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Expose strategy runtime data APIs

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This commit is contained in:
boris
2026-04-23 19:29:12 -07:00
parent 1760fc6cd1
commit c3ef0bd49a
9 changed files with 678 additions and 6 deletions
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crates/fidc-core/src/calendar.rs
+37
View File
@@ -49,6 +49,43 @@ impl TradingCalendar {
.and_then(|prev| self.days.get(prev).copied())
}
pub fn previous_trading_date(&self, date: NaiveDate, n: usize) -> Option<NaiveDate> {
if n == 0 {
return None;
}
let before_count = match self.days.binary_search(&date) {
Ok(idx) => idx,
Err(idx) => idx,
};
before_count
.checked_sub(n)
.and_then(|idx| self.days.get(idx).copied())
}
pub fn next_trading_date(&self, date: NaiveDate, n: usize) -> Option<NaiveDate> {
if n == 0 {
return None;
}
let first_after = match self.days.binary_search(&date) {
Ok(idx) => idx.saturating_add(1),
Err(idx) => idx,
};
first_after
.checked_add(n.saturating_sub(1))
.and_then(|idx| self.days.get(idx).copied())
}
pub fn trading_dates(&self, start: NaiveDate, end: NaiveDate) -> Vec<NaiveDate> {
if start > end {
return Vec::new();
}
self.days
.iter()
.copied()
.filter(|date| *date >= start && *date <= end)
.collect()
}
pub fn trailing_days(&self, end: NaiveDate, lookback: usize) -> Vec<NaiveDate> {
let Some(end_idx) = self.index_of(end) else {
return Vec::new();
crates/fidc-core/src/data.rs
+229
View File
@@ -776,6 +776,12 @@ impl DataSet {
&self.instruments
}
pub fn all_instruments(&self) -> Vec<&Instrument> {
let mut instruments = self.instruments.values().collect::<Vec<_>>();
instruments.sort_by(|left, right| left.symbol.cmp(&right.symbol));
instruments
}
pub fn instrument(&self, symbol: &str) -> Option<&Instrument> {
self.instruments.get(symbol)
}
@@ -829,6 +835,118 @@ impl DataSet {
self.benchmark_by_date.values().cloned().collect()
}
pub fn history_bars(
&self,
date: NaiveDate,
symbol: &str,
bar_count: usize,
frequency: &str,
field: &str,
include_now: bool,
) -> Vec<f64> {
self.history_bars_at(date, None, symbol, bar_count, frequency, field, include_now)
}
pub fn history_bars_at(
&self,
date: NaiveDate,
active_datetime: Option<NaiveDateTime>,
symbol: &str,
bar_count: usize,
frequency: &str,
field: &str,
include_now: bool,
) -> Vec<f64> {
if bar_count == 0 {
return Vec::new();
}
match normalize_history_frequency(frequency).as_deref() {
Some("1d") => self.history_daily_values(date, symbol, bar_count, field, include_now),
Some("1m") | Some("tick") => self.history_intraday_values(
date,
active_datetime,
symbol,
bar_count,
field,
include_now,
),
_ => Vec::new(),
}
}
pub fn history_daily_snapshots(
&self,
date: NaiveDate,
symbol: &str,
bar_count: usize,
include_now: bool,
) -> Vec<DailyMarketSnapshot> {
if bar_count == 0 {
return Vec::new();
}
let mut snapshots = self
.market_by_date
.iter()
.filter(|(day, _)| {
