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
@@ -3,6 +3,7 @@ use std::collections::BTreeMap;
 use chrono::NaiveDate;

 use crate::events::OrderSide;
+use crate::fixed_point::{FixedChinaAShareCostModel, FixedMoney, FixedTradingCost};
 use crate::risk_control::TradingConstraintConfig;

 #[derive(Debug, Clone, Copy)]
@@ -14,7 +15,20 @@ pub struct TradingCost {

 impl TradingCost {
    pub fn total(self) -> f64 {
-        self.commission + self.stamp_tax + self.transfer_fee
+        self.fixed_total().to_f64()
+    }
+
+    pub fn fixed_total(self) -> FixedMoney {
+        FixedMoney::checked_sum_f64([self.commission, self.stamp_tax, self.transfer_fee])
+            .expect("trading costs must be finite fixed-point money")
+    }
+
+    fn from_fixed(value: FixedTradingCost) -> Self {
+        Self {
+            commission: value.commission.to_f64(),
+            stamp_tax: value.stamp_tax.to_f64(),
+            transfer_fee: value.transfer_fee.to_f64(),
+        }
    }
 }

@@ -35,12 +49,7 @@ pub trait CostModel {

 #[derive(Debug, Clone, Copy)]
 pub struct ChinaAShareCostModel {
-    pub commission_rate: f64,
-    pub stamp_tax_rate_before_change: f64,
-    pub stamp_tax_rate_after_change: f64,
-    pub stamp_tax_change_date: NaiveDate,
-    pub minimum_commission: f64,
-    pub transfer_fee_rate: f64,
+    fixed: FixedChinaAShareCostModel,
 }

 impl Default for ChinaAShareCostModel {
@@ -52,42 +61,93 @@ impl Default for ChinaAShareCostModel {
 impl ChinaAShareCostModel {
    pub fn from_trading_constraints(config: TradingConstraintConfig) -> Self {
        Self {
-            commission_rate: config.commission_rate,
-            stamp_tax_rate_before_change: config.stamp_tax_rate_before_change,
-            stamp_tax_rate_after_change: config.stamp_tax_rate_after_change,
-            stamp_tax_change_date: config.stamp_tax_change_date,
-            minimum_commission: config.minimum_commission,
-            transfer_fee_rate: config.transfer_fee_rate,
+            fixed: FixedChinaAShareCostModel {
+                commission_rate: Self::fixed_money(config.commission_rate, "commission rate"),
+                stamp_tax_rate_before_change: Self::fixed_money(
+                    config.stamp_tax_rate_before_change,
+                    "stamp tax rate before change",
+                ),
+                stamp_tax_rate_after_change: Self::fixed_money(
+                    config.stamp_tax_rate_after_change,
+                    "stamp tax rate after change",
+                ),
+                stamp_tax_change_date: config.stamp_tax_change_date,
+                minimum_commission: Self::fixed_money(
+                    config.minimum_commission,
+                    "minimum commission",
+                ),
+                transfer_fee_rate: Self::fixed_money(config.transfer_fee_rate, "transfer fee rate"),
+            },
        }
    }

+    pub fn set_commission_rate(&mut self, value: f64) {
+        self.fixed.commission_rate = Self::fixed_money(value, "commission rate");
+    }
+
+    pub fn set_minimum_commission(&mut self, value: f64) {
+        self.fixed.minimum_commission = Self::fixed_money(value, "minimum commission");
+    }
+
+    pub fn set_stamp_tax_rate_before_change(&mut self, value: f64) {
+        self.fixed.stamp_tax_rate_before_change =
+            Self::fixed_money(value, "stamp tax rate before change");
+    }
+
+    pub fn set_stamp_tax_rate_after_change(&mut self, value: f64) {
+        self.fixed.stamp_tax_rate_after_change =
+            Self::fixed_money(value, "stamp tax rate after change");
+    }
+
+    pub fn set_stamp_tax_change_date(&mut self, value: NaiveDate) {
+        self.fixed.stamp_tax_change_date = value;
+    }
+
+    pub fn with_commission_rate(mut self, value: f64) -> Self {
+        self.set_commission_rate(value);
+        self
+    }
+
+    pub fn with_minimum_commission(mut self, value: f64) -> Self {
+        self.set_minimum_commission(value);
+        self
+    }
+
+    pub fn with_stamp_tax_rates(mut self, before: f64, after: f64) -> Self {
+        self.set_stamp_tax_rate_before_change(before);
+        self.set_stamp_tax_rate_after_change(after);
+        self
+    }
+
    pub fn commission_for(&self, gross_amount: f64) -> f64 {
        if gross_amount <= 0.0 {
            return 0.0;
        }
-        (gross_amount * self.commission_rate).max(self.minimum_commission)
+        self.fixed_model()
+            .commission_for(Self::fixed_money(gross_amount, "gross amount"))
+            .to_f64()
    }

    pub fn stamp_tax_rate_for(&self, date: NaiveDate) -> f64 {
-        if date < self.stamp_tax_change_date {
-            self.stamp_tax_rate_before_change
-        } else {
-            self.stamp_tax_rate_after_change
-        }
+        self.fixed.stamp_tax_rate_for(date).to_f64()
    }

