修正调仓持仓报价预加载语义
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@@ -52,7 +52,7 @@ impl Strategy for DecisionQuoteReader {
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.data
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.execution_quotes_on(ctx.execution_date, "000001.SZ")
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.iter()
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.any(|quote| quote.timestamp.time() == t(10, 40, 0) && quote.last_price == 11.0);
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.any(|quote| quote.timestamp.time() == t(10, 39, 59) && quote.last_price == 11.0);
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assert!(
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quote_loaded_before_decision,
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"engine must load declared decision quote before strategy.on_day"
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@@ -199,6 +199,10 @@ fn engine_preloads_declared_decision_quotes_for_current_positions() {
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};
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let mut engine = BacktestEngine::new(data, DecisionQuoteReader::default(), broker, config)
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.with_execution_quote_loader(move |request| {
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assert_eq!(
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request.end_time, None,
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"decision quote preload must request latest quote at or before start_time"
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);
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Ok(request
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.symbols
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.into_iter()
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@@ -207,7 +211,7 @@ fn engine_preloads_declared_decision_quotes_for_current_positions() {
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symbol,
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timestamp: request
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.date
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.and_time(request.start_time.unwrap_or(t(10, 40, 0))),
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.and_time(t(10, 39, 59)),
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last_price: if request.date == second { 11.0 } else { 10.0 },
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bid1: if request.date == second { 11.0 } else { 10.0 },
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ask1: if request.date == second { 11.0 } else { 10.0 },
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