if include_now {
**day <= date
} else {
**day < date
}
})
.flat_map(|(_, rows)| rows.iter())
.filter(|row| row.symbol == symbol)
.cloned()
.collect::<Vec<_>>();
snapshots.sort_by_key(|row| row.date);
take_last(snapshots, bar_count)
}
pub fn history_intraday_quotes(
&self,
date: NaiveDate,
symbol: &str,
bar_count: usize,
include_now: bool,
) -> Vec<IntradayExecutionQuote> {
self.history_intraday_quotes_at(date, None, symbol, bar_count, include_now)
}
pub fn history_intraday_quotes_at(
&self,
date: NaiveDate,
active_datetime: Option<NaiveDateTime>,
symbol: &str,
bar_count: usize,
include_now: bool,
) -> Vec<IntradayExecutionQuote> {
if bar_count == 0 {
return Vec::new();
}
let mut quotes = self
.execution_quotes_index
.iter()
.filter(|((_, quote_symbol), _)| quote_symbol == symbol)
.flat_map(|(_, rows)| rows.iter())
.filter(|quote| intraday_quote_visible(quote, date, active_datetime, include_now))
.cloned()
.collect::<Vec<_>>();
quotes.sort_by_key(|quote| quote.timestamp);
take_last(quotes, bar_count)
}
pub fn trading_dates(&self, start: NaiveDate, end: NaiveDate) -> Vec<NaiveDate> {
self.calendar.trading_dates(start, end)
}
pub fn previous_trading_date(&self, date: NaiveDate, n: usize) -> Option<NaiveDate> {
self.calendar.previous_trading_date(date, n)
}
pub fn next_trading_date(&self, date: NaiveDate, n: usize) -> Option<NaiveDate> {
self.calendar.next_trading_date(date, n)
}
pub fn price(&self, date: NaiveDate, symbol: &str, field: PriceField) -> Option<f64> {
let snapshot = self.market(date, symbol)?;
Some(snapshot.price(field))
@@ -900,6 +1018,35 @@ impl DataSet {
.unwrap_or_default()
}
fn history_daily_values(
&self,
date: NaiveDate,
symbol: &str,
bar_count: usize,
field: &str,
include_now: bool,
) -> Vec<f64> {
self.history_daily_snapshots(date, symbol, bar_count, include_now)
.into_iter()
.filter_map(|row| daily_market_numeric_value(&row, field))
.collect()
}
fn history_intraday_values(
&self,
date: NaiveDate,
active_datetime: Option<NaiveDateTime>,
symbol: &str,
bar_count: usize,
field: &str,
include_now: bool,
) -> Vec<f64> {
self.history_intraday_quotes_at(date, active_datetime, symbol, bar_count, include_now)
.into_iter()
.filter_map(|row| intraday_quote_numeric_value(&row, field))
.collect()
}
pub fn market_decision_close(&self, date: NaiveDate, symbol: &str) -> Option<f64> {
self.market_series_by_symbol
.get(symbol)
@@ -1170,6 +1317,88 @@ fn factor_numeric_value(snapshot: &DailyFactorSnapshot, field: &str) -> Option<f
}
}
fn daily_market_numeric_value(snapshot: &DailyMarketSnapshot, field: &str) -> Option<f64> {
match normalize_field(field).as_str() {
"day_open" | "dayopen" => Some(snapshot.day_open),
"open" => Some(snapshot.open),
"high" => Some(snapshot.high),
"low" => Some(snapshot.low),
"close" | "price" => Some(snapshot.close),
"last" | "last_price" => Some(snapshot.last_price),
"prev_close" | "pre_close" => Some(snapshot.prev_close),
