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对齐除权除息到账顺序

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boris
2026-07-01 14:46:10 +08:00
parent 9f188f6313
commit eae82128ee
2 changed files with 169 additions and 30 deletions
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crates/fidc-core/src/engine.rs
+8 -17
View File
@@ -1702,18 +1702,18 @@ where
&mut corporate_action_notes,
);
self.extend_result(&mut result, pending_cash_flow_report);
let receivable_report = self.settle_cash_receivables(
execution_date,
&mut portfolio,
&mut corporate_action_notes,
)?;
self.extend_result(&mut result, receivable_report);
let corporate_action_report = self.apply_corporate_actions(
execution_date,
&mut portfolio,
&mut corporate_action_notes,
)?;
self.extend_result(&mut result, corporate_action_report);
let receivable_report = self.settle_cash_receivables(
execution_date,
&mut portfolio,
&mut corporate_action_notes,
)?;
self.extend_result(&mut result, receivable_report);
let delisting_report = self.settle_delisted_positions(
execution_date,
&mut portfolio,
@@ -2875,14 +2875,6 @@ where
};
if cash_delta.abs() > f64::EPSILON {
let payable_date = action.payable_date.unwrap_or(date);
let immediate_cash = payable_date <= date;
let note = if immediate_cash {
portfolio.apply_cash_delta(cash_delta);
format!(
"cash_dividend {} share_cash={:.6} quantity={} cash={:.2}",
action.symbol, action.share_cash, quantity_after, cash_delta
)
} else {
portfolio.add_cash_receivable(CashReceivable {
symbol: action.symbol.clone(),
ex_date: date,
@@ -2890,15 +2882,14 @@ where
amount: cash_delta,
reason: format!("cash_dividend {:.6}", action.share_cash),
});
format!(
let note = format!(
"cash_dividend_receivable {} share_cash={:.6} quantity={} payable_date={} cash={:.2}",
action.symbol,
action.share_cash,
quantity_after,
payable_date,
cash_delta
)
};
);
notes.push(note.clone());
report.account_events.push(AccountEvent {
date,
crates/fidc-core/tests/corporate_actions.rs
+148
View File
@@ -92,6 +92,71 @@ impl Strategy for BuyAndHoldStrategy {
}
}
fn stock_market_snapshot(date: NaiveDate) -> DailyMarketSnapshot {
DailyMarketSnapshot {
date,
symbol: "000001.SZ".to_string(),
timestamp: Some(format!("{date} 10:18:00")),
day_open: 10.0,
open: 10.0,
high: 10.1,
low: 9.9,
close: 10.0,
last_price: 10.0,
bid1: 10.0,
ask1: 10.0,
prev_close: 10.0,
volume: 100_000,
minute_volume: 100_000,
bid1_volume: 100_000,
ask1_volume: 100_000,
trading_phase: Some("continuous".to_string()),
paused: false,
upper_limit: 11.0,
lower_limit: 9.0,
price_tick: 0.01,
}
}
fn stock_factor_snapshot(date: NaiveDate) -> DailyFactorSnapshot {
DailyFactorSnapshot {
date,
symbol: "000001.SZ".to_string(),
market_cap_bn: 20.0,
free_float_cap_bn: 18.0,
pe_ttm: 10.0,
turnover_ratio: Some(1.0),
effective_turnover_ratio: Some(1.0),
extra_factors: BTreeMap::new(),
}
}
fn stock_candidate(date: NaiveDate) -> CandidateEligibility {
CandidateEligibility {
date,
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,
}
}
fn benchmark_snapshot(date: NaiveDate) -> BenchmarkSnapshot {
BenchmarkSnapshot {
date,
benchmark: "000300.SH".to_string(),
open: 100.0,
close: 100.0,
prev_close: 99.0,
volume: 1_000_000,
}
}
#[test]
fn engine_reinvests_dividend_receivable_in_round_lots() {
let buy_date = d(2025, 1, 1);
@@ -330,3 +395,86 @@ fn engine_reinvests_dividend_receivable_in_round_lots() {
assert_eq!(reinvest_fill.commission, 0.0);
assert_eq!(reinvest_fill.stamp_tax, 0.0);
}
#[test]
fn engine_settles_same_day_dividend_after_split_for_aiquant_semantics() {
let buy_date = d(2025, 1, 1);
let ex_date = d(2025, 1, 2);
let data = DataSet::from_components_with_actions(
vec![Instrument {
symbol: "000001.SZ".to_string(),
name: "Anchor".to_string(),
board: "SZ".to_string(),
round_lot: 100,
listed_at: Some(d(2020, 1, 1)),
delisted_at: None,
status: "active".to_string(),
}],
vec![stock_market_snapshot(buy_date), stock_market_snapshot(ex_date)],
vec![stock_factor_snapshot(buy_date), stock_factor_snapshot(ex_date)],
vec![stock_candidate(buy_date), stock_candidate(ex_date)],
vec![benchmark_snapshot(buy_date), benchmark_snapshot(ex_date)],
vec![CorporateAction {
date: ex_date,
symbol: "000001.SZ".to_string(),
payable_date: Some(ex_date),
share_cash: 1.05,
share_bonus: 0.2,
share_gift: 0.0,
issue_quantity: 0.0,
issue_price: 0.0,
reform: false,
adjust_factor: None,
successor_symbol: None,
successor_ratio: None,
successor_cash: None,
}],
)
.expect("dataset");
let mut engine = BacktestEngine::new(
data,
BuyAndHoldStrategy {
first_date: buy_date,
},
BrokerSimulator::new_with_execution_price(
ChinaAShareCostModel::default(),
ChinaEquityRuleHooks::default(),
PriceField::Open,
),
BacktestConfig {
initial_cash: 11_008.0,
benchmark_code: "000300.SH".to_string(),
start_date: Some(buy_date),
end_date: Some(ex_date),
decision_lag_trading_days: 0,
execution_price_field: PriceField::Open,
},
)
.with_dividend_reinvestment(true);
let result = engine.run().expect("backtest run");
let final_holding = result
.holdings_summary
.iter()
.find(|row| row.symbol == "000001.SZ")
.expect("holding");
assert_eq!(final_holding.quantity, 1_300);
let reinvest_fill = result
.fills
.iter()
.find(|fill| fill.reason == "dividend_reinvestment")
.expect("reinvestment fill");
assert_eq!(reinvest_fill.quantity, 100);
assert!((reinvest_fill.price - ((10.0 - 1.05) / 1.2)).abs() < 1e-9);
assert!(result
.position_events
.iter()
.any(|event| event.reason == "stock_split 1.200000" && event.quantity_after == 1_200));
assert!(result
.account_events
.iter()
.any(|event| event.note.contains("cash_receivable_reinvested")));
}