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Add get price data helper

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This commit is contained in:
boris
2026-04-23 19:41:01 -07:00
parent bb8f40f33c
commit ca49b6dbb3
6 changed files with 123 additions and 7 deletions
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99
crates/fidc-core/src/data.rs
View File

@@ -325,6 +325,26 @@ pub struct DailySnapshotBundle {
pub corporate_actions: Vec<CorporateAction>,
}
#[derive(Debug, Clone, Serialize)]
pub struct PriceBar {
#[serde(with = "date_format")]
pub date: NaiveDate,
pub timestamp: Option<String>,
pub symbol: String,
pub frequency: String,
pub open: f64,
pub high: f64,
pub low: f64,
pub close: f64,
pub last_price: f64,
pub volume: u64,
pub amount: f64,
pub bid1: f64,
pub ask1: f64,
pub bid1_volume: u64,
pub ask1_volume: u64,
}
#[derive(Debug, Clone)]
pub struct EligibleUniverseSnapshot {
pub symbol: String,
@@ -959,6 +979,45 @@ impl DataSet {
})
}
pub fn get_price(
&self,
symbol: &str,
start: NaiveDate,
end: NaiveDate,
frequency: &str,
) -> Vec<PriceBar> {
if start > end {
return Vec::new();
}
match normalize_history_frequency(frequency).as_deref() {
Some("1d") => self
.market_by_date
.range(start..=end)
.flat_map(|(_, rows)| rows.iter())
.filter(|row| row.symbol == symbol)
.map(daily_market_price_bar)
.collect(),
Some("1m") | Some("tick") => {
let mut bars = self
.execution_quotes_index
.iter()
.filter(|((date, quote_symbol), _)| {
quote_symbol == symbol && *date >= start && *date <= end
})
.flat_map(|(_, rows)| rows.iter())
.map(intraday_quote_price_bar)
.collect::<Vec<_>>();
bars.sort_by(|left, right| {
left.date
.cmp(&right.date)
.then_with(|| left.timestamp.cmp(&right.timestamp))
});
bars
}
_ => Vec::new(),
}
}
pub fn price(&self, date: NaiveDate, symbol: &str, field: PriceField) -> Option<f64> {
let snapshot = self.market(date, symbol)?;
Some(snapshot.price(field))
@@ -1416,6 +1475,46 @@ fn intraday_quote_visible(
}
}
fn daily_market_price_bar(snapshot: &DailyMarketSnapshot) -> PriceBar {
PriceBar {
date: snapshot.date,
timestamp: snapshot.timestamp.clone(),
symbol: snapshot.symbol.clone(),
frequency: "1d".to_string(),
open: snapshot.open,
high: snapshot.high,
low: snapshot.low,
close: snapshot.close,
last_price: snapshot.last_price,
volume: snapshot.volume,
amount: 0.0,
bid1: snapshot.bid1,
ask1: snapshot.ask1,
bid1_volume: snapshot.bid1_volume,
ask1_volume: snapshot.ask1_volume,
}
}
fn intraday_quote_price_bar(snapshot: &IntradayExecutionQuote) -> PriceBar {
PriceBar {
date: snapshot.date,
timestamp: Some(snapshot.timestamp.format("%Y-%m-%d %H:%M:%S").to_string()),
symbol: snapshot.symbol.clone(),
frequency: "tick".to_string(),
open: snapshot.last_price,
high: snapshot.last_price,
low: snapshot.last_price,
close: snapshot.last_price,
last_price: snapshot.last_price,
volume: snapshot.volume_delta,
amount: snapshot.amount_delta,
bid1: snapshot.bid1,
ask1: snapshot.ask1,
bid1_volume: snapshot.bid1_volume,
ask1_volume: snapshot.ask1_volume,
}
}
fn normalize_field(field: &str) -> String {
field
.trim()

2
crates/fidc-core/src/lib.rs
View File

@@ -21,7 +21,7 @@ pub use cost::{ChinaAShareCostModel, CostModel, TradingCost};
pub use data::{
BenchmarkSnapshot, CandidateEligibility, CorporateAction, DailyFactorSnapshot,
DailyMarketSnapshot, DailySnapshotBundle, DataSet, DataSetError, EligibleUniverseSnapshot,
IntradayExecutionQuote, PriceField,
IntradayExecutionQuote, PriceBar, PriceField,
};
pub use engine::{
BacktestConfig, BacktestDayProgress, BacktestEngine, BacktestError, BacktestResult,

