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Add target-shares parity and rqalpha roadmap

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boris
2026-04-23 05:49:17 -07:00
parent 2857f72d84
commit f805a4b26d
6 changed files with 526 additions and 1 deletions
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212
crates/fidc-core/src/broker.rs
View File

@@ -576,6 +576,42 @@ where
commission_state,
report,
),
OrderIntent::TargetShares {
symbol,
target_quantity,
reason,
} => self.process_target_shares(
date,
portfolio,
data,
symbol,
*target_quantity,
reason,
intraday_turnover,
execution_cursors,
global_execution_cursor,
commission_state,
report,
),
OrderIntent::LimitTargetShares {
symbol,
target_quantity,
limit_price,
reason,
} => self.process_limit_target_shares(
date,
portfolio,
data,
symbol,
*target_quantity,
*limit_price,
reason,
intraday_turnover,
execution_cursors,
global_execution_cursor,
commission_state,
report,
),
OrderIntent::TargetValue {
symbol,
target_value,
@@ -2153,6 +2189,101 @@ where
Ok(())
}
fn process_target_shares(
&self,
date: NaiveDate,
portfolio: &mut PortfolioState,
data: &DataSet,
symbol: &str,
target_quantity: i32,
reason: &str,
intraday_turnover: &mut BTreeMap<String, u32>,
execution_cursors: &mut BTreeMap<String, NaiveDateTime>,
global_execution_cursor: &mut Option<NaiveDateTime>,
commission_state: &mut BTreeMap<u64, f64>,
report: &mut BrokerExecutionReport,
) -> Result<(), BacktestError> {
let current_qty = portfolio
.position(symbol)
.map(|pos| pos.quantity)
.unwrap_or(0);
let target_qty = target_quantity.max(0) as u32;
let minimum_order_quantity = self.minimum_order_quantity(data, symbol);
let order_step_size = self.order_step_size(data, symbol);
if current_qty > target_qty {
let raw_sell_qty = current_qty - target_qty;
let sell_qty = if target_qty == 0 {
current_qty
} else {
self.round_buy_quantity(raw_sell_qty, minimum_order_quantity, order_step_size)
.min(current_qty)
};
if sell_qty > 0 {
self.process_sell(
date,
portfolio,
data,
symbol,
sell_qty,
self.reserve_order_id(),
reason,
intraday_turnover,
execution_cursors,
global_execution_cursor,
commission_state,
None,
false,
true,
report,
)?;
}
} else if target_qty > current_qty {
let buy_qty = self.round_buy_quantity(
target_qty - current_qty,
minimum_order_quantity,
order_step_size,
);
if buy_qty > 0 {
self.process_buy(
date,
portfolio,
data,
symbol,
buy_qty,
self.reserve_order_id(),
reason,
intraday_turnover,
execution_cursors,
global_execution_cursor,
commission_state,
None,
None,
false,
true,
report,
)?;
}
} else {
report.order_events.push(OrderEvent {
date,
order_id: None,
symbol: symbol.to_string(),
side: if current_qty > 0 {
OrderSide::Sell
} else {
OrderSide::Buy
},
requested_quantity: 0,
filled_quantity: 0,
status: OrderStatus::Filled,
reason: format!("{reason}: already at target shares"),
});
}
Ok(())
}
fn process_limit_target_value(
&self,
date: NaiveDate,
@@ -2228,6 +2359,87 @@ where
Ok(())
}
fn process_limit_target_shares(
&self,
date: NaiveDate,
portfolio: &mut PortfolioState,
data: &DataSet,
symbol: &str,
target_quantity: i32,
limit_price: f64,
reason: &str,
intraday_turnover: &mut BTreeMap<String, u32>,
execution_cursors: &mut BTreeMap<String, NaiveDateTime>,
global_execution_cursor: &mut Option<NaiveDateTime>,
commission_state: &mut BTreeMap<u64, f64>,
report: &mut BrokerExecutionReport,
) -> Result<(), BacktestError> {
let current_qty = portfolio
.position(symbol)
.map(|pos| pos.quantity)
.unwrap_or(0);
let target_qty = target_quantity.max(0) as u32;
let minimum_order_quantity = self.minimum_order_quantity(data, symbol);
let order_step_size = self.order_step_size(data, symbol);
if current_qty > target_qty {
let raw_sell_qty = current_qty - target_qty;
let sell_qty = if target_qty == 0 {
current_qty
} else {
self.round_buy_quantity(raw_sell_qty, minimum_order_quantity, order_step_size)
.min(current_qty)
};
if sell_qty > 0 {
self.process_sell(
date,
portfolio,
data,
symbol,
sell_qty,
self.reserve_order_id(),
reason,
intraday_turnover,
execution_cursors,
global_execution_cursor,
commission_state,
Some(limit_price),
true,
true,
report,
)?;
}
} else if target_qty > current_qty {
let buy_qty = self.round_buy_quantity(
target_qty - current_qty,
minimum_order_quantity,
order_step_size,
);
if buy_qty > 0 {
self.process_buy(
date,
portfolio,
data,
symbol,
buy_qty,
self.reserve_order_id(),
reason,
intraday_turnover,
execution_cursors,
global_execution_cursor,
commission_state,
None,
Some(limit_price),
true,
true,
report,
)?;
}
}
Ok(())
}
fn process_target_percent(
&self,
date: NaiveDate,

