修正FiRisk强平执行时间口径
This commit is contained in:
boris
@@ -908,6 +908,29 @@ where
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commission_state,
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report,
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),
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OrderIntent::TimedTargetValue {
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symbol,
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target_value,
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style,
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start_time,
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end_time,
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reason,
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} => self.process_timed_target_value(
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date,
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portfolio,
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data,
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symbol,
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*target_value,
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*style,
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*start_time,
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*end_time,
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reason,
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intraday_turnover,
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execution_cursors,
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global_execution_cursor,
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commission_state,
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report,
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),
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OrderIntent::LimitTargetValue {
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symbol,
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target_value,
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@@ -3011,6 +3034,118 @@ where
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Ok(())
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}
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#[allow(clippy::too_many_arguments)]
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fn process_timed_target_value(
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&self,
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date: NaiveDate,
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portfolio: &mut PortfolioState,
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data: &DataSet,
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symbol: &str,
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target_value: f64,
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style: AlgoOrderStyle,
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start_time: Option<NaiveTime>,
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end_time: Option<NaiveTime>,
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reason: &str,
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intraday_turnover: &mut BTreeMap<String, u32>,
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execution_cursors: &mut BTreeMap<String, NaiveDateTime>,
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global_execution_cursor: &mut Option<NaiveDateTime>,
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commission_state: &mut BTreeMap<u64, f64>,
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report: &mut BrokerExecutionReport,
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) -> Result<(), BacktestError> {
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let snapshot = data
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.market(date, symbol)
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.ok_or_else(|| BacktestError::MissingPrice {
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date,
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symbol: symbol.to_string(),
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field: price_field_name(self.execution_price_field),
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})?;
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let current_qty = portfolio
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.position(symbol)
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.map(|pos| pos.quantity)
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.unwrap_or(0);
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let algo_request = AlgoExecutionRequest {
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style: match style {
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AlgoOrderStyle::Vwap => AlgoExecutionStyle::Vwap,
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AlgoOrderStyle::Twap => AlgoExecutionStyle::Twap,
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},
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start_time,
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end_time,
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};
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if target_value <= f64::EPSILON {
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if current_qty == 0 {
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report.order_events.push(OrderEvent {
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date,
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order_id: None,
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symbol: symbol.to_string(),
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side: OrderSide::Sell,
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requested_quantity: 0,
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filled_quantity: 0,
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status: OrderStatus::Filled,
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reason: format!("{reason}: already at target value"),
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});
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return Ok(());
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}
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self.process_sell(
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date,
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portfolio,
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data,
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symbol,
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current_qty,
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self.reserve_order_id(),
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reason,
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intraday_turnover,
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execution_cursors,
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global_execution_cursor,
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commission_state,
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None,
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false,
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true,
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Some(&algo_request),
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report,
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)?;
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return Ok(());
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}
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let valuation_price = self.target_value_valuation_price(date, data, symbol, snapshot);
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let current_value = valuation_price * current_qty as f64;
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let cash_delta = target_value.max(0.0) - current_value;
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if cash_delta.abs() > f64::EPSILON {
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self.process_algo_value(
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date,
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portfolio,
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data,
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symbol,
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cash_delta,
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style,
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start_time,
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end_time,
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reason,
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intraday_turnover,
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execution_cursors,
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global_execution_cursor,
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commission_state,
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report,
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)?;
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} else {
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report.order_events.push(OrderEvent {
