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Add algo-order platform actions

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This commit is contained in:
boris
2026-04-23 07:36:20 -07:00
parent 152b5c3141
commit ac308c8d68
7 changed files with 883 additions and 32 deletions
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300
crates/fidc-core/src/broker.rs
View File

@@ -12,7 +12,7 @@ use crate::events::{
};
use crate::portfolio::PortfolioState;
use crate::rules::EquityRuleHooks;
use crate::strategy::{OpenOrderView, OrderIntent, StrategyDecision};
use crate::strategy::{AlgoOrderStyle, OpenOrderView, OrderIntent, StrategyDecision};
#[derive(Debug, Default)]
pub struct BrokerExecutionReport {
@@ -73,6 +73,7 @@ pub enum MatchingType {
NextTickBestCounterparty,
CounterpartyOffer,
Vwap,
Twap,
}
#[derive(Debug, Clone, Copy, PartialEq)]
@@ -83,6 +84,19 @@ pub enum SlippageModel {
LimitPrice,
}
#[derive(Debug, Clone, Copy, PartialEq, Eq)]
enum AlgoExecutionStyle {
Vwap,
Twap,
}
#[derive(Debug, Clone, Copy)]
struct AlgoExecutionRequest {
style: AlgoExecutionStyle,
start_time: Option<NaiveTime>,
end_time: Option<NaiveTime>,
}
pub struct BrokerSimulator<C, R> {
cost_model: C,
rules: R,
@@ -306,13 +320,25 @@ where
self.apply_slippage(snapshot, side, raw_price)
}
fn matching_type_for_algo_request(
&self,
algo_request: Option<&AlgoExecutionRequest>,
) -> MatchingType {
match algo_request.map(|request| request.style) {
Some(AlgoExecutionStyle::Vwap) => MatchingType::Vwap,
Some(AlgoExecutionStyle::Twap) => MatchingType::Twap,
None => self.matching_type,
}
}
fn select_quote_reference_price(
&self,
snapshot: &crate::data::DailyMarketSnapshot,
quote: &IntradayExecutionQuote,
side: OrderSide,
matching_type: MatchingType,
) -> Option<f64> {
let raw_price = match self.matching_type {
let raw_price = match matching_type {
MatchingType::NextTickBestOwn => match side {
OrderSide::Buy => {
if quote.bid1.is_finite() && quote.bid1 > 0.0 {
@@ -343,7 +369,7 @@ where
OrderSide::Sell => quote.sell_price(),
}
}
MatchingType::NextTickLast | MatchingType::Vwap => {
MatchingType::NextTickLast | MatchingType::Vwap | MatchingType::Twap => {
if quote.last_price.is_finite() && quote.last_price > 0.0 {
Some(quote.last_price)
} else {
@@ -452,6 +478,7 @@ where
None,
false,
true,
None,
&mut report,
)?;
}
@@ -481,6 +508,7 @@ where
None,
false,
true,
None,
&mut report,
)?;
}
@@ -756,6 +784,52 @@ where
commission_state,
report,
),
OrderIntent::AlgoValue {
symbol,
value,
style,
start_time,
end_time,
reason,
} => self.process_algo_value(
date,
portfolio,
data,
symbol,
*value,
*style,
*start_time,
*end_time,
reason,
intraday_turnover,
execution_cursors,
global_execution_cursor,
commission_state,
report,
),
OrderIntent::AlgoPercent {
symbol,
percent,
style,
start_time,
end_time,
reason,
} => self.process_algo_percent(
date,
portfolio,
data,
symbol,
*percent,
*style,
*start_time,
*end_time,
reason,
intraday_turnover,
execution_cursors,
global_execution_cursor,
commission_state,
report,
),
OrderIntent::TargetPortfolioSmart {
target_weights,
order_prices,
@@ -893,6 +967,7 @@ where
Some(limit_price),
true,
emit_creation_events,
None,
report,
)
} else {
@@ -911,6 +986,7 @@ where
Some(limit_price),
true,
emit_creation_events,
None,
report,
)
}
@@ -1817,6 +1893,7 @@ where
limit_price: Option<f64>,
allow_pending_limit: bool,
emit_creation_events: bool,
algo_request: Option<&AlgoExecutionRequest>,
report: &mut BrokerExecutionReport,
) -> Result<(), BacktestError> {
let snapshot = data.require_market(date, symbol)?;
@@ -2046,6 +2123,7 @@ where
None,
None,
None,
algo_request,
limit_price,
);
let (filled_qty, execution_legs) = if let Some(fill) = fill {
@@ -2348,6 +2426,7 @@ where
None,
false,
true,
None,
report,
)?;
} else if target_qty > current_qty {
@@ -2367,6 +2446,7 @@ where
None,
false,
true,
None,
report,
)?;
} else if (current_value - target_value).abs() <= f64::EPSILON {
@@ -2435,6 +2515,7 @@ where
None,
false,
true,
None,
report,
)?;
}
@@ -2461,6 +2542,7 @@ where
None,
false,
true,
None,
report,
)?;
}
@@ -2533,6 +2615,7 @@ where
Some(limit_price),
true,
true,
None,
report,
)?;
} else if target_qty > current_qty {
@@ -2552,6 +2635,7 @@ where
Some(limit_price),
true,
true,
None,
report,
)?;
}
