Add instrument history helpers

This commit is contained in:
boris
2026-04-23 19:43:36 -07:00
parent ca49b6dbb3
commit f4030f2607
6 changed files with 60 additions and 16 deletions

View File

@@ -802,6 +802,21 @@ impl DataSet {
instruments
}
pub fn instruments_history(&self, symbols: &[&str]) -> Vec<&Instrument> {
symbols
.iter()
.filter_map(|symbol| self.instruments.get(*symbol))
.collect()
}
pub fn active_instruments(&self, date: NaiveDate, symbols: &[&str]) -> Vec<&Instrument> {
symbols
.iter()
.filter_map(|symbol| self.instruments.get(*symbol))
.filter(|instrument| instrument.is_active_on(date))
.collect()
}
pub fn instrument(&self, symbol: &str) -> Option<&Instrument> {
self.instruments.get(symbol)
}

View File

@@ -39,6 +39,12 @@ impl Instrument {
self.delisted_at
.is_some_and(|delisted_at| delisted_at < date)
}
pub fn is_active_on(&self, date: NaiveDate) -> bool {
self.listed_at.is_none_or(|listed_at| listed_at <= date)
&& !self.is_delisted_before(date)
&& !self.status.eq_ignore_ascii_case("inactive")
}
}
fn default_status() -> String {

View File

@@ -269,6 +269,14 @@ impl StrategyContext<'_> {
.collect()
}
pub fn instruments_history(&self, symbols: &[&str]) -> Vec<&Instrument> {
self.data.instruments_history(symbols)
}
pub fn active_instruments(&self, symbols: &[&str]) -> Vec<&Instrument> {
self.data.active_instruments(self.execution_date, symbols)
}
pub fn all_instruments(&self) -> Vec<&Instrument> {
self.data.all_instruments()
}

View File

@@ -198,6 +198,7 @@ pub fn built_in_strategy_manual() -> StrategyAiManual {
ManualFunction { name: "history_bars".to_string(), signature: "ctx.history_bars(symbol, count, \"1d\" | \"1m\" | \"tick\", \"close\", include_now)".to_string(), detail: "回测内核策略上下文数据 API返回指定证券最近 N 条数值序列。日线字段支持 open/high/low/close/last/prev_close/volume/upper_limit/lower_limit分钟或 tick 字段支持 last/bid1/ask1/volume_delta/amount_delta。日线 include_now=false 排除当前交易日;分钟/tick 会按当前 on_bar、on_tick 或调度时刻截断include_now=false 排除当前 bar/tick避免未来函数。".to_string() },
ManualFunction { name: "current_snapshot".to_string(), signature: "ctx.current_snapshot(symbol)".to_string(), detail: "读取当前交易日指定证券的日级快照,可用于获得当日 open/close/last/upper_limit/lower_limit 等字段。".to_string() },
ManualFunction { name: "instrument/instruments/all_instruments".to_string(), signature: "ctx.instrument(symbol)".to_string(), detail: "读取证券元数据包括名称、板块、上市日期、退市日期、最小下单量、整手、最小价位等all_instruments 按证券代码稳定排序返回全量证券。".to_string() },
ManualFunction { name: "active_instruments/instruments_history".to_string(), signature: "ctx.active_instruments(&[symbol])".to_string(), detail: "active_instruments 返回当前交易日已上市且未退市的证券instruments_history 返回给定代码的历史证券记录,包含当前已退市标的,对齐 RQAlpha 的 active_instruments/instruments_history 能力。".to_string() },
ManualFunction { name: "get_trading_dates/get_previous_trading_date/get_next_trading_date".to_string(), signature: "ctx.get_previous_trading_date(date, n)".to_string(), detail: "交易日历 API。get_trading_dates 返回闭区间交易日previous/next 返回相对某日向前或向后的第 n 个交易日,当前日自身不计入。".to_string() },
ManualFunction { name: "is_suspended/is_st_stock".to_string(), signature: "ctx.is_suspended(symbol, count)".to_string(), detail: "读取指定证券截至当前交易日最近 count 个交易日的停牌或 ST 标记,返回 bool 序列,顺序从旧到新;对应 RQAlpha 的 is_suspended/is_st_stock 数据源能力。".to_string() },
ManualFunction { name: "get_price".to_string(), signature: "ctx.get_price(symbol, start_date, end_date, \"1d\" | \"1m\" | \"tick\")".to_string(), detail: "按日期区间读取统一 PriceBar 序列。日线返回 open/high/low/close/last/volume/盘口字段;分钟或 tick 返回按 timestamp 排序的 last/bid1/ask1/volume_delta/amount_delta 映射,便于服务层转成表格或前端明细。".to_string() },