Expose futures account runtime view

crates/fidc-core/src/engine.rs

@@ -12,6 +12,7 @@ use crate::events::{
     AccountEvent, FillEvent, OrderEvent, OrderSide, OrderStatus, PositionEvent, ProcessEvent,
     ProcessEventKind,
 };
+use crate::futures::FuturesAccountState;
 use crate::metrics::{BacktestMetrics, compute_backtest_metrics};
 use crate::portfolio::{CashReceivable, HoldingSummary, PortfolioState};
 use crate::rules::EquityRuleHooks;
@@ -101,6 +102,7 @@ pub struct BacktestEngine<S, C, R> {
     process_event_bus: ProcessEventBus,
     dynamic_universe: Option<BTreeSet<String>>,
     subscriptions: BTreeSet<String>,
+    futures_account: Option<FuturesAccountState>,
 }
 
 impl<S, C, R> BacktestEngine<S, C, R> {
@@ -119,6 +121,7 @@ impl<S, C, R> BacktestEngine<S, C, R> {
             process_event_bus: ProcessEventBus::new(),
             dynamic_universe: None,
             subscriptions: BTreeSet::new(),
+            futures_account: None,
         }
     }
 
@@ -127,6 +130,23 @@ impl<S, C, R> BacktestEngine<S, C, R> {
         self
     }
 