12
crates/fidc-core/src/strategy.rs
View File

@@ -7,7 +7,7 @@ use std::sync::OnceLock;
use chrono::{Datelike, Duration, NaiveDate, NaiveDateTime, NaiveTime};
use crate::cost::ChinaAShareCostModel;
use crate::data::{DailyMarketSnapshot, DataSet, IntradayExecutionQuote, PriceField};
use crate::data::{DailyMarketSnapshot, DataSet, IntradayExecutionQuote, PriceBar, PriceField};
use crate::engine::BacktestError;
use crate::events::{OrderSide, ProcessEvent};
use crate::instrument::Instrument;
@@ -295,6 +295,16 @@ impl StrategyContext<'_> {
.is_st_stock_flags(self.execution_date, symbol, count)
}
pub fn get_price(
&self,
symbol: &str,
start: NaiveDate,
end: NaiveDate,
frequency: &str,
) -> Vec<PriceBar> {
self.data.get_price(symbol, start, end, frequency)
}
pub fn has_subscriptions(&self) -> bool {
!self.subscriptions.is_empty()
}

1
crates/fidc-core/src/strategy_ai.rs
View File

@@ -200,6 +200,7 @@ pub fn built_in_strategy_manual() -> StrategyAiManual {
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: "is_suspended/is_st_stock".to_string(), signature: "ctx.is_suspended(symbol, count)".to_string(), detail: "读取指定证券截至当前交易日最近 count 个交易日的停牌或 ST 标记，返回 bool 序列，顺序从旧到新；对应 RQAlpha 的 is_suspended/is_st_stock 数据源能力。".to_string() },
ManualFunction { name: "get_price".to_string(), signature: "ctx.get_price(symbol, start_date, end_date, \"1d\" | \"1m\" | \"tick\")".to_string(), detail: "按日期区间读取统一 PriceBar 序列。日线返回 open/high/low/close/last/volume/盘口字段；分钟或 tick 返回按 timestamp 排序的 last/bid1/ask1/volume_delta/amount_delta 映射，便于服务层转成表格或前端明细。".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() },

10
crates/fidc-core/tests/engine_hooks.rs
View File

@@ -430,8 +430,14 @@ impl Strategy for DataApiProbeStrategy {
.len();
let suspended = bool_flags(ctx.is_suspended("000001.SZ", 3));
let st_flags = bool_flags(ctx.is_st_stock("000001.SZ", 3));
let daily_price_count = ctx
.get_price("000001.SZ", d(2025, 1, 3), ctx.execution_date, "1d")
.len();
let tick_price_count = ctx
.get_price("000001.SZ", d(2025, 1, 3), ctx.execution_date, "tick")
.len();
self.snapshots.borrow_mut().push(format!(
"daily={daily_close};previous={previous_close};tick={tick_last};previous_tick={previous_tick_last};current={current_close};instrument={instrument_name};all={};range={trading_date_count};prev={prev_date};next={next_date};suspended={suspended};st={st_flags}",
"daily={daily_close};previous={previous_close};tick={tick_last};previous_tick={previous_tick_last};current={current_close};instrument={instrument_name};all={};range={trading_date_count};prev={prev_date};next={next_date};suspended={suspended};st={st_flags};price_daily={daily_price_count};price_tick={tick_price_count}",
ctx.all_instruments().len()
));
}
@@ -1059,7 +1065,7 @@ fn strategy_context_exposes_rqalpha_style_data_helpers() {
assert_eq!(
snapshots.borrow().as_slice(),
[
"daily=10.10,10.20;previous=10.00,10.10;tick=10.15,10.25;previous_tick=10.15;current=10.20;instrument=Anchor;all=1;range=3;prev=2025-01-03;next=2025-01-06;suspended=0,1,0;st=0,1,0"
"daily=10.10,10.20;previous=10.00,10.10;tick=10.15,10.25;previous_tick=10.15;current=10.20;instrument=Anchor;all=1;range=3;prev=2025-01-03;next=2025-01-06;suspended=0,1,0;st=0,1,0;price_daily=2;price_tick=3"
]
);
}