"volume" => Some(snapshot.volume as f64),
"tick_volume" => Some(snapshot.tick_volume as f64),
"bid1" => Some(snapshot.bid1),
"ask1" => Some(snapshot.ask1),
"bid1_volume" => Some(snapshot.bid1_volume as f64),
"ask1_volume" => Some(snapshot.ask1_volume as f64),
"upper_limit" => Some(snapshot.upper_limit),
"lower_limit" => Some(snapshot.lower_limit),
"price_tick" => Some(snapshot.price_tick),
_ => None,
}
}
fn intraday_quote_numeric_value(snapshot: &IntradayExecutionQuote, field: &str) -> Option<f64> {
match normalize_field(field).as_str() {
"last" | "last_price" | "close" | "price" => Some(snapshot.last_price),
"bid1" => Some(snapshot.bid1),
"ask1" => Some(snapshot.ask1),
"bid1_volume" => Some(snapshot.bid1_volume as f64),
"ask1_volume" => Some(snapshot.ask1_volume as f64),
"volume" | "volume_delta" => Some(snapshot.volume_delta as f64),
"amount" | "amount_delta" | "total_turnover" => Some(snapshot.amount_delta),
_ => None,
}
}
fn intraday_quote_visible(
quote: &IntradayExecutionQuote,
date: NaiveDate,
active_datetime: Option<NaiveDateTime>,
include_now: bool,
) -> bool {
if quote.date < date {
return true;
}
if quote.date > date {
return false;
}
let Some(active_datetime) = active_datetime.filter(|value| value.date() == date) else {
return include_now;
};
if include_now {
quote.timestamp <= active_datetime
} else {
quote.timestamp < active_datetime
}
}
fn normalize_field(field: &str) -> String {
field
.trim()
.trim_matches('"')
.trim_matches('\'')
.to_ascii_lowercase()
}
fn normalize_history_frequency(frequency: &str) -> Option<String> {
let normalized = normalize_field(frequency);
match normalized.as_str() {
"1d" | "d" | "day" | "daily" => Some("1d".to_string()),
"1m" | "m" | "minute" | "min" => Some("1m".to_string()),
"tick" | "t" => Some("tick".to_string()),
_ => None,
}
}
fn take_last<T>(mut rows: Vec<T>, count: usize) -> Vec<T> {
if rows.len() <= count {
return rows;
}
rows.split_off(rows.len() - count)
}
fn read_candidates(path: &Path) -> Result<Vec<CandidateEligibility>, DataSetError> {
let rows = read_rows(path)?;
let mut snapshots = Vec::new();
crates/fidc-core/src/engine.rs
+36
View File
@@ -406,6 +406,10 @@ where
subscriptions: &self.subscriptions,
process_events: &process_events,
active_process_event: None,
active_datetime: stage_datetime(
execution_date,
default_stage_time(ScheduleStage::BeforeTrading),
),
})?;
publish_phase_event(
&mut self.strategy,
@@ -509,6 +513,10 @@ where
subscriptions: &self.subscriptions,
process_events: &process_events,
active_process_event: None,
active_datetime: stage_datetime(
execution_date,
default_stage_time(ScheduleStage::OpenAuction),
),
})?);
publish_phase_event(
&mut self.strategy,
@@ -603,6 +611,10 @@ where
subscriptions: &self.subscriptions,
process_events: &process_events,
active_process_event: None,
active_datetime: stage_datetime(
execution_date,
default_stage_time(ScheduleStage::OnDay),
),
})
})
.transpose()?