@@ -2606,6 +2690,7 @@ where
Some(limit_price),
true,
true,
None,
report,
)?;
}
@@ -2632,6 +2717,7 @@ where
Some(limit_price),
true,
true,
None,
report,
)?;
}
@@ -2764,6 +2850,7 @@ where
None,
false,
true,
None,
report,
)
} else {
@@ -2788,6 +2875,7 @@ where
None,
false,
true,
None,
report,
)
}
@@ -2856,6 +2944,7 @@ where
Some(limit_price),
true,
true,
None,
report,
)
} else {
@@ -2880,6 +2969,7 @@ where
Some(limit_price),
true,
true,
None,
report,
)
}
@@ -2947,6 +3037,146 @@ where
)
}
fn process_algo_value(
&self,
date: NaiveDate,
portfolio: &mut PortfolioState,
data: &DataSet,
symbol: &str,
value: f64,
style: AlgoOrderStyle,
start_time: Option<NaiveTime>,
end_time: Option<NaiveTime>,
reason: &str,
intraday_turnover: &mut BTreeMap<String, u32>,
execution_cursors: &mut BTreeMap<String, NaiveDateTime>,
global_execution_cursor: &mut Option<NaiveDateTime>,
commission_state: &mut BTreeMap<u64, f64>,
report: &mut BrokerExecutionReport,
) -> Result<(), BacktestError> {
if value.abs() <= f64::EPSILON {
return Ok(());
}
let snapshot = data
.market(date, symbol)
.ok_or_else(|| BacktestError::MissingPrice {
date,
symbol: symbol.to_string(),
field: price_field_name(self.execution_price_field),
})?;
let algo_request = AlgoExecutionRequest {
style: match style {
AlgoOrderStyle::Vwap => AlgoExecutionStyle::Vwap,
AlgoOrderStyle::Twap => AlgoExecutionStyle::Twap,
},
start_time,
end_time,
};
if value > 0.0 {
let round_lot = self.round_lot(data, symbol);
let minimum_order_quantity = self.minimum_order_quantity(data, symbol);
let order_step_size = self.order_step_size(data, symbol);
let price = self.sizing_price(snapshot);
let snapshot_requested_qty = self.round_buy_quantity(
(value.abs() / price).floor() as u32,
minimum_order_quantity,
order_step_size,
);
let requested_qty = self.maybe_expand_periodic_value_buy_quantity(
date,
portfolio,
data,
symbol,
snapshot_requested_qty,
round_lot,
value.abs(),
reason,
execution_cursors,
*global_execution_cursor,
);
self.process_buy(
date,
portfolio,
data,
symbol,
requested_qty,
self.reserve_order_id(),
reason,
intraday_turnover,
execution_cursors,
global_execution_cursor,
commission_state,
Some(value.abs()),
None,
false,
true,
Some(&algo_request),
report,
)
} else {
let price = self.sizing_price(snapshot);
let requested_qty = self.round_buy_quantity(
(value.abs() / price).floor() as u32,
self.minimum_order_quantity(data, symbol),
self.order_step_size(data, symbol),
);
self.process_sell(
date,
portfolio,
data,
symbol,
requested_qty,
self.reserve_order_id(),
reason,
intraday_turnover,
execution_cursors,
global_execution_cursor,
commission_state,
None,
false,
true,
Some(&algo_request),
report,
)
}
}
fn process_algo_percent(
&self,
date: NaiveDate,
portfolio: &mut PortfolioState,
data: &DataSet,
symbol: &str,
percent: f64,
style: AlgoOrderStyle,
start_time: Option<NaiveTime>,
end_time: Option<NaiveTime>,
reason: &str,
intraday_turnover: &mut BTreeMap<String, u32>,
execution_cursors: &mut BTreeMap<String, NaiveDateTime>,
global_execution_cursor: &mut Option<NaiveDateTime>,
commission_state: &mut BTreeMap<u64, f64>,
report: &mut BrokerExecutionReport,
) -> Result<(), BacktestError> {
let total_equity = self.rebalance_total_equity_at(date, portfolio, data)?;
self.process_algo_value(
date,
portfolio,
data,
symbol,
total_equity * percent,
style,
start_time,
end_time,
reason,
intraday_turnover,
execution_cursors,
global_execution_cursor,
commission_state,
report,
)
}
fn process_shares(
&self,
date: NaiveDate,
@@ -2986,6 +3216,7 @@ where
None,
false,
true,
None,
report,
)
} else {
@@ -3004,6 +3235,7 @@ where
None,
false,
true,
None,
report,
)
}
@@ -3078,6 +3310,7 @@ where
limit_price: Option<f64>,
allow_pending_limit: bool,
emit_creation_events: bool,
algo_request: Option<&AlgoExecutionRequest>,
report: &mut BrokerExecutionReport,
) -> Result<(), BacktestError> {
let snapshot = data.require_market(date, symbol)?;
@@ -3232,6 +3465,7 @@ where
None,
Some(portfolio.cash()),
value_budget.map(|budget| budget + 400.0),
algo_request,
limit_price,
);
let (filled_qty, execution_legs) = if let Some(fill) = fill {
@@ -3858,22 +4092,32 @@ where
_global_execution_cursor: Option<NaiveDateTime>,
cash_limit: Option<f64>,
gross_limit: Option<f64>,
