增加通用期货策略动作并修正组合净值

crates/fidc-core/tests/engine_hooks.rs

@@ -9,11 +9,12 @@ use fidc_core::{
     BenchmarkSnapshot, BrokerSimulator, CandidateEligibility, ChinaAShareCostModel,
     ChinaEquityRuleHooks, DailyFactorSnapshot, DailyMarketSnapshot, DataSet, ExecutionQuoteRequest,
     FuturesAccountState, FuturesCommissionType, FuturesContractSpec, FuturesDirection,
-    FuturesOrderIntent, FuturesTradingParameter, FuturesValidationConfig, Instrument,
-    IntradayExecutionQuote, IntradayOrderBookDepthLevel, MatchingType, OpenOrderView, OrderIntent,
-    OrderSide, OrderStatus, PlatformExprStrategy, PlatformExprStrategyConfig, PortfolioState,
-    PriceField, ProcessEvent, ProcessEventBus, ProcessEventKind, ScheduleRule, ScheduleStage,
-    ScheduleTimeRule, Strategy, StrategyContext, StrategyDecision,
+    FuturesOrderIntent, FuturesPositionEffect, FuturesTradingParameter, FuturesValidationConfig,
+    Instrument, IntradayExecutionQuote, IntradayOrderBookDepthLevel, MatchingType, OpenOrderView,
+    OrderIntent, OrderSide, OrderStatus, PlatformExprStrategy, PlatformExprStrategyConfig,
+    PlatformTradeAction, PortfolioState, PriceField, ProcessEvent, ProcessEventBus,
+    ProcessEventKind, ScheduleRule, ScheduleStage, ScheduleTimeRule, Strategy, StrategyContext,
+    StrategyDecision,
 };
 
 fn d(year: i32, month: u32, day: u32) -> NaiveDate {
@@ -1475,6 +1476,73 @@ fn engine_executes_futures_order_intents_against_future_account() {
     assert!((futures_account.cash() - 355_988.0).abs() < 1e-6);
 }
 
+#[test]
+fn platform_runtime_actions_execute_generic_futures_open_and_close() {
+    let mut cfg = PlatformExprStrategyConfig::generic();
+    cfg.signal_symbol = "000001.SZ".to_string();
+    cfg.benchmark_symbol = "000300.SH".to_string();
+    cfg.rotation_enabled = false;
+    cfg.benchmark_short_ma_days = 1;
+    cfg.benchmark_long_ma_days = 1;
+    cfg.explicit_actions = vec![
+        PlatformTradeAction::Futures {
+            symbol: "IF2501".to_string(),
+            direction: FuturesDirection::Long,
+            effect: FuturesPositionEffect::Open,
+            quantity_expr: "1".to_string(),
+            limit_price_expr: None,
+            transaction_cost_expr: None,
+            when_expr: Some("decision_date == \"2025-01-02\"".to_string()),
+            reason: "generic futures open".to_string(),
+        },
+        PlatformTradeAction::Futures {
+            symbol: "IF2501".to_string(),
+            direction: FuturesDirection::Long,
+            effect: FuturesPositionEffect::Close,
+            quantity_expr: "1".to_string(),
+            limit_price_expr: None,
+            transaction_cost_expr: None,
+            when_expr: Some("decision_date == \"2025-01-03\"".to_string()),
+            reason: "generic futures close".to_string(),
+        },
+    ];
+    let broker = BrokerSimulator::new_with_execution_price(
+        ChinaAShareCostModel::default(),
+        ChinaEquityRuleHooks::default(),
+        PriceField::Open,
+    );
+    let mut engine = BacktestEngine::new(
+        two_day_futures_data(),
+        PlatformExprStrategy::new(cfg),
+        broker,
+        BacktestConfig {
+            initial_cash: 100_000.0,
+            benchmark_code: "000300.SH".to_string(),
+            start_date: Some(d(2025, 1, 2)),
+            end_date: Some(d(2025, 1, 3)),
+            decision_lag_trading_days: 0,
+            execution_price_field: PriceField::Open,
+        },
+    )
+    .with_futures_initial_cash(500_000.0);
+
+    let result = engine.run().expect("generic futures actions execute");
+
+    let futures_fills = result
+        .fills
+        .iter()
+        .filter(|fill| fill.symbol == "IF2501")
+        .collect::<Vec<_>>();
+    assert_eq!(futures_fills.len(), 2);
+    assert!((futures_fills[0].price - 4000.0).abs() < 1e-12);
+    assert!((futures_fills[0].commission - 2.5).abs() < 1e-12);
+    assert!((futures_fills[1].price - 3988.0).abs() < 1e-12);
+    assert!((futures_fills[1].commission - 2.0).abs() < 1e-12);
+    let futures_account = engine.futures_account().expect("future account");
+    assert!(futures_account.positions().is_empty());
+    assert!((futures_account.total_cash() - 496_395.5).abs() < 1e-12);
+}
+
 #[test]
 fn engine_settles_configured_futures_expiration_at_settlement() {
     let date = d(2025, 1, 2);
@@ -1550,7 +1618,9 @@ fn engine_aggregates_futures_account_into_nav_and_metrics() {
 
     assert_eq!(result.metrics.initial_cash, 600_000.0);
     assert!((result.equity_curve[0].total_equity - 599_988.0).abs() < 1e-6);
+    assert!((result.equity_curve[0].unit_nav - 0.99998).abs() < 1e-12);
     assert!((result.metrics.total_assets - 599_988.0).abs() < 1e-6);
+    assert!((result.metrics.total_return + 0.00002).abs() < 1e-12);
     assert_eq!(result.analyzer_report().trades.len(), result.fills.len());
     assert_eq!(result.analyzer_report().monthly_returns.len(), 1);
     assert_eq!(