重构分钟线事件流与订阅加载

crates/fidc-core/tests/engine_hooks.rs

@@ -1,18 +1,19 @@
 use std::cell::RefCell;
 use std::collections::{BTreeMap, BTreeSet};
 use std::rc::Rc;
+use std::sync::{Arc, Mutex};
 
 use chrono::{NaiveDate, NaiveDateTime};
 use fidc_core::{
     BacktestConfig, BacktestEngine, BacktestProcessMod, BacktestProcessModLoader,
     BenchmarkSnapshot, BrokerSimulator, CandidateEligibility, ChinaAShareCostModel,
-    ChinaEquityRuleHooks, DailyFactorSnapshot, DailyMarketSnapshot, DataSet, FuturesAccountState,
-    FuturesCommissionType, FuturesContractSpec, FuturesDirection, FuturesOrderIntent,
-    FuturesTradingParameter, FuturesValidationConfig, Instrument, IntradayExecutionQuote,
-    IntradayOrderBookDepthLevel, MatchingType, OpenOrderView, OrderIntent, OrderSide, OrderStatus,
-    PlatformExprStrategy, PlatformExprStrategyConfig, PortfolioState, PriceField, ProcessEvent,
-    ProcessEventBus, ProcessEventKind, ScheduleRule, ScheduleStage, ScheduleTimeRule, Strategy,
-    StrategyContext, StrategyDecision,
+    ChinaEquityRuleHooks, DailyFactorSnapshot, DailyMarketSnapshot, DataSet, ExecutionQuoteRequest,
+    FuturesAccountState, FuturesCommissionType, FuturesContractSpec, FuturesDirection,
+    FuturesOrderIntent, FuturesTradingParameter, FuturesValidationConfig, Instrument,
+    IntradayExecutionQuote, IntradayOrderBookDepthLevel, MatchingType, OpenOrderView, OrderIntent,
+    OrderSide, OrderStatus, PlatformExprStrategy, PlatformExprStrategyConfig, PortfolioState,
+    PriceField, ProcessEvent, ProcessEventBus, ProcessEventKind, ScheduleRule, ScheduleStage,
+    ScheduleTimeRule, Strategy, StrategyContext, StrategyDecision,
 };
 
 fn d(year: i32, month: u32, day: u32) -> NaiveDate {
@@ -634,6 +635,8 @@ struct UniverseDirectiveStrategy {
 
 struct MinuteProbeStrategy {
     seen_ticks: Rc<RefCell<Vec<String>>>,
+    scheduled_count: Rc<RefCell<usize>>,
+    subscribe_symbols: BTreeSet<String>,
     ordered: bool,
 }
 
@@ -809,6 +812,22 @@ impl Strategy for MinuteProbeStrategy {
         "minute-probe"
     }
 
+    fn schedule_rules(&self) -> Vec<ScheduleRule> {
+        vec![
+            ScheduleRule::daily("minute_barrier", ScheduleStage::Minute)
+                .with_time_rule(ScheduleTimeRule::physical_time(10, 18)),
+        ]
+    }
+
+    fn on_scheduled(
+        &mut self,
+        _ctx: &StrategyContext<'_>,
+        _rule: &ScheduleRule,
+    ) -> Result<StrategyDecision, fidc_core::BacktestError> {
+        *self.scheduled_count.borrow_mut() += 1;
+        Ok(StrategyDecision::default())
+    }
+
     fn on_day(
         &mut self,
         _ctx: &StrategyContext<'_>,
@@ -818,7 +837,7 @@ impl Strategy for MinuteProbeStrategy {
             target_weights: BTreeMap::new(),
             exit_symbols: BTreeSet::new(),
             order_intents: vec![OrderIntent::Subscribe {
-                symbols: BTreeSet::from(["000001.SZ".to_string()]),
+                symbols: self.subscribe_symbols.clone(),
                 reason: "subscribe_minute_probe".to_string(),
             }],
             notes: Vec::new(),
@@ -2011,6 +2030,19 @@ fn engine_runs_minute_hooks_and_executes_minute_orders() {
                 amount_delta: 10_200.0,
                 trading_phase: Some("continuous".to_string()),
             },
+            IntradayExecutionQuote {
+                date,
+                symbol: "000002.SZ".to_string(),
+                timestamp: dt(2025, 1, 2, 10, 18, 0),
+                last_price: 20.4,
+                bid1: 20.3,
+                ask1: 20.4,
+                bid1_volume: 1_000,
+                ask1_volume: 1_000,
+                volume_delta: 1_000,
+                amount_delta: 20_400.0,
+                trading_phase: Some("continuous".to_string()),
+            },
             IntradayExecutionQuote {
                 date,
                 symbol: "000001.SZ".to_string(),
@@ -2029,8 +2061,11 @@ fn engine_runs_minute_hooks_and_executes_minute_orders() {
     .expect("dataset");
 