algo_request: Option<&AlgoExecutionRequest>,
limit_price: Option<f64>,
) -> Option<ExecutionFill> {
if self.execution_price_field != PriceField::Last {
let matching_type = self.matching_type_for_algo_request(algo_request);
let use_intraday_quotes =
algo_request.is_some() || self.execution_price_field == PriceField::Last;
if !use_intraday_quotes {
return None;
}
let start_cursor = self
.intraday_execution_start_time
let start_cursor = algo_request
.and_then(|request| request.start_time)
.or(self.intraday_execution_start_time)
.map(|start_time| date.and_time(start_time));
let end_cursor = algo_request
.and_then(|request| request.end_time)
.map(|end_time| date.and_time(end_time));
let quotes = data.execution_quotes_on(date, symbol);
if let Some(fill) = self.select_execution_fill(
snapshot,
quotes,
side,
matching_type,
start_cursor,
end_cursor,
requested_qty,
round_lot,
minimum_order_quantity,
@@ -3886,7 +4130,7 @@ where
return Some(fill);
}
if self.intraday_execution_start_time.is_some() {
if algo_request.is_some() || self.intraday_execution_start_time.is_some() {
let execution_price = self.snapshot_execution_price(snapshot, side);
if !self.price_satisfies_limit(
side,
@@ -3913,8 +4157,9 @@ where
if quantity == 0 {
return None;
}
let next_cursor = self
.intraday_execution_start_time
let next_cursor = algo_request
.and_then(|request| request.start_time)
.or(self.intraday_execution_start_time)
.map(|start_time| date.and_time(start_time) + Duration::seconds(1))
.unwrap_or_else(|| date.and_hms_opt(0, 0, 1).expect("valid midnight"));
return Some(ExecutionFill {
@@ -3942,7 +4187,9 @@ where
snapshot: &crate::data::DailyMarketSnapshot,
quotes: &[IntradayExecutionQuote],
side: OrderSide,
matching_type: MatchingType,
start_cursor: Option<NaiveDateTime>,
end_cursor: Option<NaiveDateTime>,
requested_qty: u32,
round_lot: u32,
minimum_order_quantity: u32,
@@ -3957,26 +4204,28 @@ where
}
let lot = round_lot.max(1);
let eligible_quotes: Vec<&IntradayExecutionQuote> = quotes
.iter()
.filter(|quote| {
!start_cursor.is_some_and(|cursor| quote.timestamp < cursor)
&& !end_cursor.is_some_and(|cursor| quote.timestamp > cursor)
&& quote.volume_delta != 0
})
.collect();
let mut filled_qty = 0_u32;
let mut gross_amount = 0.0_f64;
let mut last_timestamp = None;
let mut legs = Vec::new();
let mut budget_block_reason = None;
let mut saw_quote_after_cursor = false;
for quote in quotes {
if start_cursor.is_some_and(|cursor| quote.timestamp < cursor) {
continue;
}
saw_quote_after_cursor = true;
let saw_quote_after_cursor = !eligible_quotes.is_empty();
for (quote_index, quote) in eligible_quotes.iter().enumerate() {
// Approximate JoinQuant market-order fills with the evolving L1 book after
// the decision time instead of trade VWAP. This keeps quantities/prices
// closer to the observed 10:18 execution logs.
if quote.volume_delta == 0 {
continue;
}
let Some(quote_price) = self.select_quote_reference_price(snapshot, quote, side) else {
let Some(quote_price) =
self.select_quote_reference_price(snapshot, quote, side, matching_type)
else {
continue;
};
if !self.price_satisfies_limit(
@@ -4003,7 +4252,14 @@ where
if remaining_qty == 0 {
break;
}
let mut take_qty = remaining_qty.min(available_qty);
let mut take_qty = if matching_type == MatchingType::Twap {
let remaining_quotes = (eligible_quotes.len() - quote_index) as u32;
let scheduled_qty =
((remaining_qty as f64) / remaining_quotes.max(1) as f64).ceil() as u32;
remaining_qty.min(available_qty).min(scheduled_qty.max(1))
} else {
remaining_qty.min(available_qty)
};
if !(side == OrderSide::Sell && allow_odd_lot_sell && take_qty == remaining_qty) {
take_qty =
self.round_buy_quantity(take_qty, minimum_order_quantity, order_step_size);
@@ -4059,7 +4315,7 @@ where
Some(ExecutionFill {
quantity: filled_qty,
next_cursor: last_timestamp.unwrap() + Duration::seconds(1),
legs: if self.matching_type == MatchingType::Vwap {
legs: if matching_type == MatchingType::Vwap {
vec![ExecutionLeg {
price: gross_amount / filled_qty as f64,
quantity: filled_qty,

2
crates/fidc-core/src/lib.rs
View File

@@ -46,7 +46,7 @@ pub use scheduler::{
};
pub use strategy::{
CnSmallCapRotationConfig, CnSmallCapRotationStrategy, JqMicroCapConfig, JqMicroCapStrategy,
