zsb/fidc-backtest-engine
1
0
Fork 0
Code Issues Pull Requests Actions Packages Projects Releases Wiki Activity

Support dividend reinvestment

Browse Source
This commit is contained in:
boris
2026-04-23 02:11:06 -07:00
parent 0bc224f703
commit b6ddd14d94
2 changed files with 377 additions and 3 deletions
Download Patch File Download Diff File Expand all files Collapse all files

277
crates/fidc-core/tests/corporate_actions.rs
View File

@@ -1,5 +1,12 @@
use chrono::NaiveDate;
use fidc_core::{CashReceivable, PortfolioState, Position};
use std::collections::{BTreeMap, BTreeSet};
use fidc_core::{
BacktestConfig, BacktestEngine, BenchmarkSnapshot, BrokerSimulator, CandidateEligibility,
CashReceivable, ChinaAShareCostModel, ChinaEquityRuleHooks, CorporateAction,
DailyFactorSnapshot, DailyMarketSnapshot, DataSet, Instrument, PortfolioState, Position,
PriceField, Strategy, StrategyContext, StrategyDecision,
};
fn d(year: i32, month: u32, day: u32) -> NaiveDate {
NaiveDate::from_ymd_opt(year, month, day).expect("valid date")
@@ -52,3 +59,271 @@ fn portfolio_settles_cash_receivable_on_payable_date() {
assert!((portfolio.cash() - 1_000_500.0).abs() < 1e-9);
assert!(portfolio.cash_receivables().is_empty());
}
struct BuyAndHoldStrategy {
first_date: NaiveDate,
}
impl Strategy for BuyAndHoldStrategy {
fn name(&self) -> &str {
"buy-and-hold"
}
fn on_day(
&mut self,
ctx: &StrategyContext<'_>,
) -> Result<StrategyDecision, fidc_core::BacktestError> {
Ok(StrategyDecision {
rebalance: false,
target_weights: BTreeMap::new(),
exit_symbols: BTreeSet::new(),
order_intents: if ctx.execution_date == self.first_date {
vec![fidc_core::OrderIntent::Shares {
symbol: "000001.SZ".to_string(),
quantity: 1_000,
reason: "initial_buy".to_string(),
}]
} else {
Vec::new()
},
notes: Vec::new(),
diagnostics: Vec::new(),
})
}
}
#[test]
fn engine_reinvests_dividend_receivable_in_round_lots() {
let buy_date = d(2025, 1, 1);
let ex_date = d(2025, 1, 2);
let payable_date = d(2025, 1, 3);
let data = DataSet::from_components_with_actions(
vec![Instrument {
symbol: "000001.SZ".to_string(),
name: "Anchor".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: buy_date,
symbol: "000001.SZ".to_string(),
timestamp: Some("2025-01-01 10:18:00".to_string()),
day_open: 10.0,
open: 10.0,
high: 10.1,
low: 9.9,
close: 10.0,
last_price: 10.0,
bid1: 10.0,
ask1: 10.0,
prev_close: 10.0,
volume: 100_000,
tick_volume: 100_000,
bid1_volume: 100_000,
ask1_volume: 100_000,
trading_phase: Some("continuous".to_string()),
paused: false,
upper_limit: 11.0,
lower_limit: 9.0,
price_tick: 0.01,
},
DailyMarketSnapshot {
date: ex_date,
symbol: "000001.SZ".to_string(),
timestamp: Some("2025-01-02 10:18:00".to_string()),
day_open: 10.0,
open: 10.0,
high: 10.1,
low: 9.9,
close: 10.0,
last_price: 10.0,
bid1: 10.0,
ask1: 10.0,
prev_close: 10.0,
volume: 100_000,
tick_volume: 100_000,
bid1_volume: 100_000,
ask1_volume: 100_000,
trading_phase: Some("continuous".to_string()),
paused: false,
upper_limit: 11.0,
lower_limit: 9.0,
price_tick: 0.01,
},
DailyMarketSnapshot {
date: payable_date,
symbol: "000001.SZ".to_string(),
timestamp: Some("2025-01-03 10:18:00".to_string()),