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date,
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order_id: None,
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symbol: symbol.to_string(),
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side: if current_qty > 0 {
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OrderSide::Sell
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} else {
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OrderSide::Buy
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},
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requested_quantity: 0,
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filled_quantity: 0,
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status: OrderStatus::Filled,
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reason: format!("{reason}: already at target value"),
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});
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}
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Ok(())
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}
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fn process_target_shares(
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&self,
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date: NaiveDate,
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@@ -5265,6 +5400,7 @@ mod tests {
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use crate::instrument::Instrument;
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use crate::portfolio::PortfolioState;
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use crate::rules::ChinaEquityRuleHooks;
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use crate::strategy::AlgoOrderStyle;
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fn limit_test_snapshot() -> DailyMarketSnapshot {
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let date = chrono::NaiveDate::from_ymd_opt(2025, 1, 2).expect("valid date");
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@@ -5410,6 +5546,87 @@ mod tests {
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);
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}
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#[test]
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fn timed_target_value_zero_sells_full_position_at_requested_time_quote() {
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let date = chrono::NaiveDate::from_ymd_opt(2025, 1, 2).expect("valid date");
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let prev_date = chrono::NaiveDate::from_ymd_opt(2025, 1, 1).expect("valid date");
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let symbol = "000001.SZ";
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let broker = BrokerSimulator::new_with_execution_price(
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ChinaAShareCostModel::default(),
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ChinaEquityRuleHooks,
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PriceField::Last,
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)
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.with_intraday_execution_start_time(date.and_hms_opt(10, 18, 0).unwrap().time())
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.with_matching_type(MatchingType::NextTickLast)
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.with_slippage_model(SlippageModel::PriceRatio(0.001))
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.with_volume_limit(false)
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.with_liquidity_limit(false);
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let mut snapshot = limit_test_snapshot();
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snapshot.symbol = symbol.to_string();
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snapshot.last_price = 4.21;
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snapshot.close = 4.21;
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snapshot.bid1 = 4.20;
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snapshot.ask1 = 4.22;
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snapshot.prev_close = 4.15;
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snapshot.upper_limit = 4.98;
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snapshot.lower_limit = 3.32;
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let mut quote_0931 = limit_test_quote(4.11, 4.10, 4.12);
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quote_0931.symbol = symbol.to_string();
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quote_0931.timestamp = date.and_hms_opt(9, 31, 0).expect("valid timestamp");
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let mut quote_1018 = limit_test_quote(4.21, 4.20, 4.22);
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quote_1018.symbol = symbol.to_string();
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quote_1018.timestamp = date.and_hms_opt(10, 18, 0).expect("valid timestamp");
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let data = DataSet::from_components_with_actions_and_quotes(
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vec![limit_test_instrument()],
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vec![snapshot],
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Vec::new(),
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vec![limit_test_candidate(true, true)],
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vec![limit_test_benchmark()],
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Vec::new(),
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vec![quote_0931, quote_1018],
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)
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.expect("valid dataset");
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let mut portfolio = PortfolioState::new(1_000_000.0);
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portfolio.position_mut(symbol).buy(prev_date, 72_600, 4.0);
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portfolio.apply_cash_delta(-290_400.0);
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let mut report = BrokerExecutionReport::default();
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broker
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.process_timed_target_value(
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date,
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&mut portfolio,
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&data,
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symbol,
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0.0,
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AlgoOrderStyle::Twap,
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Some(date.and_hms_opt(9, 31, 0).unwrap().time()),
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Some(date.and_hms_opt(9, 31, 0).unwrap().time()),
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"risk_forced_exit",
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&mut BTreeMap::new(),
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&mut BTreeMap::new(),
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&mut None,
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&mut BTreeMap::new(),
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&mut report,
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)
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.expect("timed target value");
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assert!(
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!report.fill_events.is_empty(),
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"order_events={:?}",
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report.order_events
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);
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let fill = report.fill_events.last().expect("fill event");
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assert_eq!(fill.quantity, 72_600);
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assert!((fill.price - 4.10589).abs() < 1e-6, "{fill:?}");
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assert_eq!(
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portfolio
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.position(symbol)
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.map(|position| position.quantity)
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.unwrap_or(0),
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0
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);
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}
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#[test]
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fn aiquant_target_value_delta_uses_scheduled_mark_price() {
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let date = chrono::NaiveDate::from_ymd_opt(2023, 5, 8).expect("valid date");
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