修正下一开盘目标仓位计算
This commit is contained in:
boris
+103
-12
@@ -1728,6 +1728,7 @@ where
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daily_holdings: Vec::new(),
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metrics: BacktestMetrics::default(),
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};
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let mut stock_equity_by_date = BTreeMap::<NaiveDate, f64>::new();
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for (execution_idx, execution_date) in execution_dates.iter().copied().enumerate() {
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let mut corporate_action_notes = Vec::new();
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@@ -1875,8 +1876,12 @@ where
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process_events: day_process_events,
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});
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result.process_events.append(&mut process_events);
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stock_equity_by_date.insert(execution_date, portfolio.total_equity());
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continue;
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};
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let decision_total_equity = (decision_date < execution_date)
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.then(|| stock_equity_by_date.get(&decision_date).copied())
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.flatten();
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let mut process_events = Vec::new();
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let mut directive_report = BrokerExecutionReport::default();
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let pre_open_orders = self.open_order_views();
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@@ -2073,10 +2078,11 @@ where
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None,
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None,
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)?;
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let mut report = self.broker.execute_with_event_dates(
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let mut report = self.broker.execute_with_event_dates_and_decision_equity(
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execution_date,
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decision_date,
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decision_date,
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decision_total_equity,
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&mut portfolio,
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&self.data,
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&auction_decision,
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@@ -2321,10 +2327,11 @@ where
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None,
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None,
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)?;
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let mut intraday_report = self.broker.execute_with_event_dates(
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let mut intraday_report = self.broker.execute_with_event_dates_and_decision_equity(
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execution_date,
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decision_date,
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decision_date,
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decision_total_equity,
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&mut portfolio,
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&self.data,
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&decision,
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@@ -2492,16 +2499,19 @@ where
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Some(minute_time),
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Some(minute_time),
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)?;
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let mut minute_report = self.broker.execute_between_with_event_dates(
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execution_date,
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decision_date,
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decision_date,
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&mut portfolio,
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&self.data,
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&minute_decision,
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Some(minute_time),
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Some(minute_time),
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)?;
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let mut minute_report = self
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.broker
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.execute_between_with_event_dates_and_decision_equity(
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execution_date,
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decision_date,
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decision_date,
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decision_total_equity,
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&mut portfolio,
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&self.data,
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&minute_decision,
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Some(minute_time),
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Some(minute_time),
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)?;
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let post_minute_open_orders = self.open_order_views();
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publish_process_events(
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&mut self.strategy,
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@@ -2888,6 +2898,7 @@ where
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process_events: day_process_events,
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});
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result.process_events.extend(process_events);
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stock_equity_by_date.insert(execution_date, portfolio.total_equity());
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}
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if let Some(last_date) = execution_dates.last().copied() {
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@@ -4323,6 +4334,43 @@ mod tests {
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}
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}
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#[derive(Debug)]
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struct ScheduledTargetPercentStrategy {
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first_decision_date: NaiveDate,
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second_decision_date: NaiveDate,
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}
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impl Strategy for ScheduledTargetPercentStrategy {
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fn name(&self) -> &str {
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"scheduled_target_percent"
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}
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fn on_day(
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&mut self,
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ctx: &StrategyContext<'_>,
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) -> Result<StrategyDecision, super::BacktestError> {
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let order_intents = if ctx.decision_date == self.first_decision_date {
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vec![OrderIntent::Shares {
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symbol: SYMBOL.to_string(),
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quantity: 1_000,
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reason: "initial_position".to_string(),
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}]
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} else if ctx.decision_date == self.second_decision_date {
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vec![OrderIntent::TargetPercent {
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symbol: SYMBOL.to_string(),
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target_percent: 0.5,
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reason: "frozen_target_percent".to_string(),
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}]
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} else {
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Vec::new()
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};
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Ok(StrategyDecision {
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order_intents,
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..StrategyDecision::default()
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})
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}
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}
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#[derive(Debug)]
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struct ScheduledEligibleUniverseBuyStrategy {
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rule: ScheduleRule,
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@@ -5003,6 +5051,49 @@ mod tests {
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assert_eq!(result.fills[0].quantity, 8_300);
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}
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#[test]
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fn next_bar_open_target_percent_freezes_decision_day_equity() {
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let first = d(2025, 1, 2);
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let second = d(2025, 1, 3);
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let third = d(2025, 1, 6);
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let dataset = dataset_from_market_and_candidates(
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vec![
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market(first, 10.0, 10.0),
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market(second, 10.0, 10.0),
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market(third, 20.0, 20.0),
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],
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vec![candidate(first), candidate(second), candidate(third)],
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);
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let config = BacktestConfig {
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initial_cash: 100_000.0,
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benchmark_code: "000852.SH".to_string(),
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start_date: Some(first),
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end_date: Some(third),
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decision_lag_trading_days: 1,
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execution_price_field: PriceField::Open,
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};
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let result = BacktestEngine::new(
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dataset,
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ScheduledTargetPercentStrategy {
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first_decision_date: first,
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second_decision_date: second,
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},
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scheduled_next_open_broker(FidcRiskControlConfig::default()),
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config,
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)
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.run()
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.expect("backtest run");
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assert_eq!(result.fills.len(), 2, "fills={:?}", result.fills);
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assert_eq!(result.fills[0].date, second);
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assert_eq!(result.fills[0].quantity, 1_000);
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assert_eq!(result.fills[1].date, third);
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assert_eq!(result.fills[1].price, 20.0);
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assert_eq!(result.fills[1].quantity, 1_400);
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assert_eq!(result.fills[1].decision_date, Some(second));
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}
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#[test]
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fn next_bar_open_executes_last_decision_without_execution_day_factor_snapshot() {
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let first = d(2025, 1, 2);
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