138
crates/fidc-core/src/platform_expr_strategy.rs
View File

@@ -79,6 +79,8 @@ pub enum PlatformExplicitOrderKind {
LimitShares,
Lots,
LimitLots,
TargetShares,
LimitTargetShares,
Value,
LimitValue,
Percent,
@@ -2261,6 +2263,32 @@ impl PlatformExprStrategy {
reason: reason.clone(),
});
}
PlatformExplicitOrderKind::TargetShares => {
let target_quantity =
self.eval_i32(ctx, amount_expr, day, stock_state.as_ref(), None)?;
intents.push(OrderIntent::TargetShares {
symbol: symbol.clone(),
target_quantity,
reason: reason.clone(),
});
}
PlatformExplicitOrderKind::LimitTargetShares => {
let target_quantity =
self.eval_i32(ctx, amount_expr, day, stock_state.as_ref(), None)?;
let limit_price = self.eval_float(
ctx,
limit_price_expr.as_deref().unwrap_or_default(),
day,
stock_state.as_ref(),
None,
)?;
intents.push(OrderIntent::LimitTargetShares {
symbol: symbol.clone(),
target_quantity,
limit_price,
reason: reason.clone(),
});
}
PlatformExplicitOrderKind::Value => {
let value =
self.eval_float(ctx, amount_expr, day, stock_state.as_ref(), None)?;
@@ -3250,6 +3278,116 @@ mod tests {
);
}
#[test]
fn platform_strategy_emits_target_shares_explicit_action() {
let date = d(2025, 2, 3);
let data = DataSet::from_components(
vec![Instrument {
symbol: "000001.SZ".to_string(),
name: "Ping An Bank".to_string(),
board: "SZ".to_string(),
round_lot: 100,
listed_at: Some(d(2020, 1, 1)),
delisted_at: None,
status: "active".to_string(),
}],
vec![DailyMarketSnapshot {
date,
symbol: "000001.SZ".to_string(),
timestamp: Some("2025-02-03 10:18:00".to_string()),
day_open: 10.0,
open: 10.0,
high: 10.4,
low: 9.8,
close: 10.2,
last_price: 10.2,
bid1: 10.18,
ask1: 10.22,
prev_close: 9.9,
volume: 100_000,
tick_volume: 5_000,
bid1_volume: 2_500,
ask1_volume: 2_500,
trading_phase: Some("continuous".to_string()),
paused: false,
upper_limit: 10.89,
lower_limit: 8.91,
price_tick: 0.01,
}],
vec![DailyFactorSnapshot {
date,
symbol: "000001.SZ".to_string(),
market_cap_bn: 50.0,
free_float_cap_bn: 45.0,
pe_ttm: 10.0,
turnover_ratio: Some(1.2),
effective_turnover_ratio: Some(1.0),
extra_factors: BTreeMap::new(),
}],
vec![CandidateEligibility {
date,
symbol: "000001.SZ".to_string(),
is_st: false,
is_new_listing: false,
is_kcb: false,
is_paused: false,
allow_buy: true,
allow_sell: true,
is_one_yuan: false,
}],
vec![BenchmarkSnapshot {
date,
benchmark: "000852.SH".to_string(),
open: 1000.0,
close: 1001.0,
prev_close: 999.0,
volume: 100_000,
}],
)
.expect("dataset");
let portfolio = PortfolioState::new(1_000_000.0);
let ctx = StrategyContext {
execution_date: date,
decision_date: date,
decision_index: 0,
data: &data,
portfolio: &portfolio,
open_orders: &[],
process_events: &[],
active_process_event: None,
};
let mut cfg = PlatformExprStrategyConfig::microcap_rotation();
cfg.signal_symbol = "000001.SZ".to_string();
cfg.rotation_enabled = false;
cfg.benchmark_short_ma_days = 1;
cfg.benchmark_long_ma_days = 1;
cfg.explicit_actions = vec![PlatformTradeAction::Order {
kind: PlatformExplicitOrderKind::TargetShares,
symbol: "000001.SZ".to_string(),
amount_expr: "2000".to_string(),
limit_price_expr: None,
when_expr: Some("allow_buy".to_string()),
reason: "platform_target_shares".to_string(),
}];
let mut strategy = PlatformExprStrategy::new(cfg);
let decision = strategy.on_day(&ctx).expect("platform decision");
assert_eq!(decision.order_intents.len(), 1);
match &decision.order_intents[0] {
crate::strategy::OrderIntent::TargetShares {
symbol,
target_quantity,
reason,
} => {
assert_eq!(symbol, "000001.SZ");
assert_eq!(*target_quantity, 2000);
assert_eq!(reason, "platform_target_shares");
}
other => panic!("unexpected explicit target shares intent: {other:?}"),
}
}
#[test]
fn platform_strategy_emits_explicit_actions_in_open_auction_stage() {
let date = d(2025, 2, 3);

