross_money = Self::fixed_gross_amount(leg.price, leg.quantity);
+            let gross_amount = gross_money.to_f64();
            let cost = self.cost_model.calculate_with_order_state(
                date,
                OrderSide::Sell,
@@ -3730,7 +3753,10 @@ where
                Some(order_id),
                commission_state,
            );
-            let net_cash = gross_amount - cost.total();
+            let net_cash = gross_money
+                .checked_sub(cost.fixed_total())
+                .expect("fixed-point sell proceeds underflow")
+                .to_f64();
            let realized_pnl = portfolio
                .position_mut(symbol)
                .sell_with_mark_price(leg.quantity, leg.price, leg.mark_price)
@@ -3738,7 +3764,9 @@ where
            if let Some(position) = portfolio.position_mut_if_exists(symbol) {
                position.record_trade_cost(cost.total());
            }
-            portfolio.apply_cash_delta(net_cash);
+            portfolio
+                .apply_cash_delta(net_cash)
+                .map_err(BacktestError::Execution)?;

            report.fill_events.push(FillEvent {
                date,
@@ -5371,7 +5399,8 @@ where
        }
        for leg in &execution_legs {
            let leg_cash_before = portfolio.cash();
-            let gross_amount = leg.price * leg.quantity as f64;
+            let gross_money = Self::fixed_gross_amount(leg.price, leg.quantity);
+            let gross_amount = gross_money.to_f64();
            let cost = self.cost_model.calculate_with_order_state(
                date,
                OrderSide::Buy,
@@ -5379,9 +5408,14 @@ where
                Some(order_id),
                commission_state,
            );
-            let cash_out = gross_amount + cost.total();
+            let cash_out = gross_money
+                .checked_add(cost.fixed_total())
+                .expect("fixed-point buy cash overflow")
+                .to_f64();

-            portfolio.apply_cash_delta(-cash_out);
+            portfolio
+                .apply_cash_delta(-cash_out)
+                .map_err(BacktestError::Execution)?;
            portfolio.position_mut(symbol).buy_with_mark_price(
                date,
                leg.quantity,
@@ -5766,7 +5800,10 @@ where
        let mut quantity =
            self.round_buy_quantity(raw_quantity, minimum_order_quantity, order_step_size);
        while quantity >= minimum {
-            if self.estimated_buy_cash_out(date, price, quantity) <= value_budget + 1e-6 {
+            if Self::fixed_cash_fits(
+                self.estimated_buy_cash_out(date, price, quantity),
+                value_budget,
+            ) {
                return quantity;
            }
            quantity =
@@ -5820,7 +5857,10 @@ where
                })
                .filter(|price| price.is_finite() && *price > 0.0)
                .unwrap_or(fallback_price);
-            if self.estimated_buy_cash_out(date, execution_price, quantity) <= value_budget + 1e-6 {
+            if Self::fixed_cash_fits(
+                self.estimated_buy_cash_out(date, execution_price, quantity),
+                value_budget,
+            ) {
                return quantity;
            }
            quantity =
@@ -5857,7 +5897,7 @@ where
            self.round_buy_quantity(requested_qty, minimum_order_quantity, order_step_size);
        while quantity > 0 {
            let gross = price * quantity as f64;
-            if gross_limit.is_some_and(|limit| gross > limit + 1e-6) {
+            if gross_limit.is_some_and(|limit| !Self::fixed_cash_fits(gross, limit)) {
                quantity = self.decrement_order_quantity(
                    quantity,
                    minimum_order_quantity,
@@ -5866,7 +5906,10 @@ where
                continue;
            }
            let cost = self.cost_model.calculate(date, OrderSide::Buy, gross);
-            if gross + cost.total() <= cash + 1e-6 {
+            let cash_out = FixedMoney::checked_sum_f64([gross, cost.total()])
+                .expect("buy cash must be finite fixed-point money")
+                .to_f64();
+            if Self::fixed_cash_fits(cash_out, cash) {
                return quantity;
            }
            quantity =
@@ -5886,7 +5929,9 @@ where
        if filled_qty >= requested_qty {
            return None;
        }
-        if gross_limit.is_some_and(|limit| price * requested_qty as f64 > limit + 1e-6) {
+        if gross_limit
+            .is_some_and(|limit| !Self::fixed_cash_fits(price * requested_qty as f64, limit))
+        {
            Some("value budget limit")
        } else if cash_limit.is_finite() {
            Some("insufficient cash after fees")
@@ -6326,7 +6371,9 @@ where
                        break;
                    }
                    let candidate_gross = gross_amount + quote_price * take_qty as f64;
-                    if gross_limit.is_some_and(|limit| candidate_gross > limit + 1e-6) {
+                    if gross_limit
+                        .is_some_and(|limit| !Self::fixed_cash_fits(candidate_gross, limit))
+                    {
                        budget_block_reason = Some("value budget limit");
                        take_qty = self.decrement_order_quantity(
                            take_qty,
@@ -6339,7 +6386,11 @@ where
                        .cost_model
                        .calculate(snapshot.date, OrderSide::Buy, candidate_gross)
                        .total();
-                    if candidate_gross + candidate_cost <= cash + 1e-6 {
+                    let candidate_cash =
+                        FixedMoney::checked_sum_f64([candidate_gross, candidate_cost])
+                            .expect("buy cash must be finite fixed-point money")
+                            .to_f64();
+                    if Self::fixed_cash_fits(candidate_cash, cash) {
                        break;
                    }
                    budget_block_reason = Some("insufficient cash after fees");
@@ -6586,6 +6637,7 @@ mod tests {
        IntradayExecutionQuote, PriceField,
    };
    use crate::events::{OrderSide, OrderStatus};
+    use crate::fixed_point::FixedMoney;
    use crate::instrument::Instrument;
    use crate::portfolio::PortfolioState;
    use crate::risk_control::FidcRiskControlConfig;
@@ -7650,7 +7702,7 @@ mod tests {
            1_000,
            10.0,
        );
-        portfolio.apply_cash_delta(-10_000.0);
+        portfolio.apply_cash_delta(-10_000.0).unwrap();
        let mut report = BrokerExecutionReport::default();

