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fix(engine): resolve decision quote scope from the actual run context

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This commit is contained in:
boris
2026-09-13 11:18:38 +08:00
committed by boris
parent d15abc18ae
commit b1ca2dfada
2 changed files with 17 additions and 48 deletions
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crates/fidc-core/src/engine.rs
+8 -33
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@@ -473,7 +473,6 @@ pub struct BacktestEngine<S, C, R> {
futures_cost_model: FuturesTransactionCostModel,
futures_validation_config: FuturesValidationConfig,
execution_quote_loader: Option<ExecutionQuoteLoader>,
preplanned_decision_quote_symbols_by_date: Option<Arc<BTreeMap<NaiveDate, BTreeSet<String>>>>,
execution_quote_request_cache:
BTreeSet<(NaiveDate, String, Option<NaiveTime>, Option<NaiveTime>)>,
execution_absence_notes: BTreeMap<NaiveDate, Vec<String>>,
@@ -574,7 +573,6 @@ impl<S, C, R> BacktestEngine<S, C, R> {
futures_cost_model: FuturesTransactionCostModel::default(),
futures_validation_config: FuturesValidationConfig::default(),
execution_quote_loader: None,
preplanned_decision_quote_symbols_by_date: None,
execution_quote_request_cache: BTreeSet::new(),
execution_absence_notes: BTreeMap::new(),
execution_lifecycle_reported: BTreeSet::new(),
@@ -601,14 +599,6 @@ impl<S, C, R> BacktestEngine<S, C, R> {
self
}
pub fn with_preplanned_decision_quote_symbols_by_date(
mut self,
symbols_by_date: Arc<BTreeMap<NaiveDate, BTreeSet<String>>>,
) -> Self {
self.preplanned_decision_quote_symbols_by_date = Some(symbols_by_date);
self
}
pub fn with_dividend_reinvestment(mut self, enabled: bool) -> Self {
self.dividend_reinvestment = enabled;
self
@@ -2620,22 +2610,8 @@ where
let on_day_open_orders = self.open_order_views();
let decision_quote_times = self.strategy.decision_quote_times();
if self.execution_quote_loader.is_some() && !decision_quote_times.is_empty() {
if let Some(preplanned) = self
.preplanned_decision_quote_symbols_by_date
.as_ref()
.map(Arc::clone)
{
let empty_symbols = BTreeSet::new();
let decision_quote_symbols =
preplanned.get(&execution_date).unwrap_or(&empty_symbols);
self.ensure_execution_quotes_for_symbols_at_times(
execution_date,
decision_quote_symbols,
&decision_quote_times,
)?;
} else {
let decision_quote_symbols =
self.strategy.decision_quote_symbols(&StrategyContext {
let decision_quote_symbols =
self.strategy.decision_quote_symbols(&StrategyContext {
execution_date,
decision_date,
decision_index,
@@ -2653,13 +2629,12 @@ where
),
order_events: result.order_events.as_slice(),
fills: result.fills.as_slice(),
})?;
self.ensure_execution_quotes_for_symbols_at_times(
execution_date,
&decision_quote_symbols,
&decision_quote_times,
)?;
}
})?;
self.ensure_execution_quotes_for_symbols_at_times(
execution_date,
&decision_quote_symbols,
&decision_quote_times,
)?;
}
self.ensure_execution_quotes_for_portfolio_times(
execution_date,