+    pub fn with_futures_account(mut self, account: FuturesAccountState) -> Self {
+        self.futures_account = Some(account);
+        self
+    }
+
+    pub fn with_futures_initial_cash(self, initial_cash: f64) -> Self {
+        self.with_futures_account(FuturesAccountState::new(initial_cash))
+    }
+
+    pub fn futures_account(&self) -> Option<&FuturesAccountState> {
+        self.futures_account.as_ref()
+    }
+
+    pub fn futures_account_mut(&mut self) -> Option<&mut FuturesAccountState> {
+        self.futures_account.as_mut()
+    }
+
     pub fn process_event_bus_mut(&mut self) -> &mut ProcessEventBus {
         &mut self.process_event_bus
     }
@@ -184,6 +204,7 @@ where
                         decision_index,
                         &self.data,
                         portfolio,
+                        self.futures_account.as_ref(),
                         open_orders,
                         self.dynamic_universe.as_ref(),
                         &self.subscriptions,
@@ -224,6 +245,7 @@ where
                             decision_index,
                             &self.data,
                             portfolio,
+                            self.futures_account.as_ref(),
                             open_orders,
                             self.dynamic_universe.as_ref(),
                             &self.subscriptions,
@@ -264,6 +286,7 @@ where
                             decision_index,
                             &self.data,
                             portfolio,
+                            self.futures_account.as_ref(),
                             open_orders,
                             self.dynamic_universe.as_ref(),
                             &self.subscriptions,
@@ -333,6 +356,7 @@ where
                         decision_index,
                         &self.data,
                         &*portfolio,
+                        self.futures_account.as_ref(),
                         open_orders,
                         self.dynamic_universe.as_ref(),
                         &self.subscriptions,
@@ -378,6 +402,7 @@ where
                         decision_index,
                         &self.data,
                         &*portfolio,
+                        self.futures_account.as_ref(),
                         open_orders,
                         self.dynamic_universe.as_ref(),
                         &self.subscriptions,
@@ -411,6 +436,7 @@ where
                         decision_index,
                         &self.data,
                         &*portfolio,
+                        self.futures_account.as_ref(),
                         open_orders,
                         self.dynamic_universe.as_ref(),
                         &self.subscriptions,
@@ -540,6 +566,7 @@ where
                 decision_index,
                 &self.data,
                 &portfolio,
+                self.futures_account.as_ref(),
                 &pre_open_orders,
                 self.dynamic_universe.as_ref(),
                 &self.subscriptions,
@@ -554,6 +581,7 @@ where
                 decision_index,
                 data: &self.data,
                 portfolio: &portfolio,
+                futures_account: self.futures_account.as_ref(),
                 open_orders: &pre_open_orders,
                 dynamic_universe: self.dynamic_universe.as_ref(),
                 subscriptions: &self.subscriptions,
@@ -574,6 +602,7 @@ where
                 decision_index,
                 &self.data,
                 &portfolio,
+                self.futures_account.as_ref(),
                 &pre_open_orders,
                 self.dynamic_universe.as_ref(),
                 &self.subscriptions,
@@ -592,6 +621,7 @@ where
                 decision_index,
                 &self.data,
                 &portfolio,
+                self.futures_account.as_ref(),
                 &pre_open_orders,
                 self.dynamic_universe.as_ref(),
                 &self.subscriptions,
@@ -619,6 +649,7 @@ where
                 decision_index,
                 &self.data,
                 &portfolio,
+                self.futures_account.as_ref(),
                 &pre_open_orders,
                 self.dynamic_universe.as_ref(),
                 &self.subscriptions,
@@ -635,6 +666,7 @@ where
                 decision_index,
                 &self.data,
                 &portfolio,
+                self.futures_account.as_ref(),
                 &pre_open_orders,
                 self.dynamic_universe.as_ref(),
                 &self.subscriptions,
@@ -653,6 +685,7 @@ where
                 decision_index,
                 &self.data,