        broker
@@ -7708,7 +7760,7 @@ mod tests {
            10_000,
            10.0,
        );
-        portfolio.apply_cash_delta(-100_000.0);
+        portfolio.apply_cash_delta(-100_000.0).unwrap();
        let mut report = BrokerExecutionReport::default();

        broker
@@ -7766,7 +7818,7 @@ mod tests {
            1_000,
            10.0,
        );
-        portfolio.apply_cash_delta(-10_000.0);
+        portfolio.apply_cash_delta(-10_000.0).unwrap();
        let mut report = BrokerExecutionReport::default();

        broker
@@ -7856,7 +7908,7 @@ mod tests {
            1_000,
            10.0,
        );
-        portfolio.apply_cash_delta(-10_000.0);
+        portfolio.apply_cash_delta(-10_000.0).unwrap();
        let mut report = BrokerExecutionReport::default();

        broker
@@ -7943,7 +7995,7 @@ mod tests {
            10_000,
            10.0,
        );
-        portfolio.apply_cash_delta(-100_000.0);
+        portfolio.apply_cash_delta(-100_000.0).unwrap();
        let mut report = BrokerExecutionReport::default();

        broker
@@ -9122,7 +9174,7 @@ mod tests {
        .expect("valid dataset");
        let mut portfolio = PortfolioState::new(1_000_000.0);
        portfolio.position_mut(symbol).buy(prev_date, 72_600, 4.0);
-        portfolio.apply_cash_delta(-290_400.0);
+        portfolio.apply_cash_delta(-290_400.0).unwrap();
        let mut report = BrokerExecutionReport::default();

        broker
@@ -9166,13 +9218,10 @@ mod tests {
        let date = chrono::NaiveDate::from_ymd_opt(2023, 5, 8).expect("valid date");
        let symbol = "603101.SH";
        let broker = BrokerSimulator::new_with_execution_price(
-            ChinaAShareCostModel {
-                commission_rate: 0.0003,
-                stamp_tax_rate_before_change: 0.0005,
-                stamp_tax_rate_after_change: 0.0005,
-                minimum_commission: 5.0,
-                ..ChinaAShareCostModel::default()
-            },
+            ChinaAShareCostModel::default()
+                .with_commission_rate(0.0003)
+                .with_stamp_tax_rates(0.0005, 0.0005)
+                .with_minimum_commission(5.0),
            ChinaEquityRuleHooks,
            PriceField::Last,
        )
@@ -9515,7 +9564,20 @@ mod tests {

        let fill = report.fill_events.first().expect("fill event");
        assert_eq!(fill.quantity, 17_400);
-        assert!(fill.gross_amount + fill.commission <= value_budget + 1e-6);
+        let cash_out = FixedMoney::checked_sum_f64([
+            fill.gross_amount,
+            fill.commission,
+            fill.stamp_tax,
+            fill.transfer_fee,
+        ])
+        .unwrap()
+        .to_f64();
+        assert!(
+            BrokerSimulator::<ChinaAShareCostModel, ChinaEquityRuleHooks>::fixed_cash_fits(
+                cash_out,
+                value_budget
+            )
+        );
        assert!((fill.price - 7.15428).abs() < 1e-6);
    }