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Execute open auction strategy decisions

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This commit is contained in:
boris
2026-04-23 00:41:32 -07:00
parent f0eec05b88
commit c27901306d
3 changed files with 164 additions and 6 deletions
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17
crates/fidc-core/src/engine.rs
View File

@@ -203,7 +203,13 @@ where
portfolio: &portfolio,
};
self.strategy.before_trading(&daily_context)?;
self.strategy.open_auction(&daily_context)?;
let auction_decision = self.strategy.open_auction(&daily_context)?;
let mut report = self.broker.execute(
execution_date,
&mut portfolio,
&self.data,
&auction_decision,
)?;
let decision = decision_slot
.map(|(decision_idx, decision_date)| {
@@ -218,9 +224,16 @@ where
.transpose()?
.unwrap_or_default();
let report =
let intraday_report =
self.broker
.execute(execution_date, &mut portfolio, &self.data, &decision)?;
report.order_events.extend(intraday_report.order_events);
report.fill_events.extend(intraday_report.fill_events);
report
.position_events
.extend(intraday_report.position_events);
report.account_events.extend(intraday_report.account_events);
report.diagnostics.extend(intraday_report.diagnostics);
let daily_fill_count = report.fill_events.len();
let day_orders = report.order_events.clone();
let day_fills = report.fill_events.clone();

7
crates/fidc-core/src/strategy.rs
View File

@@ -18,8 +18,11 @@ pub trait Strategy {
fn before_trading(&mut self, _ctx: &StrategyContext<'_>) -> Result<(), BacktestError> {
Ok(())
}
fn open_auction(&mut self, _ctx: &StrategyContext<'_>) -> Result<(), BacktestError> {
Ok(())
fn open_auction(
&mut self,
_ctx: &StrategyContext<'_>,
) -> Result<StrategyDecision, BacktestError> {
Ok(StrategyDecision::default())
}
fn on_day(&mut self, ctx: &StrategyContext<'_>) -> Result<StrategyDecision, BacktestError>;
fn after_trading(&mut self, _ctx: &StrategyContext<'_>) -> Result<(), BacktestError> {

146
crates/fidc-core/tests/engine_hooks.rs
View File

@@ -32,11 +32,14 @@ impl Strategy for HookProbeStrategy {
Ok(())
}
fn open_auction(&mut self, ctx: &StrategyContext<'_>) -> Result<(), fidc_core::BacktestError> {
fn open_auction(
&mut self,
ctx: &StrategyContext<'_>,
) -> Result<StrategyDecision, fidc_core::BacktestError> {
self.log
.borrow_mut()
.push(format!("auction:{}", ctx.execution_date));
Ok(())
Ok(StrategyDecision::default())
}
fn on_day(
@@ -71,6 +74,47 @@ impl Strategy for HookProbeStrategy {
}
}
struct AuctionOrderStrategy {
saw_quantity_in_on_day: Rc<RefCell<Option<u32>>>,
}
impl Strategy for AuctionOrderStrategy {
fn name(&self) -> &str {
"auction-order"
}
fn open_auction(
&mut self,
_ctx: &StrategyContext<'_>,
) -> Result<StrategyDecision, fidc_core::BacktestError> {
Ok(StrategyDecision {
rebalance: false,
target_weights: BTreeMap::new(),
exit_symbols: BTreeSet::new(),
order_intents: vec![fidc_core::OrderIntent::Value {
symbol: "000001.SZ".to_string(),
value: 1_000.0,
reason: "auction_buy".to_string(),
}],
notes: Vec::new(),
diagnostics: Vec::new(),
})
}
fn on_day(
&mut self,
ctx: &StrategyContext<'_>,
) -> Result<StrategyDecision, fidc_core::BacktestError> {
let quantity = ctx
.portfolio
.position("000001.SZ")
.map(|position| position.quantity)
.unwrap_or(0);
*self.saw_quantity_in_on_day.borrow_mut() = Some(quantity);
Ok(StrategyDecision::default())
}
}
#[test]
fn engine_runs_strategy_hooks_in_daily_order() {
let date1 = d(2025, 1, 2);
@@ -239,3 +283,101 @@ fn engine_runs_strategy_hooks_in_daily_order() {
]
);
}
#[test]
fn engine_executes_open_auction_decisions_before_on_day() {
let date = d(2025, 1, 2);
let data = DataSet::from_components(
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,
symbol: "000001.SZ".to_string(),
timestamp: Some("2025-01-02 09:25:00".to_string()),
day_open: 10.0,
open: 10.0,
high: 10.0,
low: 10.0,
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("open_auction".to_string()),
paused: false,
upper_limit: 11.0,
lower_limit: 9.0,
price_tick: 0.01,
}],
vec![DailyFactorSnapshot {
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,
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,
benchmark: "000300.SH".to_string(),
open: 100.0,
close: 100.0,
prev_close: 99.0,
volume: 1_000_000,
}],
)
.expect("dataset");
let observed_quantity = Rc::new(RefCell::new(None));
let strategy = AuctionOrderStrategy {
saw_quantity_in_on_day: observed_quantity.clone(),
};
let broker = BrokerSimulator::new_with_execution_price(
ChinaAShareCostModel::default(),
ChinaEquityRuleHooks::default(),
PriceField::DayOpen,
);
let mut engine = BacktestEngine::new(
data,
strategy,
broker,
BacktestConfig {
initial_cash: 10_000.0,
benchmark_code: "000300.SH".to_string(),
start_date: Some(date),
end_date: Some(date),
decision_lag_trading_days: 0,
execution_price_field: PriceField::DayOpen,
},
);
let result = engine.run().expect("backtest run");
assert_eq!(*observed_quantity.borrow(), Some(100));
assert_eq!(result.fills.len(), 1);
assert_eq!(result.fills[0].reason, "auction_buy");
assert_eq!(result.fills[0].quantity, 100);
}