day_open: 10.0,
open: 10.0,
high: 10.1,
low: 9.9,
close: 10.0,
last_price: 10.0,
bid1: 10.0,
ask1: 10.0,
prev_close: 10.0,
volume: 100_000,
tick_volume: 100_000,
bid1_volume: 100_000,
ask1_volume: 100_000,
trading_phase: Some("continuous".to_string()),
paused: false,
upper_limit: 11.0,
lower_limit: 9.0,
price_tick: 0.01,
},
],
vec![
DailyFactorSnapshot {
date: buy_date,
symbol: "000001.SZ".to_string(),
market_cap_bn: 20.0,
free_float_cap_bn: 18.0,
pe_ttm: 10.0,
turnover_ratio: Some(1.0),
effective_turnover_ratio: Some(1.0),
extra_factors: BTreeMap::new(),
},
DailyFactorSnapshot {
date: ex_date,
symbol: "000001.SZ".to_string(),
market_cap_bn: 20.0,
free_float_cap_bn: 18.0,
pe_ttm: 10.0,
turnover_ratio: Some(1.0),
effective_turnover_ratio: Some(1.0),
extra_factors: BTreeMap::new(),
},
DailyFactorSnapshot {
date: payable_date,
symbol: "000001.SZ".to_string(),
market_cap_bn: 20.0,
free_float_cap_bn: 18.0,
pe_ttm: 10.0,
turnover_ratio: Some(1.0),
effective_turnover_ratio: Some(1.0),
extra_factors: BTreeMap::new(),
},
],
vec![
CandidateEligibility {
date: buy_date,
symbol: "000001.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,
},
CandidateEligibility {
date: ex_date,
symbol: "000001.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,
},
CandidateEligibility {
date: payable_date,
symbol: "000001.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: buy_date,
benchmark: "000300.SH".to_string(),
open: 100.0,
close: 100.0,
prev_close: 99.0,
volume: 1_000_000,
},
BenchmarkSnapshot {
date: ex_date,
benchmark: "000300.SH".to_string(),
open: 100.0,
close: 100.0,
prev_close: 99.0,
volume: 1_000_000,
},
BenchmarkSnapshot {
date: payable_date,
benchmark: "000300.SH".to_string(),
open: 100.0,
close: 100.0,
prev_close: 100.0,
volume: 1_000_000,
},
],
vec![CorporateAction {
date: ex_date,
symbol: "000001.SZ".to_string(),
payable_date: Some(payable_date),
share_cash: 1.05,
share_bonus: 0.0,
share_gift: 0.0,
issue_quantity: 0.0,
issue_price: 0.0,
reform: false,
adjust_factor: None,
successor_symbol: None,
successor_ratio: None,
successor_cash: None,
}],
)
.expect("dataset");
let mut engine = BacktestEngine::new(
data,
BuyAndHoldStrategy {
first_date: buy_date,
},
BrokerSimulator::new_with_execution_price(
ChinaAShareCostModel::default(),
ChinaEquityRuleHooks::default(),
PriceField::Open,
),
BacktestConfig {
initial_cash: 11_005.0,
benchmark_code: "000300.SH".to_string(),
start_date: Some(buy_date),
end_date: Some(payable_date),
decision_lag_trading_days: 0,
execution_price_field: PriceField::Open,
},
)
.with_dividend_reinvestment(true);
let result = engine.run().expect("backtest run");
let final_holding = result
.holdings_summary
.iter()
.find(|row| row.symbol == "000001.SZ")
.expect("holding");
assert_eq!(final_holding.quantity, 1_100);
assert!((result.equity_curve.last().expect("equity").cash - 1_050.0).abs() < 1e-9);
let reinvest_fill = result
.fills
.iter()
.find(|fill| fill.reason == "dividend_reinvestment")
.expect("reinvestment fill");
assert_eq!(reinvest_fill.quantity, 100);
assert_eq!(reinvest_fill.commission, 0.0);
assert_eq!(reinvest_fill.stamp_tax, 0.0);
}