                 &portfolio,
+                self.futures_account.as_ref(),
                 &pre_open_orders,
                 self.dynamic_universe.as_ref(),
                 &self.subscriptions,
@@ -668,6 +701,7 @@ where
                 decision_index,
                 data: &self.data,
                 portfolio: &portfolio,
+                futures_account: self.futures_account.as_ref(),
                 open_orders: &pre_open_orders,
                 dynamic_universe: self.dynamic_universe.as_ref(),
                 subscriptions: &self.subscriptions,
@@ -688,6 +722,7 @@ where
                 decision_index,
                 &self.data,
                 &portfolio,
+                self.futures_account.as_ref(),
                 &pre_open_orders,
                 self.dynamic_universe.as_ref(),
                 &self.subscriptions,
@@ -721,6 +756,7 @@ where
                 decision_index,
                 &self.data,
                 &portfolio,
+                self.futures_account.as_ref(),
                 &post_auction_open_orders,
                 self.dynamic_universe.as_ref(),
                 &self.subscriptions,
@@ -735,6 +771,7 @@ where
                 decision_index,
                 &self.data,
                 &portfolio,
+                self.futures_account.as_ref(),
                 &post_auction_open_orders,
                 self.dynamic_universe.as_ref(),
                 &self.subscriptions,
@@ -752,6 +789,7 @@ where
                 decision_index,
                 &self.data,
                 &portfolio,
+                self.futures_account.as_ref(),
                 &post_auction_open_orders,
                 self.dynamic_universe.as_ref(),
                 &self.subscriptions,
@@ -769,6 +807,7 @@ where
                         decision_index: decision_idx,
                         data: &self.data,
                         portfolio: &portfolio,
+                        futures_account: self.futures_account.as_ref(),
                         open_orders: &on_day_open_orders,
                         dynamic_universe: self.dynamic_universe.as_ref(),
                         subscriptions: &self.subscriptions,
@@ -794,6 +833,7 @@ where
                 decision_index,
                 &self.data,
                 &portfolio,
+                self.futures_account.as_ref(),
                 &on_day_open_orders,
                 self.dynamic_universe.as_ref(),
                 &self.subscriptions,
@@ -811,6 +851,7 @@ where
                 decision_index,
                 &self.data,
                 &portfolio,
+                self.futures_account.as_ref(),
                 &on_day_open_orders,
                 self.dynamic_universe.as_ref(),
                 &self.subscriptions,
@@ -828,6 +869,7 @@ where
                 decision_index,
                 &self.data,
                 &portfolio,
+                self.futures_account.as_ref(),
                 &bar_open_orders,
                 self.dynamic_universe.as_ref(),
                 &self.subscriptions,
@@ -846,6 +888,7 @@ where
                 decision_index,
                 &self.data,
                 &portfolio,
+                self.futures_account.as_ref(),
                 &bar_open_orders,
                 self.dynamic_universe.as_ref(),
                 &self.subscriptions,
@@ -861,6 +904,7 @@ where
                 decision_index,
                 data: &self.data,
                 portfolio: &portfolio,
+                futures_account: self.futures_account.as_ref(),
                 open_orders: &bar_open_orders,
                 dynamic_universe: self.dynamic_universe.as_ref(),
                 subscriptions: &self.subscriptions,
@@ -881,6 +925,7 @@ where
                 decision_index,
                 &self.data,
                 &portfolio,
+                self.futures_account.as_ref(),
                 &bar_open_orders,
                 self.dynamic_universe.as_ref(),
                 &self.subscriptions,
@@ -912,6 +957,7 @@ where
                 decision_index,
                 &self.data,
                 &portfolio,
+                self.futures_account.as_ref(),
                 &post_intraday_open_orders,
                 self.dynamic_universe.as_ref(),
                 &self.subscriptions,
@@ -933,6 +979,7 @@ where
                 decision_index,
                 &self.data,
                 &portfolio,
+                self.futures_account.as_ref(),
                 &post_intraday_open_orders,
                 self.dynamic_universe.as_ref(),
                 &self.subscriptions,
@@ -949,6 +996,7 @@ where
                 decision_index,