OpenOrderView, OrderIntent, Strategy, StrategyContext, StrategyDecision,
AlgoOrderStyle, OpenOrderView, OrderIntent, Strategy, StrategyContext, StrategyDecision,
};
pub use strategy_ai::{
ManualExample, ManualFactorSource, ManualField, ManualFieldGroup, ManualFunction,

265
crates/fidc-core/src/platform_expr_strategy.rs
View File

@@ -11,7 +11,7 @@ use crate::portfolio::PortfolioState;
use crate::scheduler::{
ScheduleRule, ScheduleStage, ScheduleTimeRule, Scheduler, default_stage_time,
};
use crate::strategy::{OrderIntent, Strategy, StrategyContext, StrategyDecision};
use crate::strategy::{AlgoOrderStyle, OrderIntent, Strategy, StrategyContext, StrategyDecision};
#[derive(Debug, Clone, PartialEq, Eq)]
pub enum PlatformScheduleFrequency {
@@ -84,8 +84,12 @@ pub enum PlatformExplicitOrderKind {
TargetShares,
LimitTargetShares,
Value,
VwapValue,
TwapValue,
LimitValue,
Percent,
VwapPercent,
TwapPercent,
LimitPercent,
TargetValue,
LimitTargetValue,
@@ -114,6 +118,8 @@ pub enum PlatformTradeAction {
symbol: String,
amount_expr: String,
limit_price_expr: Option<String>,
start_time_expr: Option<String>,
end_time_expr: Option<String>,
when_expr: Option<String>,
reason: String,
},
@@ -2208,6 +2214,31 @@ impl PlatformExprStrategy {
Ok(value.round().max(0.0).min(u64::MAX as f64) as u64)
}
fn eval_time_expr(
&self,
ctx: &StrategyContext<'_>,
expr: &str,
day: &DayExpressionState,
stock: Option<&StockExpressionState>,
position: Option<&PositionExpressionState>,
) -> Result<NaiveTime, BacktestError> {
let value = self.eval_dynamic(ctx, expr, day, stock, position)?;
let Some(raw) = value.try_cast::<String>() else {
return Err(BacktestError::Execution(format!(
"platform expr did not produce a time string: {}",
expr
)));
};
NaiveTime::parse_from_str(raw.trim(), "%H:%M")
.or_else(|_| NaiveTime::parse_from_str(raw.trim(), "%H:%M:%S"))
.map_err(|_| {
BacktestError::Execution(format!(
"platform expr did not produce a valid HH:MM or HH:MM:SS time: {}",
raw
))
})
}
fn eval_float_map_expr(
&self,
ctx: &StrategyContext<'_>,
@@ -2376,6 +2407,8 @@ impl PlatformExprStrategy {
symbol,
amount_expr,
limit_price_expr,
start_time_expr,
end_time_expr,
when_expr,
reason,
} => {
@@ -2491,6 +2524,38 @@ impl PlatformExprStrategy {
reason: reason.clone(),
});
}
PlatformExplicitOrderKind::VwapValue
| PlatformExplicitOrderKind::TwapValue => {
let value =
self.eval_float(ctx, amount_expr, day, stock_state.as_ref(), None)?;
if value.abs() <= f64::EPSILON {
continue;
}
let start_time = start_time_expr
.as_deref()
.map(|expr| {
self.eval_time_expr(ctx, expr, day, stock_state.as_ref(), None)
})
.transpose()?;
let end_time = end_time_expr
.as_deref()
.map(|expr| {
self.eval_time_expr(ctx, expr, day, stock_state.as_ref(), None)
})
.transpose()?;
intents.push(OrderIntent::AlgoValue {
symbol: symbol.clone(),
value,
style: if *kind == PlatformExplicitOrderKind::VwapValue {
AlgoOrderStyle::Vwap
} else {
AlgoOrderStyle::Twap
},
start_time,
end_time,
reason: reason.clone(),
});
}
PlatformExplicitOrderKind::LimitValue => {
let value =
self.eval_float(ctx, amount_expr, day, stock_state.as_ref(), None)?;
@@ -2523,6 +2588,38 @@ impl PlatformExprStrategy {
reason: reason.clone(),
});
}
PlatformExplicitOrderKind::VwapPercent
| PlatformExplicitOrderKind::TwapPercent => {
let percent =
self.eval_float(ctx, amount_expr, day, stock_state.as_ref(), None)?;
if percent.abs() <= f64::EPSILON {
continue;
}
let start_time = start_time_expr
.as_deref()
.map(|expr| {
self.eval_time_expr(ctx, expr, day, stock_state.as_ref(), None)
})
.transpose()?;
let end_time = end_time_expr
.as_deref()
.map(|expr| {
self.eval_time_expr(ctx, expr, day, stock_state.as_ref(), None)
})
.transpose()?;
intents.push(OrderIntent::AlgoPercent {
symbol: symbol.clone(),
percent,
style: if *kind == PlatformExplicitOrderKind::VwapPercent {
AlgoOrderStyle::Vwap
} else {
AlgoOrderStyle::Twap
},
start_time,
end_time,
reason: reason.clone(),
});
}
PlatformExplicitOrderKind::LimitPercent => {
let percent =
self.eval_float(ctx, amount_expr, day, stock_state.as_ref(), None)?;
@@ -3366,9 +3463,10 @@ mod tests {
PlatformScheduleFrequency, PlatformTradeAction, PlatformUniverseActionKind,
};
use crate::{
BenchmarkSnapshot, CandidateEligibility, DailyFactorSnapshot, DailyMarketSnapshot, DataSet,
