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