修正执行价quote多时间加载
This commit is contained in:
boris
@@ -1,10 +1,11 @@
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use chrono::{NaiveDate, NaiveTime};
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use chrono::{Duration, NaiveDate, NaiveTime};
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use fidc_core::{
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BacktestConfig, BacktestEngine, BenchmarkSnapshot, BrokerSimulator, CandidateEligibility,
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ChinaAShareCostModel, ChinaEquityRuleHooks, DailyFactorSnapshot, DailyMarketSnapshot, DataSet,
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IntradayExecutionQuote, MatchingType, OrderIntent, PriceField, Strategy, StrategyContext,
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StrategyDecision,
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};
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use std::sync::{Arc, Mutex};
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fn d(year: i32, month: u32, day: u32) -> NaiveDate {
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NaiveDate::from_ymd_opt(year, month, day).expect("valid date")
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@@ -209,9 +210,7 @@ fn engine_preloads_declared_decision_quotes_for_current_positions() {
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.map(|symbol| IntradayExecutionQuote {
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date: request.date,
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symbol,
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timestamp: request
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.date
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.and_time(t(10, 39, 59)),
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timestamp: request.date.and_time(t(10, 39, 59)),
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last_price: if request.date == second { 11.0 } else { 10.0 },
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bid1: if request.date == second { 11.0 } else { 10.0 },
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ask1: if request.date == second { 11.0 } else { 10.0 },
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@@ -226,3 +225,235 @@ fn engine_preloads_declared_decision_quotes_for_current_positions() {
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engine.run().expect("backtest should run");
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}
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#[derive(Default)]
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struct MultiTimeDecisionQuoteReader {
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day_count: usize,
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}
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impl Strategy for MultiTimeDecisionQuoteReader {
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fn name(&self) -> &str {
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"multi_time_decision_quote_reader"
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}
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fn decision_quote_times(&self) -> Vec<NaiveTime> {
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vec![t(10, 31, 0), t(10, 40, 0)]
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}
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fn on_day(
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&mut self,
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ctx: &StrategyContext<'_>,
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) -> Result<StrategyDecision, fidc_core::BacktestError> {
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self.day_count += 1;
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if self.day_count == 1 {
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return Ok(StrategyDecision {
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order_intents: vec![OrderIntent::Value {
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symbol: "000001.SZ".to_string(),
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value: 5_000.0,
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reason: "seed_position".to_string(),
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}],
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..StrategyDecision::default()
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});
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}
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let quote_times = ctx
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.data
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.execution_quotes_on(ctx.execution_date, "000001.SZ")
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.iter()
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.map(|quote| quote.timestamp.time())
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.collect::<Vec<_>>();
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assert!(
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quote_times.contains(&t(10, 30, 59)),
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"10:31 decision quote must be loaded"
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);
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assert!(
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quote_times.contains(&t(10, 39, 59)),
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"10:40 decision quote must not be skipped because 10:31 was loaded"
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);
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Ok(StrategyDecision::default())
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}
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}
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#[test]
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fn engine_loads_distinct_decision_quote_times_on_same_day() {
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let first = d(2026, 1, 5);
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let second = d(2026, 1, 6);
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let data = DataSet::from_components(
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Vec::new(),
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vec![
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DailyMarketSnapshot {
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date: first,
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symbol: "000001.SZ".to_string(),
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timestamp: Some("2026-01-05 15:00:00".to_string()),
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day_open: 10.0,
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open: 10.0,
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high: 10.2,
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low: 9.9,
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close: 10.0,
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last_price: 10.0,
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bid1: 10.0,
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ask1: 10.0,
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prev_close: 9.8,
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volume: 10_000,
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tick_volume: 1_000,
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bid1_volume: 10_000,
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ask1_volume: 10_000,
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trading_phase: Some("continuous".to_string()),
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paused: false,
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upper_limit: 10.78,
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lower_limit: 8.82,
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price_tick: 0.01,
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},
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DailyMarketSnapshot {
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date: second,
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symbol: "000001.SZ".to_string(),
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timestamp: Some("2026-01-06 15:00:00".to_string()),
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day_open: 10.5,
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open: 10.5,
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high: 11.2,
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low: 10.4,
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close: 10.6,
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last_price: 10.6,
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bid1: 10.6,
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ask1: 10.6,
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prev_close: 10.0,
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volume: 10_000,
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tick_volume: 1_000,
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bid1_volume: 10_000,
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ask1_volume: 10_000,
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trading_phase: Some("continuous".to_string()),
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paused: false,
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upper_limit: 11.0,
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lower_limit: 9.0,
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price_tick: 0.01,