     let seen_ticks = Rc::new(RefCell::new(Vec::new()));
+    let scheduled_count = Rc::new(RefCell::new(0usize));
     let strategy = MinuteProbeStrategy {
         seen_ticks: seen_ticks.clone(),
+        scheduled_count: scheduled_count.clone(),
+        subscribe_symbols: BTreeSet::from(["000001.SZ".to_string(), "000002.SZ".to_string()]),
         ordered: false,
     };
     let broker = BrokerSimulator::new_with_execution_price(
@@ -2038,6 +2073,8 @@ fn engine_runs_minute_hooks_and_executes_minute_orders() {
         ChinaEquityRuleHooks::default(),
         PriceField::Last,
     );
+    let loader_requests = Arc::new(Mutex::new(Vec::<ExecutionQuoteRequest>::new()));
+    let loader_requests_for_callback = Arc::clone(&loader_requests);
     let mut engine = BacktestEngine::new(
         data,
         strategy,
@@ -2050,7 +2087,11 @@ fn engine_runs_minute_hooks_and_executes_minute_orders() {
             decision_lag_trading_days: 0,
             execution_price_field: PriceField::Last,
         },
-    );
+    )
+    .with_execution_quote_loader(move |request| {
+        loader_requests_for_callback.lock().unwrap().push(request);
+        Ok(Vec::new())
+    });
 
     let result = engine.run().expect("backtest run");
 
@@ -2058,9 +2099,19 @@ fn engine_runs_minute_hooks_and_executes_minute_orders() {
         seen_ticks.borrow().as_slice(),
         [
             "000001.SZ:10:18:00:true:visible=10.20:previous=",
+            "000002.SZ:10:18:00:true:visible=20.40:previous=",
             "000001.SZ:10:19:00:true:visible=10.20,10.30:previous=10.20"
         ]
     );
+    assert_eq!(*scheduled_count.borrow(), 1);
+    let loader_requests = loader_requests.lock().unwrap();
+    assert_eq!(loader_requests.len(), 1);
+    assert_eq!(loader_requests[0].start_time, None);
+    assert_eq!(loader_requests[0].end_time, None);
+    assert_eq!(
+        loader_requests[0].symbols,
+        BTreeSet::from(["000001.SZ".to_string(), "000002.SZ".to_string()])
+    );
     assert_eq!(result.fills.len(), 1);
     assert_eq!(result.fills[0].reason, "minute_buy");
     assert_eq!(result.fills[0].quantity, 100);
@@ -2082,6 +2133,14 @@ fn engine_runs_minute_hooks_and_executes_minute_orders() {
             .iter()
             .any(|event| event.kind == ProcessEventKind::PostMinute)
     );
+    assert_eq!(
+        result
+            .process_events
+            .iter()
+            .filter(|event| event.kind == ProcessEventKind::PreMinute)
+            .count(),
+        2
+    );
 }
 
 #[test]