    pub fn stamp_tax_for(&self, date: NaiveDate, side: OrderSide, gross_amount: f64) -> f64 {
        if gross_amount <= 0.0 || side == OrderSide::Buy {
            return 0.0;
        }
-        gross_amount * self.stamp_tax_rate_for(date)
+        self.fixed_model()
+            .stamp_tax_for(date, side, Self::fixed_money(gross_amount, "gross amount"))
+            .to_f64()
    }

    pub fn transfer_fee_for(&self, gross_amount: f64) -> f64 {
        if gross_amount <= 0.0 {
            return 0.0;
        }
-        gross_amount * self.transfer_fee_rate
+        self.fixed_model()
+            .transfer_fee_for(Self::fixed_money(gross_amount, "gross amount"))
+            .to_f64()
    }

    pub fn commission_for_order_fill(
@@ -100,31 +160,29 @@ impl ChinaAShareCostModel {
            return 0.0;
        }

-        let raw_commission = gross_amount * self.commission_rate;
        let Some(order_id) = order_id else {
-            return raw_commission.max(self.minimum_commission);
+            return self.commission_for(gross_amount);
        };

        let remaining_minimum = commission_state
            .entry(order_id)
-            .or_insert(self.minimum_commission);
-        if raw_commission > *remaining_minimum {
-            let charged = if (*remaining_minimum - self.minimum_commission).abs() < 1e-12 {
-                raw_commission
-            } else {
-                raw_commission - *remaining_minimum
-            };
-            *remaining_minimum = 0.0;
-            charged
-        } else {
-            let charged = if (*remaining_minimum - self.minimum_commission).abs() < 1e-12 {
-                self.minimum_commission
-            } else {
-                0.0
-            };
-            *remaining_minimum -= raw_commission;
-            charged
-        }
+            .or_insert(self.fixed.minimum_commission.to_f64());
+        let mut fixed_remaining = Self::fixed_money(*remaining_minimum, "remaining commission");
+        let charged = self.fixed_model().commission_for_order_fill_remaining(
+            Self::fixed_money(gross_amount, "gross amount"),
+            &mut fixed_remaining,
+        );
+        *remaining_minimum = fixed_remaining.to_f64();
+        charged.to_f64()
+    }
+
+    fn fixed_money(value: f64, label: &str) -> FixedMoney {
+        FixedMoney::from_f64(value)
+            .unwrap_or_else(|| panic!("{label} is not representable as fixed-point money: {value}"))
+    }
+
+    fn fixed_model(&self) -> FixedChinaAShareCostModel {
+        self.fixed
    }
 }

@@ -138,15 +196,11 @@ impl CostModel for ChinaAShareCostModel {
            };
        }

-        let commission = self.commission_for(gross_amount);
-        let stamp_tax = self.stamp_tax_for(date, side, gross_amount);
-        let transfer_fee = self.transfer_fee_for(gross_amount);
-
-        TradingCost {
-            commission,
-            stamp_tax,
-            transfer_fee,
-        }
+        TradingCost::from_fixed(self.fixed_model().calculate(
+            date,
+            side,
+            Self::fixed_money(gross_amount, "gross amount"),
+        ))
    }

    fn calculate_with_order_state(
@@ -165,15 +219,25 @@ impl CostModel for ChinaAShareCostModel {
            };
        }

-        let commission = self.commission_for_order_fill(gross_amount, order_id, commission_state);
-        let stamp_tax = self.stamp_tax_for(date, side, gross_amount);
-        let transfer_fee = self.transfer_fee_for(gross_amount);
-
-        TradingCost {
+        let fixed_model = self.fixed_model();
+        let fixed_gross = Self::fixed_money(gross_amount, "gross amount");
+        let commission = if let Some(order_id) = order_id {
+            let remaining = commission_state
+                .entry(order_id)
+                .or_insert(self.fixed.minimum_commission.to_f64());
+            let mut fixed_remaining = Self::fixed_money(*remaining, "remaining commission");
+            let commission =
+                fixed_model.commission_for_order_fill_remaining(fixed_gross, &mut fixed_remaining);
+            *remaining = fixed_remaining.to_f64();
+            commission
+        } else {
+            fixed_model.commission_for(fixed_gross)
+        };
+        TradingCost::from_fixed(FixedTradingCost {
            commission,
-            stamp_tax,
-            transfer_fee,
-        }
+            stamp_tax: fixed_model.stamp_tax_for(date, side, fixed_gross),
+            transfer_fee: fixed_model.transfer_fee_for(fixed_gross),
+        })
    }
 }

@@ -182,13 +246,13 @@ mod tests {
    use super::*;

    #[test]
-    fn default_matches_configurable_trading_constraints() {
+    fn default_quantizes_fees_to_micro_yuan() {
        let model = ChinaAShareCostModel::default();
        let date = NaiveDate::from_ymd_opt(2025, 11, 11).expect("valid date");

-        assert!((model.commission_for(248_059.812) - 74.4179436).abs() < 1e-9);
+        assert!((model.commission_for(248_059.812) - 74.417944).abs() < 1e-12);
        assert!(
-            (model.stamp_tax_for(date, OrderSide::Sell, 245_747.007) - 122.8735035).abs() < 1e-9
+            (model.stamp_tax_for(date, OrderSide::Sell, 245_747.007) - 122.873504).abs() < 1e-12
        );
    }