                 &self.data,
                 &portfolio,
+                self.futures_account.as_ref(),
                 &post_intraday_open_orders,
                 self.dynamic_universe.as_ref(),
                 &self.subscriptions,
@@ -979,6 +1027,7 @@ where
                         decision_index,
                         &self.data,
                         &portfolio,
+                        self.futures_account.as_ref(),
                         &tick_open_orders,
                         self.dynamic_universe.as_ref(),
                         &self.subscriptions,
@@ -997,6 +1046,7 @@ where
                         decision_index,
                         &self.data,
                         &portfolio,
+                        self.futures_account.as_ref(),
                         &tick_open_orders,
                         self.dynamic_universe.as_ref(),
                         &self.subscriptions,
@@ -1013,6 +1063,7 @@ where
                             decision_index,
                             data: &self.data,
                             portfolio: &portfolio,
+                            futures_account: self.futures_account.as_ref(),
                             open_orders: &tick_open_orders,
                             dynamic_universe: self.dynamic_universe.as_ref(),
                             subscriptions: &self.subscriptions,
@@ -1032,6 +1083,7 @@ where
                         decision_index,
                         &self.data,
                         &portfolio,
+                        self.futures_account.as_ref(),
                         &tick_open_orders,
                         self.dynamic_universe.as_ref(),
                         &self.subscriptions,
@@ -1067,6 +1119,7 @@ where
                         decision_index,
                         &self.data,
                         &portfolio,
+                        self.futures_account.as_ref(),
                         &post_tick_open_orders,
                         self.dynamic_universe.as_ref(),
                         &self.subscriptions,
@@ -1082,6 +1135,7 @@ where
                         decision_index,
                         &self.data,
                         &portfolio,
+                        self.futures_account.as_ref(),
                         &post_tick_open_orders,
                         self.dynamic_universe.as_ref(),
                         &self.subscriptions,
@@ -1116,6 +1170,7 @@ where
                 decision_index,
                 &self.data,
                 &portfolio,
+                self.futures_account.as_ref(),
                 &post_trade_open_orders,
                 self.dynamic_universe.as_ref(),
                 &self.subscriptions,
@@ -1130,6 +1185,7 @@ where
                 decision_index,
                 data: &self.data,
                 portfolio: &portfolio,
+                futures_account: self.futures_account.as_ref(),
                 open_orders: &post_trade_open_orders,
                 dynamic_universe: self.dynamic_universe.as_ref(),
                 subscriptions: &self.subscriptions,
@@ -1150,6 +1206,7 @@ where
                 decision_index,
                 &self.data,
                 &portfolio,
+                self.futures_account.as_ref(),
                 &post_trade_open_orders,
                 self.dynamic_universe.as_ref(),
                 &self.subscriptions,
@@ -1168,6 +1225,7 @@ where
                 decision_index,
                 &self.data,
                 &portfolio,
+                self.futures_account.as_ref(),
                 &post_trade_open_orders,
                 self.dynamic_universe.as_ref(),
                 &self.subscriptions,
@@ -1196,6 +1254,7 @@ where
                 decision_index,
                 &self.data,
                 &portfolio,
+                self.futures_account.as_ref(),
                 &post_trade_open_orders,
                 self.dynamic_universe.as_ref(),
                 &self.subscriptions,
@@ -1228,6 +1287,7 @@ where
                 decision_index,
                 &self.data,
                 &portfolio,
+                self.futures_account.as_ref(),
                 &post_close_open_orders,
                 self.dynamic_universe.as_ref(),
                 &self.subscriptions,
@@ -1244,6 +1304,7 @@ where
                 decision_index,
                 &self.data,
                 &portfolio,
+                self.futures_account.as_ref(),
                 &post_close_open_orders,
                 self.dynamic_universe.as_ref(),
                 &self.subscriptions,
@@ -1258,6 +1319,7 @@ where
                 decision_index,