Instrument, OpenOrderView, PortfolioState, ProcessEvent, ProcessEventKind, ScheduleStage,
ScheduleTimeRule, Strategy, StrategyContext, TradingCalendar, default_stage_time,
AlgoOrderStyle, BenchmarkSnapshot, CandidateEligibility, DailyFactorSnapshot,
DailyMarketSnapshot, DataSet, Instrument, OpenOrderView, PortfolioState, ProcessEvent,
ProcessEventKind, ScheduleStage, ScheduleTimeRule, Strategy, StrategyContext,
TradingCalendar, default_stage_time,
};
fn d(year: i32, month: u32, day: u32) -> NaiveDate {
@@ -3546,6 +3644,8 @@ mod tests {
symbol: "000001.SZ".to_string(),
amount_expr: "cash * 0.1".to_string(),
limit_price_expr: None,
start_time_expr: None,
end_time_expr: None,
when_expr: Some("allow_buy && !touched_upper_limit".to_string()),
reason: "platform_explicit_value".to_string(),
},
@@ -3680,6 +3780,8 @@ mod tests {
symbol: "000001.SZ".to_string(),
amount_expr: "2000".to_string(),
limit_price_expr: None,
start_time_expr: None,
end_time_expr: None,
when_expr: Some("allow_buy".to_string()),
reason: "platform_target_shares".to_string(),
}];
@@ -3702,6 +3804,153 @@ mod tests {
}
}
#[test]
fn platform_strategy_emits_algo_order_actions() {
let date = d(2025, 2, 3);
let data = DataSet::from_components(
vec![Instrument {
symbol: "000001.SZ".to_string(),
name: "Ping An Bank".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,
symbol: "000001.SZ".to_string(),
timestamp: Some("2025-02-03 10:18:00".to_string()),
day_open: 10.0,
open: 10.0,
high: 10.4,
low: 9.8,
close: 10.2,
last_price: 10.2,
bid1: 10.18,
ask1: 10.22,
prev_close: 9.9,
volume: 100_000,
tick_volume: 5_000,
bid1_volume: 2_500,
ask1_volume: 2_500,
trading_phase: Some("continuous".to_string()),
paused: false,
upper_limit: 10.89,
lower_limit: 8.91,
price_tick: 0.01,
}],
vec![DailyFactorSnapshot {
date,
symbol: "000001.SZ".to_string(),
market_cap_bn: 50.0,
free_float_cap_bn: 45.0,
pe_ttm: 10.0,
turnover_ratio: Some(1.2),
effective_turnover_ratio: Some(1.0),
extra_factors: BTreeMap::new(),
}],
vec![CandidateEligibility {
date,
symbol: "000001.SZ".to_string(),
is_st: false,
is_new_listing: false,
is_kcb: false,
is_paused: false,
allow_buy: true,
allow_sell: true,
is_one_yuan: false,
}],
vec![BenchmarkSnapshot {
date,
benchmark: "000852.SH".to_string(),
open: 1000.0,
close: 1001.0,
prev_close: 999.0,
volume: 100_000,
}],
)
.expect("dataset");
let portfolio = PortfolioState::new(1_000_000.0);
let subscriptions = BTreeSet::new();
let ctx = StrategyContext {
execution_date: date,
decision_date: date,
decision_index: 0,
data: &data,
portfolio: &portfolio,
open_orders: &[],
dynamic_universe: None,
subscriptions: &subscriptions,
process_events: &[],
active_process_event: None,
};
let mut cfg = PlatformExprStrategyConfig::microcap_rotation();
cfg.signal_symbol = "000001.SZ".to_string();
cfg.rotation_enabled = false;
cfg.benchmark_short_ma_days = 1;
cfg.benchmark_long_ma_days = 1;
cfg.explicit_actions = vec![
PlatformTradeAction::Order {
kind: PlatformExplicitOrderKind::VwapValue,
symbol: "000001.SZ".to_string(),
amount_expr: "cash * 0.1".to_string(),
limit_price_expr: None,
start_time_expr: Some("\"09:31\"".to_string()),
end_time_expr: Some("\"09:40\"".to_string()),
when_expr: Some("allow_buy".to_string()),
reason: "algo_vwap_entry".to_string(),
},
PlatformTradeAction::Order {
kind: PlatformExplicitOrderKind::TwapPercent,
symbol: "000001.SZ".to_string(),
amount_expr: "0.05".to_string(),
limit_price_expr: None,
start_time_expr: Some("\"10:00\"".to_string()),
end_time_expr: Some("\"10:30\"".to_string()),
when_expr: Some("allow_buy".to_string()),
reason: "algo_twap_entry".to_string(),
},
];
let mut strategy = PlatformExprStrategy::new(cfg);
let decision = strategy.on_day(&ctx).expect("platform decision");
assert_eq!(decision.order_intents.len(), 2);
match &decision.order_intents[0] {
crate::strategy::OrderIntent::AlgoValue {
style,
start_time,
end_time,
..
} => {
assert_eq!(*style, AlgoOrderStyle::Vwap);
assert_eq!(
*start_time,
Some(NaiveTime::from_hms_opt(9, 31, 0).unwrap())
);
assert_eq!(*end_time, Some(NaiveTime::from_hms_opt(9, 40, 0).unwrap()));
}
other => panic!("unexpected algo value intent: {other:?}"),
}
match &decision.order_intents[1] {
crate::strategy::OrderIntent::AlgoPercent {
style,
start_time,
end_time,
..