11
crates/fidc-core/src/strategy.rs
View File

@@ -309,6 +309,17 @@ pub enum OrderIntent {
limit_price: f64,
reason: String,
},
TargetShares {
symbol: String,
target_quantity: i32,
reason: String,
},
LimitTargetShares {
symbol: String,
target_quantity: i32,
limit_price: f64,
reason: String,
},
TargetValue {
symbol: String,
target_value: f64,

2
crates/fidc-core/src/strategy_ai.rs
View File

@@ -120,7 +120,7 @@ pub fn built_in_strategy_manual() -> StrategyAiManual {
},
ManualSection {
title: "trading.rotation / order.* / cancel.*".to_string(),
detail: "支持显式下单和撤单。可以用 trading.rotation(false) 关闭默认轮动链路，再用 trading.stage(\"open_auction\" | \"on_day\") 指定执行阶段，用 trading.schedule.daily() / trading.schedule.weekly(weekday=5) / trading.schedule.weekly(tradingday=-1) / trading.schedule.monthly(tradingday=1) 指定触发频率，然后写 order.shares(\"600000.SH\", 1000)、order.value(\"600000.SH\", cash * 0.25)、order.target_percent(\"600000.SH\", 0.05)、order.limit_value(\"600000.SH\", cash * 0.25, open * 0.99)、cancel.order(12345)、cancel.symbol(\"600000.SH\")、cancel.all()。symbol 使用标准证券代码；数量、金额、仓位、限价和 order_id 都支持表达式；这些语句也支持放进 when/unless 条件块。".to_string(),
detail: "支持显式下单和撤单。可以用 trading.rotation(false) 关闭默认轮动链路，再用 trading.stage(\"open_auction\" | \"on_day\") 指定执行阶段，用 trading.schedule.daily() / trading.schedule.weekly(weekday=5) / trading.schedule.weekly(tradingday=-1) / trading.schedule.monthly(tradingday=1) 指定触发频率，然后写 order.shares(\"600000.SH\", 1000)、order.target_shares(\"600000.SH\", 2000)、order.value(\"600000.SH\", cash * 0.25)、order.target_percent(\"600000.SH\", 0.05)、order.limit_value(\"600000.SH\", cash * 0.25, open * 0.99)、cancel.order(12345)、cancel.symbol(\"600000.SH\")、cancel.all()。其中 order.target_shares(...) 对应 rqalpha 的 order_to 语义。symbol 使用标准证券代码；数量、金额、仓位、限价和 order_id 都支持表达式；这些语句也支持放进 when/unless 条件块。".to_string(),
},
ManualSection {
title: "when / unless / else".to_string(),