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},
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],
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vec![
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DailyFactorSnapshot {
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date: first,
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symbol: "000001.SZ".to_string(),
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market_cap_bn: 10.0,
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free_float_cap_bn: 10.0,
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pe_ttm: 10.0,
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turnover_ratio: None,
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effective_turnover_ratio: None,
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extra_factors: Default::default(),
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},
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DailyFactorSnapshot {
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date: second,
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symbol: "000001.SZ".to_string(),
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market_cap_bn: 10.0,
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free_float_cap_bn: 10.0,
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pe_ttm: 10.0,
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turnover_ratio: None,
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effective_turnover_ratio: None,
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extra_factors: Default::default(),
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},
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],
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vec![
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CandidateEligibility {
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date: first,
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symbol: "000001.SZ".to_string(),
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is_st: false,
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is_new_listing: false,
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is_paused: false,
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allow_buy: true,
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allow_sell: true,
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is_kcb: false,
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is_one_yuan: false,
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},
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CandidateEligibility {
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date: second,
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symbol: "000001.SZ".to_string(),
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is_st: false,
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is_new_listing: false,
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is_paused: false,
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allow_buy: true,
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allow_sell: true,
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is_kcb: false,
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is_one_yuan: false,
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},
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],
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vec![
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BenchmarkSnapshot {
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date: first,
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benchmark: "000852.SH".to_string(),
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open: 1000.0,
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close: 1000.0,
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prev_close: 990.0,
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volume: 1_000_000,
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},
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BenchmarkSnapshot {
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date: second,
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benchmark: "000852.SH".to_string(),
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open: 1000.0,
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close: 1001.0,
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prev_close: 1000.0,
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volume: 1_000_000,
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},
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],
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)
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.expect("dataset");
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let broker = BrokerSimulator::new_with_execution_price(
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ChinaAShareCostModel::default(),
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ChinaEquityRuleHooks,
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PriceField::Last,
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)
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.with_matching_type(MatchingType::NextTickLast)
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.with_intraday_execution_start_time(t(10, 40, 0));
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let config = BacktestConfig {
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initial_cash: 10_000.0,
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benchmark_code: "000852.SH".to_string(),
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start_date: Some(first),
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end_date: Some(second),
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decision_lag_trading_days: 0,
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execution_price_field: PriceField::Last,
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};
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let requests = Arc::new(Mutex::new(Vec::<(NaiveDate, NaiveTime)>::new()));
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let captured_requests = Arc::clone(&requests);
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let mut engine = BacktestEngine::new(
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data,
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MultiTimeDecisionQuoteReader::default(),
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broker,
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config,
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)
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.with_execution_quote_loader(move |request| {
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let start_time = request
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.start_time
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.expect("decision quote loader request must include start_time");
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captured_requests
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.lock()
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.expect("request mutex")
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.push((request.date, start_time));
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Ok(request
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.symbols
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.into_iter()
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.map(|symbol| IntradayExecutionQuote {
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date: request.date,
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symbol,
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timestamp: request.date.and_time(start_time) - Duration::seconds(1),
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last_price: 10.0,
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bid1: 10.0,
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ask1: 10.0,
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bid1_volume: 10_000,
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ask1_volume: 10_000,
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volume_delta: 10_000,
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amount_delta: 100_000.0,
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trading_phase: Some("continuous".to_string()),
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})
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.collect())
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});
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engine.run().expect("backtest should run");
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let requests = requests.lock().expect("request mutex").clone();
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assert!(
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requests.contains(&(second, t(10, 31, 0))),
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"second-day 10:31 quote request is required"
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);
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assert!(
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requests.contains(&(second, t(10, 40, 0))),
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"second-day 10:40 quote request must not be skipped by earlier quote"
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);
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}
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