                 data: &self.data,
                 portfolio: &portfolio,
+                futures_account: self.futures_account.as_ref(),
                 open_orders: &post_close_open_orders,
                 dynamic_universe: self.dynamic_universe.as_ref(),
                 subscriptions: &self.subscriptions,
@@ -1278,6 +1340,7 @@ where
                 decision_index,
                 &self.data,
                 &portfolio,
+                self.futures_account.as_ref(),
                 &post_close_open_orders,
                 self.dynamic_universe.as_ref(),
                 &self.subscriptions,
@@ -1296,6 +1359,7 @@ where
                 decision_index,
                 &self.data,
                 &portfolio,
+                self.futures_account.as_ref(),
                 &post_close_open_orders,
                 self.dynamic_universe.as_ref(),
                 &self.subscriptions,
@@ -1338,6 +1402,7 @@ where
                 decision_index,
                 &self.data,
                 &portfolio,
+                self.futures_account.as_ref(),
                 &post_close_open_orders,
                 self.dynamic_universe.as_ref(),
                 &self.subscriptions,
@@ -1769,6 +1834,7 @@ where
                     decision_index,
                     data: &self.data,
                     portfolio,
+                    futures_account: self.futures_account.as_ref(),
                     open_orders,
                     dynamic_universe,
                     subscriptions,
@@ -1808,6 +1874,7 @@ where
             decision_index,
             &self.data,
             &*portfolio,
+            self.futures_account.as_ref(),
             open_orders,
             dynamic_universe,
             subscriptions,
@@ -1952,6 +2019,7 @@ fn collect_scheduled_decisions<S: Strategy>(
     decision_index: usize,
     data: &crate::data::DataSet,
     portfolio: &PortfolioState,
+    futures_account: Option<&FuturesAccountState>,
     open_orders: &[crate::strategy::OpenOrderView],
     dynamic_universe: Option<&BTreeSet<String>>,
     subscriptions: &BTreeSet<String>,
@@ -1971,6 +2039,7 @@ fn collect_scheduled_decisions<S: Strategy>(
             decision_index,
             data,
             portfolio,
+            futures_account,
             open_orders,
             dynamic_universe,
             subscriptions,
@@ -1986,6 +2055,7 @@ fn collect_scheduled_decisions<S: Strategy>(
                 decision_index,
                 data,
                 portfolio,
+                futures_account,
                 open_orders,
                 dynamic_universe,
                 subscriptions,
@@ -2005,6 +2075,7 @@ fn collect_scheduled_decisions<S: Strategy>(
             decision_index,
             data,
             portfolio,
+            futures_account,
             open_orders,
             dynamic_universe,
             subscriptions,
@@ -2025,6 +2096,7 @@ fn publish_phase_event<S: Strategy>(
     decision_index: usize,
     data: &crate::data::DataSet,
     portfolio: &PortfolioState,
+    futures_account: Option<&FuturesAccountState>,
     open_orders: &[crate::strategy::OpenOrderView],
     dynamic_universe: Option<&BTreeSet<String>>,
     subscriptions: &BTreeSet<String>,
@@ -2049,6 +2121,7 @@ fn publish_phase_event<S: Strategy>(
         decision_index,
         data,
         portfolio,
+        futures_account,
         open_orders,
         dynamic_universe,
         subscriptions,
@@ -2071,6 +2144,7 @@ fn publish_process_events<S: Strategy>(
     decision_index: usize,
     data: &crate::data::DataSet,
     portfolio: &PortfolioState,
+    futures_account: Option<&FuturesAccountState>,
     open_orders: &[crate::strategy::OpenOrderView],
     dynamic_universe: Option<&BTreeSet<String>>,
     subscriptions: &BTreeSet<String>,
@@ -2086,6 +2160,7 @@ fn publish_process_events<S: Strategy>(
             decision_index,
             data,
             portfolio,
+            futures_account,
             open_orders,
             dynamic_universe,
             subscriptions,
@@ -2109,6 +2184,7 @@ fn publish_custom_process_event<S: Strategy>(
     decision_index: usize,
     data: &crate::data::DataSet,
     portfolio: &PortfolioState,
+    futures_account: Option<&FuturesAccountState>,
     open_orders: &[crate::strategy::OpenOrderView],
     dynamic_universe: Option<&BTreeSet<String>>,
     subscriptions: &BTreeSet<String>,
@@ -2123,6 +2199,7 @@ fn publish_custom_process_event<S: Strategy>(
         decision_index,
         data,
         portfolio,
+        futures_account,
         open_orders,
         dynamic_universe,
         subscriptions,

