复用已预载执行报价
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boris
@@ -228,6 +228,189 @@ fn engine_preloads_declared_decision_quotes_for_current_positions() {
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engine.run().expect("backtest should run");
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}
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#[test]
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fn engine_reuses_preloaded_decision_quotes_without_loader_call() {
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let first = d(2026, 1, 5);
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let second = d(2026, 1, 6);
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let data = DataSet::from_components_with_actions_and_quotes(
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Vec::new(),
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vec![
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DailyMarketSnapshot {
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date: first,
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symbol: "000001.SZ".to_string(),
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timestamp: Some("2026-01-05 15:00:00".to_string()),
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day_open: 10.0,
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open: 10.0,
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high: 10.2,
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low: 9.9,
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close: 10.0,
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last_price: 10.0,
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bid1: 10.0,
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ask1: 10.0,
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prev_close: 9.8,
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volume: 10_000,
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tick_volume: 1_000,
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bid1_volume: 10_000,
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ask1_volume: 10_000,
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trading_phase: Some("continuous".to_string()),
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paused: false,
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upper_limit: 10.78,
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lower_limit: 8.82,
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price_tick: 0.01,
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},
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DailyMarketSnapshot {
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date: second,
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symbol: "000001.SZ".to_string(),
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timestamp: Some("2026-01-06 15:00:00".to_string()),
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day_open: 10.5,
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open: 10.5,
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high: 11.2,
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low: 10.4,
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close: 10.6,
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last_price: 10.6,
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bid1: 10.6,
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ask1: 10.6,
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prev_close: 10.0,
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volume: 10_000,
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tick_volume: 1_000,
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bid1_volume: 10_000,
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ask1_volume: 10_000,
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trading_phase: Some("continuous".to_string()),
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paused: false,
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upper_limit: 11.0,
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lower_limit: 9.0,
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price_tick: 0.01,
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},
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],
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vec![
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DailyFactorSnapshot {
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date: first,
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symbol: "000001.SZ".to_string(),
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market_cap_bn: 10.0,
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free_float_cap_bn: 10.0,
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pe_ttm: 10.0,
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turnover_ratio: None,
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effective_turnover_ratio: None,
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extra_factors: Default::default(),
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},
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DailyFactorSnapshot {
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date: second,
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symbol: "000001.SZ".to_string(),
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market_cap_bn: 10.0,
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free_float_cap_bn: 10.0,
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pe_ttm: 10.0,
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turnover_ratio: None,
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effective_turnover_ratio: None,
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extra_factors: Default::default(),
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},
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],
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vec![
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CandidateEligibility {
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date: first,
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symbol: "000001.SZ".to_string(),
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is_st: false,
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is_new_listing: false,
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is_paused: false,
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allow_buy: true,
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allow_sell: true,
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is_kcb: false,
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is_one_yuan: false,
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risk_level_code: None,
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},
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CandidateEligibility {
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date: second,
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symbol: "000001.SZ".to_string(),
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is_st: false,
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is_new_listing: false,
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is_paused: false,
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allow_buy: true,
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allow_sell: true,
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is_kcb: false,
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is_one_yuan: false,
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risk_level_code: None,
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},
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],
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vec![
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BenchmarkSnapshot {
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date: first,
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benchmark: "000852.SH".to_string(),
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open: 1000.0,
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close: 1000.0,
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prev_close: 990.0,
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volume: 1_000_000,
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},
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BenchmarkSnapshot {
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date: second,
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benchmark: "000852.SH".to_string(),
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open: 1000.0,
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close: 1001.0,
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prev_close: 1000.0,
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volume: 1_000_000,
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},
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],
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Vec::new(),
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vec![
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IntradayExecutionQuote {
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date: first,
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symbol: "000001.SZ".to_string(),
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timestamp: first.and_time(t(10, 39, 59)),
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last_price: 10.0,
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bid1: 10.0,
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ask1: 10.0,
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bid1_volume: 10_000,
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ask1_volume: 10_000,
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volume_delta: 10_000,
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amount_delta: 100_000.0,
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trading_phase: Some("continuous".to_string()),
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},
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IntradayExecutionQuote {
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date: second,
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symbol: "000001.SZ".to_string(),
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timestamp: second.and_time(t(10, 39, 59)),
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last_price: 11.0,
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bid1: 11.0,
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ask1: 11.0,
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bid1_volume: 10_000,
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ask1_volume: 10_000,
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volume_delta: 10_000,
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amount_delta: 100_000.0,
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trading_phase: Some("continuous".to_string()),
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},
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],
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)
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.expect("dataset");
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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_matching_type(MatchingType::NextTickLast)
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.with_intraday_execution_start_time(t(10, 40, 0));
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let config = BacktestConfig {
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initial_cash: 10_000.0,
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benchmark_code: "000852.SH".to_string(),
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start_date: Some(first),
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end_date: Some(second),
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decision_lag_trading_days: 0,
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execution_price_field: PriceField::Last,
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};
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let loader_calls = Arc::new(Mutex::new(0usize));
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let captured_loader_calls = Arc::clone(&loader_calls);
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let mut engine = BacktestEngine::new(data, DecisionQuoteReader::default(), broker, config)
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.with_execution_quote_loader(move |_| {
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*captured_loader_calls.lock().expect("loader mutex") += 1;
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Ok(Vec::new())
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});
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engine.run().expect("backtest should run");
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assert_eq!(
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*loader_calls.lock().expect("loader mutex"),
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0,
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"preloaded execution quotes should satisfy decision-time quote requests"
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);
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}
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#[derive(Default)]
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struct MultiTimeDecisionQuoteReader {
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day_count: usize,
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