} => {
assert_eq!(*style, AlgoOrderStyle::Twap);
assert_eq!(
*start_time,
Some(NaiveTime::from_hms_opt(10, 0, 0).unwrap())
);
assert_eq!(*end_time, Some(NaiveTime::from_hms_opt(10, 30, 0).unwrap()));
}
other => panic!("unexpected algo percent intent: {other:?}"),
}
}
#[test]
fn platform_strategy_emits_target_portfolio_smart_explicit_action() {
let date = d(2025, 2, 3);
@@ -3904,6 +4153,8 @@ mod tests {
symbol: "000001.SZ".to_string(),
amount_expr: "0.25".to_string(),
limit_price_expr: None,
start_time_expr: None,
end_time_expr: None,
when_expr: Some("allow_buy".to_string()),
reason: "auction_percent_entry".to_string(),
}];
@@ -4021,6 +4272,8 @@ mod tests {
symbol: "000001.SZ".to_string(),
amount_expr: "0.25".to_string(),
limit_price_expr: None,
start_time_expr: None,
end_time_expr: None,
when_expr: Some("allow_buy".to_string()),
reason: "auction_percent_entry".to_string(),
}];
@@ -4131,6 +4384,8 @@ mod tests {
symbol: "000001.SZ".to_string(),
amount_expr: "cash * 0.1".to_string(),
limit_price_expr: None,
start_time_expr: None,
end_time_expr: None,
when_expr: Some(
"has_open_orders && open_order_count == 1 && open_sell_qty == 200 && symbol_open_sell_qty == 200 && symbol_open_order_count == 1".to_string(),
),
@@ -4491,6 +4746,8 @@ mod tests {
symbol: "000001.SZ".to_string(),
amount_expr: "cash * 0.1".to_string(),
limit_price_expr: None,
start_time_expr: None,
end_time_expr: None,
when_expr: Some(
"has_process_events && process_event_count == 1 && latest_process_kind == \"order_creation_reject\" && latest_process_order_id == 55 && latest_process_symbol == \"000001.SZ\" && latest_process_side == \"buy\" && process_event_counts[\"order_creation_reject\"] == 1".to_string(),
),

22
crates/fidc-core/src/strategy.rs
View File

@@ -328,6 +328,12 @@ impl StrategyDecision {
}
}
#[derive(Debug, Clone, Copy, PartialEq, Eq)]
pub enum AlgoOrderStyle {
Vwap,
Twap,
}
#[derive(Debug, Clone)]
pub enum OrderIntent {
Shares {
@@ -407,6 +413,22 @@ pub enum OrderIntent {
limit_price: f64,
reason: String,
},
AlgoValue {
symbol: String,
value: f64,
style: AlgoOrderStyle,
start_time: Option<NaiveTime>,
end_time: Option<NaiveTime>,
reason: String,
},
AlgoPercent {
symbol: String,
percent: f64,
style: AlgoOrderStyle,
start_time: Option<NaiveTime>,
end_time: Option<NaiveTime>,
reason: String,
},
TargetPortfolioSmart {
target_weights: BTreeMap<String, f64>,
order_prices: Option<BTreeMap<String, f64>>,

2
crates/fidc-core/src/strategy_ai.rs
View File

@@ -120,7 +120,7 @@ pub fn built_in_strategy_manual() -> StrategyAiManual {
},
ManualSection {
title: "trading.rotation / order.* / cancel.* / update_universe / subscribe".to_string(),
detail: "支持显式下单、撤单和动态 universe 管理。可以用 trading.rotation(false) 关闭默认轮动链路，再用 trading.stage(\"open_auction\" | \"on_day\") 指定执行阶段，用 trading.schedule.daily().at([\"10:18\"]) / trading.schedule.weekly(weekday=5).at([\"10:18\"]) / trading.schedule.weekly(tradingday=-1).at([\"10:18\"]) / trading.schedule.monthly(tradingday=1).at([\"10:18\"]) 指定触发频率和分钟级 time_rule，然后写 order.shares(\"600000.SH\", 1000)、order.target_shares(\"600000.SH\", 2000)、order.value(\"600000.SH\", cash * 0.25)、order.target_percent(\"600000.SH\", 0.05)、order.limit_value(\"600000.SH\", cash * 0.25, open * 0.99)、order.target_portfolio_smart(weights={\"600000.SH\": 0.3, \"000001.SZ\": 0.2}, order_prices={\"600000.SH\": open * 0.99}, valuation_prices={\"600000.SH\": prev_close})、cancel.order(12345)、cancel.symbol(\"600000.SH\")、cancel.all()、update_universe([\"600000.SH\", \"000001.SZ\"])、subscribe([\"000001.SZ\"])、unsubscribe([\"000001.SZ\"])。其中 order.target_shares(...) 对应 rqalpha 的 order_to，order.target_portfolio_smart(...) 对应 rqalpha 的 order_target_portfolio_smart 批量目标权重语义，而 update_universe/subscribe/unsubscribe 对应 rqalpha 的动态 universe 与订阅接口。symbol 使用标准证券代码；数量、金额、仓位、限价、order_id 和 symbol 列表都支持表达式；这些语句也支持放进 when/unless 条件块。".to_string(),
