Execute open auction strategy decisions

crates/fidc-core/tests/engine_hooks.rs

@@ -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);
+}