修复next open首日未来函数

2026-06-27 23:57:09 +08:00
parent e83856baa9
commit 9562b8a280
1 changed files with 286 additions and 2 deletions
@@ -1726,8 +1726,93 @@ where
            let decision_slot = execution_idx
                .checked_sub(self.config.decision_lag_trading_days)
                .map(|decision_idx| (decision_idx, execution_dates[decision_idx]));
-            let (decision_index, decision_date) =
-                decision_slot.unwrap_or((execution_idx, execution_date));
+            let Some((decision_index, decision_date)) = decision_slot else {
+                let mut process_events = Vec::new();
+                let mut report = BrokerExecutionReport::default();
+                portfolio.update_prices_with_options(
+                    execution_date,
+                    &self.data,
+                    PriceField::Close,
+                    self.broker.same_day_buy_close_mark_at_fill(),
+                )?;
+                let close_report = self.broker.after_trading(execution_date);
+                merge_broker_report(&mut report, close_report);
+                let futures_daily_settlement_report = self.settle_futures_daily(execution_date);
+                merge_broker_report(&mut report, futures_daily_settlement_report);
+                let futures_expiration_report = self.settle_futures_expirations(execution_date);
+                merge_broker_report(&mut report, futures_expiration_report);
+
+                let daily_fill_count = report.fill_events.len();
+                let day_orders = report.order_events.clone();
+                let day_fills = report.fill_events.clone();
+                let broker_diagnostics = report.diagnostics.clone();
+                self.extend_result(&mut result, report);
+
+                let benchmark =
+                    self.data
+                        .benchmark(execution_date)
+                        .ok_or(BacktestError::MissingBenchmark {
+                            date: execution_date,
+                        })?;
+                let notes = corporate_action_notes.join(" | ");
+                let diagnostics = std::iter::once(format!(
+                    "decision_lag_warmup lag_days={} execution_index={}",
+                    self.config.decision_lag_trading_days, execution_idx
+                ))
+                .chain(broker_diagnostics.into_iter())
+                .collect::<Vec<_>>()
+                .join(" | ");
+                let holdings_for_day = portfolio.holdings_summary(execution_date);
+                let day_process_events = process_events.clone();
+                let aggregate_initial_cash = self.aggregate_initial_cash();
+                let aggregate_cash = self.aggregate_cash(&portfolio);
+                let aggregate_market_value = self.aggregate_market_value(&portfolio);
+                let aggregate_total_equity = self.aggregate_total_equity(&portfolio);
+
+                result.equity_curve.push(DailyEquityPoint {
+                    date: execution_date,
+                    cash: aggregate_cash,
+                    market_value: aggregate_market_value,
+                    total_equity: aggregate_total_equity,
+                    benchmark_close: benchmark.close,
+                    benchmark_prev_close: benchmark.prev_close,
+                    notes,
+                    diagnostics,
+                });
+                result.daily_holdings.extend(holdings_for_day.clone());
+                let latest = result
+                    .equity_curve
+                    .last()
+                    .expect("equity point pushed for progress event");
+                on_progress(&BacktestDayProgress {
+                    date: execution_date,
+                    cash: latest.cash,
+                    market_value: latest.market_value,
+                    total_equity: latest.total_equity,
+                    unit_nav: if aggregate_initial_cash.abs() < f64::EPSILON {
+                        0.0
+                    } else {
+                        latest.total_equity / aggregate_initial_cash
+                    },
+                    total_return: if aggregate_initial_cash.abs() < f64::EPSILON {
+                        0.0
+                    } else {
+                        (latest.total_equity / aggregate_initial_cash) - 1.0
+                    },
+                    benchmark_close: latest.benchmark_close,
+                    daily_fill_count,
+                    cumulative_trade_count: result.fills.len(),
+                    holding_count: holdings_for_day.len(),
+                    notes: latest.notes.clone(),
+                    diagnostics: latest.diagnostics.clone(),
+                    orders: day_orders,
+                    fills: day_fills,
+                    holdings: holdings_for_day,
+                    process_events: day_process_events,
+                });
+                result.process_events.append(&mut process_events);
+                continue;
+            };
            let mut process_events = Vec::new();
            let mut directive_report = BrokerExecutionReport::default();
            let pre_open_orders = self.open_order_views();
@@ -3852,3 +3937,202 @@ mod date_format {
        serializer.serialize_str(&date.format(FORMAT).to_string())
    }
 }
+
+#[cfg(test)]
+mod tests {
+    use std::collections::BTreeMap;
+
+    use chrono::NaiveDate;
+
+    use super::{BacktestConfig, BacktestEngine};
+    use crate::broker::{BrokerSimulator, MatchingType};
+    use crate::cost::ChinaAShareCostModel;
+    use crate::data::{
+        BenchmarkSnapshot, CandidateEligibility, DailyFactorSnapshot, DailyMarketSnapshot, DataSet,
+        PriceField,
+    };
+    use crate::instrument::Instrument;
+    use crate::rules::ChinaEquityRuleHooks;