detail: "支持显式下单、撤单、AlgoOrder 和动态 universe 管理。可以用 trading.rotation(false) 关闭默认轮动链路，再用 trading.stage(\"open_auction\" | \"on_day\") 指定执行阶段，用 trading.schedule.daily().at([\"10:18\"]) / trading.schedule.weekly(weekday=5).at([\"10:18\"]) / trading.schedule.weekly(tradingday=-1).at([\"10:18\"]) / trading.schedule.monthly(tradingday=1).at([\"10:18\"]) 指定触发频率和分钟级 time_rule，然后写 order.shares(\"600000.SH\", 1000)、order.target_shares(\"600000.SH\", 2000)、order.value(\"600000.SH\", cash * 0.25)、order.target_percent(\"600000.SH\", 0.05)、order.limit_value(\"600000.SH\", cash * 0.25, open * 0.99)、order.vwap_value(\"600000.SH\", cash * 0.25, \"09:31\", \"09:40\")、order.twap_percent(\"600000.SH\", 0.05, \"10:00\", \"10:30\")、order.target_portfolio_smart(weights={\"600000.SH\": 0.3, \"000001.SZ\": 0.2}, order_prices={\"600000.SH\": open * 0.99}, valuation_prices={\"600000.SH\": prev_close})、cancel.order(12345)、cancel.symbol(\"600000.SH\")、cancel.all()、update_universe([\"600000.SH\", \"000001.SZ\"])、subscribe([\"000001.SZ\"])、unsubscribe([\"000001.SZ\"])。其中 order.target_shares(...) 对应 rqalpha 的 order_to，order.target_portfolio_smart(...) 对应 rqalpha 的 order_target_portfolio_smart 批量目标权重语义，order.vwap_* / order.twap_* 对应 rqalpha 的 AlgoOrder 时间窗订单风格，而 update_universe/subscribe/unsubscribe 对应 rqalpha 的动态 universe 与订阅接口。symbol 使用标准证券代码；数量、金额、仓位、时间窗、限价、order_id 和 symbol 列表都支持表达式；这些语句也支持放进 when/unless 条件块。".to_string(),
},
ManualSection {
title: "when / unless / else".to_string(),

320
crates/fidc-core/tests/explicit_order_flow.rs
View File

@@ -1,6 +1,6 @@
use chrono::NaiveDate;
use chrono::{NaiveDate, NaiveTime};
use fidc_core::{
BenchmarkSnapshot, BrokerSimulator, CandidateEligibility, ChinaAShareCostModel,
AlgoOrderStyle, BenchmarkSnapshot, BrokerSimulator, CandidateEligibility, ChinaAShareCostModel,
ChinaEquityRuleHooks, DailyFactorSnapshot, DailyMarketSnapshot, DataSet, Instrument,
IntradayExecutionQuote, MatchingType, OrderIntent, OrderStatus, PortfolioState, PriceField,
ProcessEventKind, SlippageModel, StrategyDecision,
@@ -1684,6 +1684,322 @@ fn broker_aggregates_intraday_quote_fills_into_vwap_leg() {
);
}
#[test]
fn broker_executes_algo_vwap_value_with_time_window() {
let date = NaiveDate::from_ymd_opt(2024, 1, 10).unwrap();
let data = DataSet::from_components_with_actions_and_quotes(
vec![Instrument {
symbol: "000002.SZ".to_string(),
name: "Test".to_string(),
board: "SZ".to_string(),
round_lot: 100,
listed_at: None,
delisted_at: None,
status: "active".to_string(),
}],
vec![DailyMarketSnapshot {
date,
symbol: "000002.SZ".to_string(),
timestamp: Some("2024-01-10 10:18:00".to_string()),
day_open: 10.0,
open: 10.0,
high: 10.2,
low: 9.8,
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: 80_000,
ask1_volume: 80_000,
trading_phase: Some("continuous".to_string()),
paused: false,
upper_limit: 11.0,
lower_limit: 9.0,
price_tick: 0.01,
}],
vec![DailyFactorSnapshot {
date,
symbol: "000002.SZ".to_string(),
market_cap_bn: 50.0,
free_float_cap_bn: 45.0,
pe_ttm: 15.0,
turnover_ratio: Some(2.0),
effective_turnover_ratio: Some(1.8),
extra_factors: BTreeMap::new(),
}],
vec![CandidateEligibility {
date,
symbol: "000002.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,
benchmark: "000300.SH".to_string(),
open: 100.0,
close: 100.0,
prev_close: 99.0,
volume: 1_000_000,
}],
Vec::new(),
vec![
IntradayExecutionQuote {
date,
symbol: "000002.SZ".to_string(),
timestamp: date.and_hms_opt(10, 17, 59).unwrap(),
last_price: 9.98,
bid1: 9.97,
ask1: 9.99,
bid1_volume: 1,
ask1_volume: 1,
volume_delta: 1,
amount_delta: 0.0,
trading_phase: Some("continuous".to_string()),
},
IntradayExecutionQuote {
date,
symbol: "000002.SZ".to_string(),
timestamp: date.and_hms_opt(10, 18, 3).unwrap(),
last_price: 10.01,
bid1: 10.0,
ask1: 10.02,
bid1_volume: 1,
ask1_volume: 1,
volume_delta: 1,
amount_delta: 0.0,
trading_phase: Some("continuous".to_string()),
},
IntradayExecutionQuote {
date,
symbol: "000002.SZ".to_string(),
timestamp: date.and_hms_opt(10, 18, 6).unwrap(),
last_price: 10.03,
bid1: 10.02,
ask1: 10.04,
bid1_volume: 1,
ask1_volume: 1,
volume_delta: 1,
amount_delta: 0.0,
trading_phase: Some("continuous".to_string()),
},
IntradayExecutionQuote {
date,
symbol: "000002.SZ".to_string(),
timestamp: date.and_hms_opt(10, 18, 40).unwrap(),
last_price: 10.10,
bid1: 10.09,
ask1: 10.11,
bid1_volume: 1,
ask1_volume: 1,
volume_delta: 1,
amount_delta: 0.0,
trading_phase: Some("continuous".to_string()),
},
],
)
.expect("dataset");
let mut portfolio = PortfolioState::new(1_000_000.0);
let broker = BrokerSimulator::new_with_execution_price(
ChinaAShareCostModel::default(),
ChinaEquityRuleHooks::default(),
PriceField::Last,
);
let report = broker
.execute(
date,
&mut portfolio,
&data,
&StrategyDecision {
rebalance: false,