crates/fidc-core/src/futures.rs

@@ -353,6 +353,7 @@ impl FuturesPosition {
 
 #[derive(Debug, Clone)]
 pub struct FuturesAccountState {
+    starting_cash: f64,
     total_cash: f64,
     frozen_cash: f64,
     positions: BTreeMap<(String, FuturesDirection), FuturesPosition>,
@@ -361,12 +362,17 @@ pub struct FuturesAccountState {
 impl FuturesAccountState {
     pub fn new(total_cash: f64) -> Self {
         Self {
+            starting_cash: total_cash,
             total_cash,
             frozen_cash: 0.0,
             positions: BTreeMap::new(),
         }
     }
 
+    pub fn starting_cash(&self) -> f64 {
+        self.starting_cash
+    }
+
     pub fn total_cash(&self) -> f64 {
         self.total_cash
     }

crates/fidc-core/src/platform_expr_strategy.rs

@@ -4072,6 +4072,7 @@ mod tests {
             decision_index: 0,
             data: &data,
             portfolio: &portfolio,
+            futures_account: None,
             open_orders: &[],
             dynamic_universe: None,
             subscriptions: &subscriptions,
@@ -4231,6 +4232,7 @@ mod tests {
             decision_index: 0,
             data: &data,
             portfolio: &portfolio,
+            futures_account: None,
             open_orders: &[],
             dynamic_universe: None,
             subscriptions: &subscriptions,
@@ -4349,6 +4351,7 @@ mod tests {
             decision_index: 0,
             data: &data,
             portfolio: &portfolio,
+            futures_account: None,
             open_orders: &[],
             dynamic_universe: None,
             subscriptions: &subscriptions,
@@ -4472,6 +4475,7 @@ mod tests {
             decision_index: 0,
             data: &data,
             portfolio: &portfolio,
+            futures_account: None,
             open_orders: &[],
             dynamic_universe: None,
             subscriptions: &subscriptions,
@@ -4578,6 +4582,7 @@ mod tests {
             decision_index: 0,
             data: &data,
             portfolio: &portfolio,
+            futures_account: None,
             open_orders: &[],
             dynamic_universe: None,
             subscriptions: &subscriptions,
@@ -4679,6 +4684,7 @@ mod tests {
             decision_index: 0,
             data: &data,
             portfolio: &portfolio,
+            futures_account: None,
             open_orders: &[],
             dynamic_universe: None,
             subscriptions: &subscriptions,
@@ -4798,6 +4804,7 @@ mod tests {
             decision_index: 0,
             data: &data,
             portfolio: &portfolio,
+            futures_account: None,
             open_orders: &[],
             dynamic_universe: None,
             subscriptions: &subscriptions,
@@ -4920,6 +4927,7 @@ mod tests {
             decision_index: 0,
             data: &data,
             portfolio: &portfolio,
+            futures_account: None,
             open_orders: &[],
             dynamic_universe: None,
             subscriptions: &subscriptions,
@@ -5047,6 +5055,7 @@ mod tests {
             decision_index: 0,
             data: &data,
             portfolio: &portfolio,
+            futures_account: None,
             open_orders: &open_orders,
             dynamic_universe: None,
             subscriptions: &subscriptions,
@@ -5184,6 +5193,7 @@ mod tests {
             decision_index: 0,
             data: &data,
             portfolio: &portfolio,
+            futures_account: None,
             open_orders: &open_orders,
             dynamic_universe: None,
             subscriptions: &subscriptions,
@@ -5293,6 +5303,7 @@ mod tests {
             decision_index: 0,
             data: &data,
             portfolio: &portfolio,
+            futures_account: None,
             open_orders: &[],
             dynamic_universe: None,
             subscriptions: &subscriptions,
@@ -5430,6 +5441,7 @@ mod tests {
             decision_index: 0,
             data: &data,
             portfolio: &portfolio,
+            futures_account: None,
             open_orders: &[],
             dynamic_universe: None,
             subscriptions: &subscriptions,
@@ -5548,6 +5560,7 @@ mod tests {
             decision_index: 0,
             data: &data,
             portfolio: &portfolio,
+            futures_account: None,
             open_orders: &[],
             dynamic_universe: None,
             subscriptions: &subscriptions,

crates/fidc-core/src/strategy.rs

@@ -10,6 +10,7 @@ use crate::cost::ChinaAShareCostModel;
 use crate::data::{DailyMarketSnapshot, DataSet, IntradayExecutionQuote, PriceBar, PriceField};
 use crate::engine::BacktestError;
 use crate::events::{FillEvent, OrderEvent, OrderSide, OrderStatus, ProcessEvent};
+use crate::futures::FuturesAccountState;
 use crate::instrument::Instrument;
 use crate::portfolio::PortfolioState;
 use crate::scheduler::ScheduleRule;
@@ -133,6 +134,7 @@ pub struct StrategyContext<'a> {
     pub decision_index: usize,
     pub data: &'a DataSet,
     pub portfolio: &'a PortfolioState,
+    pub futures_account: Option<&'a FuturesAccountState>,
     pub open_orders: &'a [OpenOrderView],
     pub dynamic_universe: Option<&'a BTreeSet<String>>,
     pub subscriptions: &'a BTreeSet<String>,
@@ -393,19 +395,55 @@ impl StrategyContext<'_> {
     }
 
