复用已预载执行报价

crates/fidc-core/src/engine.rs

@@ -1,6 +1,6 @@
 use std::collections::{BTreeMap, BTreeSet};
 
-use chrono::{Datelike, NaiveDate, NaiveTime};
+use chrono::{Datelike, Duration, NaiveDate, NaiveTime};
 use serde::Serialize;
 use thiserror::Error;
 
@@ -561,7 +561,12 @@ where
                 return false;
             }
             if start_time.is_some() && end_time.is_none() {
-                return true;
+                return !has_execution_quote_near_start_time(
+                    &self.data,
+                    execution_date,
+                    symbol,
+                    start_time.expect("checked start_time"),
+                );
             }
             !has_execution_quote_in_window(&self.data, execution_date, symbol, start_time, end_time)
         });
@@ -3348,6 +3353,24 @@ fn has_execution_quote_in_window(
     })
 }
 
+fn has_execution_quote_near_start_time(
+    data: &DataSet,
+    date: NaiveDate,
+    symbol: &str,
+    start_time: NaiveTime,
+) -> bool {
+    let cursor = date.and_time(start_time);
+    let Some(latest) = data
+        .execution_quotes_on(date, symbol)
+        .iter()
+        .filter(|quote| quote.timestamp <= cursor)
+        .max_by_key(|quote| quote.timestamp)
+    else {
+        return false;
+    };
+    cursor.signed_duration_since(latest.timestamp) <= Duration::seconds(90)
+}
+
 fn decision_has_algo_execution(decision: &StrategyDecision) -> bool {
     decision.order_intents.iter().any(|intent| {
         matches!(

crates/fidc-core/tests/decision_quote_preload.rs

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