@@ -685,6 +697,10 @@ where
subscriptions: &self.subscriptions,
process_events: &process_events,
active_process_event: None,
active_datetime: stage_datetime(
execution_date,
default_stage_time(ScheduleStage::Bar),
),
})?);
publish_phase_event(
&mut self.strategy,
@@ -828,6 +844,7 @@ where
subscriptions: &self.subscriptions,
process_events: &process_events,
active_process_event: None,
active_datetime: Some(quote.timestamp),
},
&quote,
)?);
@@ -929,6 +946,10 @@ where
subscriptions: &self.subscriptions,
process_events: &process_events,
active_process_event: None,
active_datetime: stage_datetime(
execution_date,
default_stage_time(ScheduleStage::AfterTrading),
),
})?;
publish_phase_event(
&mut self.strategy,
@@ -1036,6 +1057,10 @@ where
subscriptions: &self.subscriptions,
process_events: &process_events,
active_process_event: None,
active_datetime: stage_datetime(
execution_date,
default_stage_time(ScheduleStage::Settlement),
),
})?;
publish_phase_event(
&mut self.strategy,
@@ -1626,6 +1651,7 @@ fn collect_scheduled_decisions<S: Strategy>(
subscriptions,
process_events: process_events.as_slice(),
active_process_event: None,
active_datetime: stage_datetime(execution_date, current_time),
},
rule,
)?);
@@ -1686,6 +1712,7 @@ fn publish_phase_event<S: Strategy>(
subscriptions,
process_events,
active_process_event: Some(&event),
active_datetime: None,
};
strategy.on_process_event(&event_ctx, &event)?;
events.push(event);
@@ -1720,6 +1747,7 @@ fn publish_process_events<S: Strategy>(
subscriptions,
process_events,
active_process_event: Some(&event),
active_datetime: None,
};
strategy.on_process_event(&event_ctx, &event)?;
target.push(event);
@@ -1754,6 +1782,7 @@ fn publish_custom_process_event<S: Strategy>(
subscriptions,
process_events,
active_process_event: Some(&event),
active_datetime: None,
};
strategy.on_process_event(&event_ctx, &event)?;
target.push(event);
@@ -1772,6 +1801,13 @@ fn stage_label(stage: ScheduleStage) -> &'static str {
}
}
fn stage_datetime(
date: NaiveDate,
time: Option<chrono::NaiveTime>,
) -> Option<chrono::NaiveDateTime> {
time.map(|value| date.and_time(value))
}
fn should_run_tick_events(rules: &[ScheduleRule], subscriptions: &BTreeSet<String>) -> bool {
!subscriptions.is_empty() || rules.iter().any(|rule| rule.stage == ScheduleStage::Tick)
}
crates/fidc-core/src/platform_expr_strategy.rs
+12
View File
@@ -3791,6 +3791,7 @@ mod tests {
subscriptions: &subscriptions,
process_events: &[],
active_process_event: None,
active_datetime: None,
};
let mut cfg = PlatformExprStrategyConfig::microcap_rotation();
cfg.signal_symbol = "000001.SZ".to_string();
@@ -3928,6 +3929,7 @@ mod tests {
subscriptions: &subscriptions,
process_events: &[],
active_process_event: None,
active_datetime: None,
};
let mut cfg = PlatformExprStrategyConfig::microcap_rotation();
cfg.signal_symbol = "000001.SZ".to_string();
@@ -4043,6 +4045,7 @@ mod tests {
subscriptions: &subscriptions,
process_events: &[],
active_process_event: None,
active_datetime: None,
};
let mut cfg = PlatformExprStrategyConfig::microcap_rotation();
cfg.signal_symbol = "000001.SZ".to_string();
@@ -4163,6 +4166,7 @@ mod tests {
subscriptions: &subscriptions,
process_events: &[],
active_process_event: None,
active_datetime: None,
};
let mut cfg = PlatformExprStrategyConfig::microcap_rotation();
cfg.signal_symbol = "000001.SH".to_string();
@@ -4266,6 +4270,7 @@ mod tests {
subscriptions: &subscriptions,
process_events: &[],