+    use crate::strategy::{OrderIntent, Strategy, StrategyContext, StrategyDecision};
+
+    const SYMBOL: &str = "000001.SZ";
+
+    #[derive(Debug)]
+    struct BuyWhenDecisionDateStrategy {
+        decision_date: NaiveDate,
+    }
+
+    impl Strategy for BuyWhenDecisionDateStrategy {
+        fn name(&self) -> &str {
+            "buy_when_decision_date"
+        }
+
+        fn on_day(
+            &mut self,
+            ctx: &StrategyContext<'_>,
+        ) -> Result<StrategyDecision, super::BacktestError> {
+            if ctx.decision_date == self.decision_date && ctx.portfolio.position(SYMBOL).is_none() {
+                return Ok(StrategyDecision {
+                    order_intents: vec![OrderIntent::Shares {
+                        symbol: SYMBOL.to_string(),
+                        quantity: 100,
+                        reason: "test_buy".to_string(),
+                    }],
+                    ..StrategyDecision::default()
+                });
+            }
+            Ok(StrategyDecision::default())
+        }
+    }
+
+    fn d(year: i32, month: u32, day: u32) -> NaiveDate {
+        NaiveDate::from_ymd_opt(year, month, day).expect("valid date")
+    }
+
+    fn market(date: NaiveDate, open: f64, close: f64) -> DailyMarketSnapshot {
+        DailyMarketSnapshot {
+            date,
+            symbol: SYMBOL.to_string(),
+            timestamp: Some(format!("{date} 15:00:00")),
+            day_open: open,
+            open,
+            high: close.max(open) + 1.0,
+            low: close.min(open) - 1.0,
+            close,
+            last_price: close,
+            bid1: close - 0.01,
+            ask1: close + 0.01,
+            prev_close: 10.0,
+            volume: 1_000_000,
+            minute_volume: 10_000,
+            bid1_volume: 10_000,
+            ask1_volume: 10_000,
+            trading_phase: Some("continuous".to_string()),
+            paused: false,
+            upper_limit: 200.0,
+            lower_limit: 1.0,
+            price_tick: 0.01,
+        }
+    }
+
+    fn factor(date: NaiveDate) -> DailyFactorSnapshot {
+        DailyFactorSnapshot {
+            date,
+            symbol: SYMBOL.to_string(),
+            market_cap_bn: 10.0,
+            free_float_cap_bn: 8.0,
+            pe_ttm: 12.0,
+            turnover_ratio: Some(1.0),
+            effective_turnover_ratio: Some(1.0),
+            extra_factors: BTreeMap::new(),
+        }
+    }
+
+    fn candidate(date: NaiveDate) -> CandidateEligibility {
+        CandidateEligibility {
+            date,
+            symbol: SYMBOL.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,
+            risk_level_code: None,
+        }
+    }
+
+    fn benchmark(date: NaiveDate) -> BenchmarkSnapshot {
+        BenchmarkSnapshot {
+            date,
+            benchmark: "000852.SH".to_string(),
+            open: 1000.0,
+            close: 1000.0,
+            prev_close: 1000.0,
+            volume: 1_000_000,
+        }
+    }
+
+    fn dataset() -> DataSet {
+        let first = d(2025, 1, 2);
+        let second = d(2025, 1, 3);
+        DataSet::from_components(
+            vec![Instrument {
+                symbol: SYMBOL.to_string(),
+                name: "Test Stock".to_string(),
+                board: "SZ".to_string(),
+                round_lot: 100,
+                listed_at: Some(d(2020, 1, 1)),
+                delisted_at: None,
+                status: "active".to_string(),
+            }],
+            vec![market(first, 10.0, 11.5), market(second, 12.0, 99.0)],
+            vec![factor(first), factor(second)],
+            vec![candidate(first), candidate(second)],
+            vec![benchmark(first), benchmark(second)],
+        )
+        .expect("dataset")
+    }
+
+    fn run_with_matching(
+        matching_type: MatchingType,
+        execution_price_field: PriceField,
+        decision_lag_trading_days: usize,
+    ) -> super::BacktestResult {
+        let first = d(2025, 1, 2);
+        let broker = BrokerSimulator::new_with_execution_price(
+            ChinaAShareCostModel::default(),
+            ChinaEquityRuleHooks,
+            execution_price_field,
+        )
+        .with_matching_type(matching_type)
+        .with_volume_limit(false)
+        .with_liquidity_limit(false)
+        .with_inactive_limit(false);
+        let config = BacktestConfig {
+            initial_cash: 100_000.0,
+            benchmark_code: "000852.SH".to_string(),
+            start_date: Some(first),
+            end_date: Some(d(2025, 1, 3)),
+            decision_lag_trading_days,
+            execution_price_field,
+        };
+
+        BacktestEngine::new(
+            dataset(),
+            BuyWhenDecisionDateStrategy {
+                decision_date: first,
+            },
+            broker,
+            config,
+        )
+        .run()
+        .expect("backtest run")
+    }
+
+    #[test]
+    fn current_bar_close_uses_decision_day_close_for_fill() {
+        let result = run_with_matching(MatchingType::CurrentBarClose, PriceField::Close, 0);
+
+        assert_eq!(result.fills.len(), 1);
+        assert_eq!(result.fills[0].date, d(2025, 1, 2));
+        assert_eq!(result.fills[0].price, 11.5);
+    }
+
+    #[test]
+    fn next_bar_open_skips_unavailable_lag_day_and_fills_next_open() {
+        let result = run_with_matching(MatchingType::NextBarOpen, PriceField::Open, 1);
+
+        assert_eq!(result.fills.len(), 1);
+        assert_eq!(result.fills[0].date, d(2025, 1, 3));
+        assert_eq!(result.fills[0].price, 12.0);
+        assert!(
+            result.equity_curve[0]
+                .diagnostics
+                .contains("decision_lag_warmup"),
+            "{}",
+            result.equity_curve[0].diagnostics
+        );
+    }
+}