     pub fn future_account(&self) -> Option<PortfolioRuntimeView> {
-        None
+        self.futures_account.map(|account| {
+            let starting_cash = account.starting_cash();
+            let total_value = account.total_value();
+            let daily_pnl = account.daily_pnl();
+            let static_base = total_value - daily_pnl;
+            let unit_net_value = safe_ratio(total_value, starting_cash);
+            let static_unit_net_value = safe_ratio(static_base, starting_cash);
+            PortfolioRuntimeView {
+                account_type: "FUTURE",
+                starting_cash,
+                units: 1.0,
+                cash: account.cash(),
+                available_cash: account.cash(),
+                frozen_cash: account.frozen_cash(),
+                market_value: account.market_value(),
+                total_value,
+                portfolio_value: total_value,
+                total_equity: total_value,
+                unit_net_value,
+                static_unit_net_value,
+                daily_pnl,
+                daily_returns: safe_ratio(daily_pnl, static_base),
+                total_returns: safe_ratio(total_value - starting_cash, starting_cash),
+                transaction_cost: account.transaction_cost(),
+                trading_pnl: account.trading_pnl(),
+                position_pnl: account.position_pnl(),
+                cash_liabilities: 0.0,
+                management_fee_rate: 0.0,
+                management_fees: 0.0,
+            }
+        })
     }
 
     pub fn account_by_type(&self, account_type: &str) -> Option<PortfolioRuntimeView> {
         if account_type.eq_ignore_ascii_case("STOCK") {
             Some(self.stock_account())
+        } else if account_type.eq_ignore_ascii_case("FUTURE") {
+            self.future_account()
         } else {
             None
         }
     }
 
     pub fn accounts(&self) -> BTreeMap<String, PortfolioRuntimeView> {
-        BTreeMap::from([("STOCK".to_string(), self.stock_account())])
+        let mut accounts = BTreeMap::from([("STOCK".to_string(), self.stock_account())]);
+        if let Some(future_account) = self.future_account() {
+            accounts.insert("FUTURE".to_string(), future_account);
+        }
+        accounts
     }
 
     pub fn frozen_cash(&self) -> f64 {
@@ -673,6 +711,14 @@ impl StrategyContext<'_> {
     }
 }
 
+fn safe_ratio(numerator: f64, denominator: f64) -> f64 {
+    if denominator.abs() <= f64::EPSILON {
+        0.0
+    } else {
+        numerator / denominator
+    }
+}
+
 #[derive(Debug, Clone, Default)]
 pub struct StrategyDecision {
     pub rebalance: bool,

crates/fidc-core/tests/engine_hooks.rs

@@ -6,9 +6,10 @@ use chrono::{NaiveDate, NaiveDateTime};
 use fidc_core::{
     BacktestConfig, BacktestEngine, BenchmarkSnapshot, BrokerSimulator, CandidateEligibility,
     ChinaAShareCostModel, ChinaEquityRuleHooks, DailyFactorSnapshot, DailyMarketSnapshot, DataSet,
-    Instrument, IntradayExecutionQuote, OpenOrderView, OrderIntent, OrderSide, OrderStatus,
+    FuturesAccountState, FuturesContractSpec, FuturesDirection, Instrument, IntradayExecutionQuote,
-    PortfolioState, PriceField, ProcessEventKind, ScheduleRule, ScheduleStage, ScheduleTimeRule,
+    OpenOrderView, OrderIntent, OrderSide, OrderStatus, PortfolioState, PriceField,
-    Strategy, StrategyContext, StrategyDecision,
+    ProcessEventKind, ScheduleRule, ScheduleStage, ScheduleTimeRule, Strategy, StrategyContext,
+    StrategyDecision,
 };
 