active_process_event: None,
active_datetime: None,
};
let mut cfg = PlatformExprStrategyConfig::microcap_rotation();
cfg.signal_symbol = "000001.SH".to_string();
@@ -4364,6 +4369,7 @@ mod tests {
subscriptions: &subscriptions,
process_events: &[],
active_process_event: None,
active_datetime: None,
};
let mut cfg = PlatformExprStrategyConfig::microcap_rotation();
cfg.signal_symbol = "000001.SH".to_string();
@@ -4480,6 +4486,7 @@ mod tests {
subscriptions: &subscriptions,
process_events: &[],
active_process_event: None,
active_datetime: None,
};
let mut cfg = PlatformExprStrategyConfig::microcap_rotation();
cfg.signal_symbol = "000001.SZ".to_string();
@@ -4599,6 +4606,7 @@ mod tests {
subscriptions: &subscriptions,
process_events: &[],
active_process_event: None,
active_datetime: None,
};
let mut cfg = PlatformExprStrategyConfig::microcap_rotation();
cfg.signal_symbol = "000001.SZ".to_string();
@@ -4719,6 +4727,7 @@ mod tests {
subscriptions: &subscriptions,
process_events: &[],
active_process_event: None,
active_datetime: None,
};
let mut cfg = PlatformExprStrategyConfig::microcap_rotation();
cfg.signal_symbol = "000001.SZ".to_string();
@@ -4845,6 +4854,7 @@ mod tests {
subscriptions: &subscriptions,
process_events: &[],
active_process_event: None,
active_datetime: None,
};
let mut cfg = PlatformExprStrategyConfig::microcap_rotation();
cfg.signal_symbol = "000001.SZ".to_string();
@@ -4951,6 +4961,7 @@ mod tests {
subscriptions: &subscriptions,
process_events: &[],
active_process_event: None,
active_datetime: None,
};
let mut cfg = PlatformExprStrategyConfig::microcap_rotation();
cfg.signal_symbol = "000001.SZ".to_string();
@@ -5081,6 +5092,7 @@ mod tests {
subscriptions: &subscriptions,
process_events: &process_events,
active_process_event: None,
active_datetime: None,
};
let mut cfg = PlatformExprStrategyConfig::microcap_rotation();
cfg.signal_symbol = "000001.SZ".to_string();
crates/fidc-core/src/strategy.rs
+86 -1
View File
@@ -7,9 +7,10 @@ use std::sync::OnceLock;
use chrono::{Datelike, Duration, NaiveDate, NaiveDateTime, NaiveTime};
use crate::cost::ChinaAShareCostModel;
use crate::data::{DataSet, IntradayExecutionQuote, PriceField};
use crate::data::{DailyMarketSnapshot, DataSet, IntradayExecutionQuote, PriceField};
use crate::engine::BacktestError;
use crate::events::{OrderSide, ProcessEvent};
use crate::instrument::Instrument;
use crate::portfolio::PortfolioState;
use crate::scheduler::ScheduleRule;
use crate::universe::{DynamicMarketCapBandSelector, SelectionContext, UniverseSelector};
@@ -86,9 +87,18 @@ pub struct StrategyContext<'a> {
pub subscriptions: &'a BTreeSet<String>,
pub process_events: &'a [ProcessEvent],
pub active_process_event: Option<&'a ProcessEvent>,
pub active_datetime: Option<NaiveDateTime>,
}
impl StrategyContext<'_> {
pub fn current_datetime(&self) -> Option<NaiveDateTime> {
self.active_datetime
}
pub fn current_time(&self) -> Option<NaiveTime> {
self.active_datetime.map(|value| value.time())
}
pub fn has_open_orders(&self) -> bool {
!self.open_orders.is_empty()
}
@@ -200,6 +210,81 @@ impl StrategyContext<'_> {
}
}
pub fn current_snapshot(&self, symbol: &str) -> Option<&DailyMarketSnapshot> {
self.data.market(self.execution_date, symbol)
}
pub fn history_bars(
&self,
symbol: &str,
bar_count: usize,
frequency: &str,
field: &str,
include_now: bool,
) -> Vec<f64> {
self.data.history_bars_at(
self.execution_date,
self.active_datetime,
symbol,
bar_count,