104
crates/fidc-core/tests/explicit_order_flow.rs
View File

@@ -219,6 +219,110 @@ fn broker_executes_order_shares_and_order_lots() {
);
}
#[test]
fn broker_executes_target_shares_like_order_to() {
let date = NaiveDate::from_ymd_opt(2024, 1, 10).unwrap();
let data = DataSet::from_components(
vec![Instrument {
symbol: "000002.SZ".to_string(),
name: "Test".to_string(),
board: "SZ".to_string(),
round_lot: 100,
listed_at: None,
delisted_at: None,
status: "active".to_string(),
}],
vec![DailyMarketSnapshot {
date,
symbol: "000002.SZ".to_string(),
timestamp: Some("2024-01-10 10:18:00".to_string()),
day_open: 10.0,
open: 10.0,
high: 10.1,
low: 9.9,
close: 10.0,
last_price: 10.0,
bid1: 9.99,
ask1: 10.01,
prev_close: 10.0,
volume: 100_000,
tick_volume: 100_000,
bid1_volume: 80_000,
ask1_volume: 80_000,
trading_phase: Some("continuous".to_string()),
paused: false,
upper_limit: 11.0,
lower_limit: 9.0,
price_tick: 0.01,
}],
vec![DailyFactorSnapshot {
date,
symbol: "000002.SZ".to_string(),
market_cap_bn: 50.0,
free_float_cap_bn: 45.0,
pe_ttm: 15.0,
turnover_ratio: Some(2.0),
effective_turnover_ratio: Some(1.8),
extra_factors: BTreeMap::new(),
}],
vec![CandidateEligibility {
date,
symbol: "000002.SZ".to_string(),
is_st: false,
is_new_listing: false,
is_kcb: false,
is_paused: false,
allow_buy: true,
allow_sell: true,
is_one_yuan: false,
}],
vec![BenchmarkSnapshot {
date,
benchmark: "000852.SH".to_string(),
open: 1000.0,
close: 1002.0,
prev_close: 998.0,
volume: 1_000_000,
}],
)
.expect("dataset");
let mut portfolio = PortfolioState::new(1_000_000.0);
portfolio
.position_mut("000002.SZ")
.buy(date.pred_opt().expect("previous day"), 300, 9.0);
let broker = BrokerSimulator::new(
ChinaAShareCostModel::default(),
ChinaEquityRuleHooks::default(),
);
let report = broker
.execute(
date,
&mut portfolio,
&data,
&StrategyDecision {
rebalance: false,
target_weights: BTreeMap::new(),
exit_symbols: BTreeSet::new(),
order_intents: vec![OrderIntent::TargetShares {
symbol: "000002.SZ".to_string(),
target_quantity: 150,
reason: "test_target_shares".to_string(),
}],
notes: Vec::new(),
diagnostics: Vec::new(),
},
)
.expect("broker execution");
assert_eq!(portfolio.position("000002.SZ").map(|pos| pos.quantity), Some(200));
assert_eq!(report.fill_events.len(), 1);
assert_eq!(report.fill_events[0].side, fidc_core::OrderSide::Sell);
assert_eq!(report.fill_events[0].quantity, 100);
}
#[test]
fn broker_executes_order_percent_and_target_percent() {
let date = NaiveDate::from_ymd_opt(2024, 1, 10).unwrap();