 fn d(year: i32, month: u32, day: u32) -> NaiveDate {
@@ -1330,6 +1331,7 @@ fn strategy_context_exposes_rqalpha_style_account_runtime_view() {
         decision_index: 0,
         data: &data,
         portfolio: &portfolio,
+        futures_account: None,
         open_orders: &open_orders,
         dynamic_universe: None,
         subscriptions: &subscriptions,
@@ -1358,6 +1360,39 @@ fn strategy_context_exposes_rqalpha_style_account_runtime_view() {
         ctx.accounts().keys().cloned().collect::<Vec<_>>(),
         vec!["STOCK".to_string()]
     );
+
+    let spec = FuturesContractSpec::new(300.0, 0.12, 0.14);
+    let mut futures_account = FuturesAccountState::new(500_000.0);
+    futures_account.open("IF2501", FuturesDirection::Long, spec, 2, 4000.0, 12.0);
+    futures_account.mark_price("IF2501", FuturesDirection::Long, 4010.0);
+    let future_ctx = StrategyContext {
+        execution_date: date,
+        decision_date: date,
+        decision_index: 0,
+        data: &data,
+        portfolio: &portfolio,
+        futures_account: Some(&futures_account),
+        open_orders: &open_orders,
+        dynamic_universe: None,
+        subscriptions: &subscriptions,
+        process_events: &[],
+        active_process_event: None,
+        active_datetime: None,
+        order_events: &[],
+        fills: &[],
+    };
+
+    let future_account = future_ctx.future_account().expect("future account");
+    assert_eq!(future_account.account_type, "FUTURE");
+    assert!((future_account.starting_cash - 500_000.0).abs() < 1e-6);
+    assert!((future_account.cash - 211_268.0).abs() < 1e-6);
+    assert!((future_account.market_value - 2_406_000.0).abs() < 1e-6);
+    assert!((future_account.total_value - 505_988.0).abs() < 1e-6);
+    assert!((future_ctx.account_by_type("future").unwrap().cash - 211_268.0).abs() < 1e-6);
+    assert_eq!(
+        future_ctx.accounts().keys().cloned().collect::<Vec<_>>(),
+        vec!["FUTURE".to_string(), "STOCK".to_string()]
+    );
 }
 
 #[test]

crates/fidc-core/tests/strategy_selection.rs

@@ -27,6 +27,7 @@ fn strategy_emits_target_weights_and_diagnostics() {
             decision_index: 0,
             data: &data,
             portfolio: &portfolio,
+            futures_account: None,
             open_orders: &[],
             dynamic_universe: None,
             subscriptions: &subscriptions,
@@ -73,6 +74,7 @@ fn jq_strategy_emits_same_day_decision() {
             decision_index: 0,
             data: &data,
             portfolio: &portfolio,
+            futures_account: None,
             open_orders: &[],
             dynamic_universe: None,
             subscriptions: &subscriptions,

docs/rqalpha-gap-roadmap.md

@@ -89,7 +89,10 @@ current alignment pass.
       margin, daily mark-to-market settlement, and short close cashflow
 - [x] standalone futures order execution model with open, close, close-today,
       close-yesterday, margin rejection, order/fill/position/account events
-- [ ] wire futures account into the generic backtest engine runtime
+- [x] wire futures account runtime view into `BacktestEngine` and
+      `StrategyContext` (`future_account`, `account_by_type("FUTURE")`,
+      `accounts`)
+- [ ] wire futures order intents into the generic `BacktestEngine` execution loop
 - [ ] futures intraday matching integration and expiration settlement
 
 ## Execution Order
@@ -109,6 +112,6 @@ current alignment pass.
 Active implementation target: continue account parity after exposing the stock
 account runtime view, core Portfolio fields, deposit/withdraw, financing
 liability APIs, management-fee callbacks, stock account accessors, and the
-standalone futures account/order execution model; next gap is wiring futures
+standalone futures account/order execution model plus generic engine runtime
-into the generic engine runtime and adding futures intraday/expiration
+account visibility; next gap is wiring futures order intents into the generic
-semantics.
+engine execution loop and adding futures intraday/expiration semantics.