frequency,
field,
include_now,
)
}
pub fn history_daily_snapshots(
&self,
symbol: &str,
bar_count: usize,
include_now: bool,
) -> Vec<DailyMarketSnapshot> {
self.data
.history_daily_snapshots(self.execution_date, symbol, bar_count, include_now)
}
pub fn history_intraday_quotes(
&self,
symbol: &str,
bar_count: usize,
include_now: bool,
) -> Vec<IntradayExecutionQuote> {
self.data.history_intraday_quotes_at(
self.execution_date,
self.active_datetime,
symbol,
bar_count,
include_now,
)
}
pub fn instrument(&self, symbol: &str) -> Option<&Instrument> {
self.data.instrument(symbol)
}
pub fn instruments(&self, symbols: &[&str]) -> Vec<&Instrument> {
symbols
.iter()
.filter_map(|symbol| self.data.instrument(symbol))
.collect()
}
pub fn all_instruments(&self) -> Vec<&Instrument> {
self.data.all_instruments()
}
pub fn get_trading_dates(&self, start: NaiveDate, end: NaiveDate) -> Vec<NaiveDate> {
self.data.trading_dates(start, end)
}
pub fn get_previous_trading_date(&self, date: NaiveDate, n: usize) -> Option<NaiveDate> {
self.data.previous_trading_date(date, n)
}
pub fn get_next_trading_date(&self, date: NaiveDate, n: usize) -> Option<NaiveDate> {
self.data.next_trading_date(date, n)
}
pub fn has_subscriptions(&self) -> bool {
!self.subscriptions.is_empty()
}
crates/fidc-core/src/strategy_ai.rs
+4
View File
@@ -191,6 +191,10 @@ pub fn built_in_strategy_manual() -> StrategyAiManual {
functions: vec![
ManualFunction { name: "factor".to_string(), signature: "factor(\"column_name\")".to_string(), detail: "读取当前股票的数据库因子列。".to_string() },
ManualFunction { name: "day_factor".to_string(), signature: "day_factor(\"field_name\")".to_string(), detail: "读取日级/指数级字段映射。".to_string() },
ManualFunction { name: "history_bars".to_string(), signature: "ctx.history_bars(symbol, count, \"1d\" | \"1m\" | \"tick\", \"close\", include_now)".to_string(), detail: "回测内核策略上下文数据 API，返回指定证券最近 N 条数值序列。日线字段支持 open/high/low/close/last/prev_close/volume/upper_limit/lower_limit；分钟或 tick 字段支持 last/bid1/ask1/volume_delta/amount_delta。日线 include_now=false 排除当前交易日；分钟/tick 会按当前 on_bar、on_tick 或调度时刻截断，include_now=false 排除当前 bar/tick，避免未来函数。".to_string() },
ManualFunction { name: "current_snapshot".to_string(), signature: "ctx.current_snapshot(symbol)".to_string(), detail: "读取当前交易日指定证券的日级快照，可用于获得当日 open/close/last/upper_limit/lower_limit 等字段。".to_string() },
ManualFunction { name: "instrument/instruments/all_instruments".to_string(), signature: "ctx.instrument(symbol)".to_string(), detail: "读取证券元数据，包括名称、板块、上市日期、退市日期、最小下单量、整手、最小价位等；all_instruments 按证券代码稳定排序返回全量证券。".to_string() },
ManualFunction { name: "get_trading_dates/get_previous_trading_date/get_next_trading_date".to_string(), signature: "ctx.get_previous_trading_date(date, n)".to_string(), detail: "交易日历 API。get_trading_dates 返回闭区间交易日；previous/next 返回相对某日向前或向后的第 n 个交易日，当前日自身不计入。".to_string() },
ManualFunction { name: "rolling_mean".to_string(), signature: "rolling_mean(\"field\", lookback)".to_string(), detail: "任意字段滚动均值，支持 volume/amount/turnover_ratio、signal_open/signal_close、benchmark_open/benchmark_close 等。任意成交量窗口推荐用它，比如 rolling_mean(\"volume\", 15)。".to_string() },
ManualFunction { name: "sma".to_string(), signature: "sma(\"field\", lookback)".to_string(), detail: "rolling_mean 的别名。任意价格均线窗口推荐用它，比如 sma(\"close\", 15)。".to_string() },
ManualFunction { name: "round/floor/ceil/abs/min/max/clamp".to_string(), signature: "round(x)".to_string(), detail: "常用数值函数。".to_string() },