target_weights: BTreeMap::new(),
exit_symbols: BTreeSet::new(),
order_intents: vec![OrderIntent::AlgoValue {
symbol: "000002.SZ".to_string(),
value: 2_500.0,
style: AlgoOrderStyle::Vwap,
start_time: Some(NaiveTime::from_hms_opt(10, 18, 0).unwrap()),
end_time: Some(NaiveTime::from_hms_opt(10, 18, 10).unwrap()),
reason: "algo_vwap_window".to_string(),
}],
notes: Vec::new(),
diagnostics: Vec::new(),
},
)
.expect("broker execution");
assert_eq!(report.fill_events.len(), 1);
assert_eq!(report.fill_events[0].quantity, 200);
assert!((report.fill_events[0].price - 10.02).abs() < 1e-9);
}
#[test]
fn broker_executes_algo_twap_percent_across_window_quotes() {
let date = NaiveDate::from_ymd_opt(2024, 1, 10).unwrap();
let data = DataSet::from_components_with_actions_and_quotes(
vec![Instrument {
symbol: "000002.SZ".to_string(),
name: "Test".to_string(),
board: "SZ".to_string(),
round_lot: 100,
listed_at: None,
delisted_at: None,
status: "active".to_string(),
}],
vec![DailyMarketSnapshot {
date,
symbol: "000002.SZ".to_string(),
timestamp: Some("2024-01-10 10:18:00".to_string()),
day_open: 12.0,
open: 12.0,
high: 12.2,
low: 11.8,
close: 12.0,
last_price: 12.0,
bid1: 11.99,
ask1: 12.01,
prev_close: 12.0,
volume: 100_000,
tick_volume: 100_000,
bid1_volume: 80_000,
ask1_volume: 80_000,
trading_phase: Some("continuous".to_string()),
paused: false,
upper_limit: 13.2,
lower_limit: 10.8,
price_tick: 0.01,
}],
vec![DailyFactorSnapshot {
date,
symbol: "000002.SZ".to_string(),
market_cap_bn: 50.0,
free_float_cap_bn: 45.0,
pe_ttm: 15.0,
turnover_ratio: Some(2.0),
effective_turnover_ratio: Some(1.8),
extra_factors: BTreeMap::new(),
}],
vec![CandidateEligibility {
date,
symbol: "000002.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,
benchmark: "000300.SH".to_string(),
open: 100.0,
close: 100.0,
prev_close: 99.0,
volume: 1_000_000,
}],
Vec::new(),
vec![
IntradayExecutionQuote {
date,
symbol: "000002.SZ".to_string(),
timestamp: date.and_hms_opt(10, 0, 0).unwrap(),
last_price: 12.00,
bid1: 11.99,
ask1: 12.01,
bid1_volume: 1,
ask1_volume: 1,
volume_delta: 1,
amount_delta: 0.0,
trading_phase: Some("continuous".to_string()),
},
IntradayExecutionQuote {
date,
symbol: "000002.SZ".to_string(),
timestamp: date.and_hms_opt(10, 15, 0).unwrap(),
last_price: 12.03,
bid1: 12.02,
ask1: 12.04,
bid1_volume: 1,
ask1_volume: 1,
volume_delta: 1,
amount_delta: 0.0,
trading_phase: Some("continuous".to_string()),
},
IntradayExecutionQuote {
date,
symbol: "000002.SZ".to_string(),
timestamp: date.and_hms_opt(10, 30, 0).unwrap(),
last_price: 12.06,
bid1: 12.05,
ask1: 12.07,
bid1_volume: 1,
ask1_volume: 1,
volume_delta: 1,
amount_delta: 0.0,
trading_phase: Some("continuous".to_string()),
},
],
)
.expect("dataset");
let mut portfolio = PortfolioState::new(1_000_000.0);
let broker = BrokerSimulator::new_with_execution_price(
ChinaAShareCostModel::default(),
ChinaEquityRuleHooks::default(),
PriceField::Last,
);
let report = broker
.execute(
date,
&mut portfolio,
&data,
&StrategyDecision {
rebalance: false,
target_weights: BTreeMap::new(),
exit_symbols: BTreeSet::new(),
order_intents: vec![OrderIntent::AlgoPercent {
symbol: "000002.SZ".to_string(),
percent: 0.0036,
style: AlgoOrderStyle::Twap,
start_time: Some(NaiveTime::from_hms_opt(10, 0, 0).unwrap()),
end_time: Some(NaiveTime::from_hms_opt(10, 30, 0).unwrap()),
reason: "algo_twap_window".to_string(),
}],
notes: Vec::new(),
diagnostics: Vec::new(),
},
)
.expect("broker execution");
assert_eq!(report.fill_events.len(), 3);
assert_eq!(
report
.fill_events
.iter()
.map(|fill| fill.quantity)
.sum::<u32>(),
300
);
assert!(report.fill_events.iter().all(|fill| fill.quantity == 100));
assert_eq!(
report
.process_events
.iter()
.filter(|event| event.kind == ProcessEventKind::Trade)
.count(),
3
);
}
#[test]
fn broker_uses_best_own_price_for_intraday_matching() {
let date = NaiveDate::from_ymd_opt(2024, 1, 10).unwrap();

4
docs/rqalpha-gap-roadmap.md
View File

@@ -35,8 +35,8 @@ current alignment pass.
### Phase 4: Algo order parity
- [ ] `VWAPOrder`
- [ ] `TWAPOrder`
- [x] `VWAPOrder` first-class explicit action parity (`order.vwap_value/percent`)
- [x] `TWAPOrder` first-class explicit action parity (`order.twap_value/percent`)
- [ ] `order_target_portfolio_smart(..., order_prices=AlgoOrder, valuation_prices=...)`
### Phase 5: Position accounting parity