Compare commits
3 Commits
| Author | SHA1 | Date | |
|---|---|---|---|
 boris
|
81acc54228 | ||
|
boris
|
600808b171 | ||
|
boris
|
d2f1b64af1 |
@@ -228,6 +228,13 @@ struct RestingOrderOrigin {
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accepted_date: NaiveDate,
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}
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#[derive(Clone, Copy, PartialEq, Eq)]
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enum BrokerCallbackPhase {
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Normal,
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ControlsOnly,
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BeforeStrategy,
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}
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#[derive(Debug, Default)]
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struct BrokerExecutionSession {
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date: Option<NaiveDate>,
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@@ -463,6 +470,7 @@ pub struct BrokerSimulator<C, R> {
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runtime_intraday_start_time: Cell<Option<NaiveTime>>,
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runtime_intraday_end_time: Cell<Option<NaiveTime>>,
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runtime_execution_clock: Cell<Option<NaiveTime>>,
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runtime_callback_phase: Cell<BrokerCallbackPhase>,
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runtime_algo_schedule: Cell<Option<AlgoExecutionRequest>>,
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runtime_unprocessed_algorithm_cash: Cell<FixedMoney>,
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runtime_decision_date: Cell<Option<NaiveDate>>,
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@@ -510,6 +518,7 @@ impl<C, R> BrokerSimulator<C, R> {
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runtime_intraday_start_time: Cell::new(None),
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runtime_intraday_end_time: Cell::new(None),
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runtime_execution_clock: Cell::new(None),
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runtime_callback_phase: Cell::new(BrokerCallbackPhase::Normal),
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runtime_algo_schedule: Cell::new(None),
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runtime_unprocessed_algorithm_cash: Cell::new(FixedMoney::ZERO),
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runtime_decision_date: Cell::new(None),
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@@ -561,6 +570,7 @@ impl<C, R> BrokerSimulator<C, R> {
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runtime_intraday_start_time: Cell::new(None),
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runtime_intraday_end_time: Cell::new(None),
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runtime_execution_clock: Cell::new(None),
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runtime_callback_phase: Cell::new(BrokerCallbackPhase::Normal),
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runtime_algo_schedule: Cell::new(None),
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runtime_unprocessed_algorithm_cash: Cell::new(FixedMoney::ZERO),
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runtime_decision_date: Cell::new(None),
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@@ -1643,17 +1653,21 @@ where
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self.deferred_stock_pools.borrow_mut().remove(&contract.pool_id);
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}
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}
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self.process_open_orders(
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date,
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portfolio,
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data,
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&mut session.intraday_turnover,
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&mut session.execution_cursors,
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&mut session.global_execution_cursor,
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&mut session.commission_state,
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&mut report,
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)?;
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self.resume_stock_pool_executions(date, portfolio, data, session, &mut report)?;
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if self.runtime_callback_phase.get() != BrokerCallbackPhase::ControlsOnly {
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self.process_open_orders(
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date,
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portfolio,
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data,
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&mut session.intraday_turnover,
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&mut session.execution_cursors,
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&mut session.global_execution_cursor,
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&mut session.commission_state,
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&mut report,
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)?;
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if self.runtime_callback_phase.get() == BrokerCallbackPhase::Normal {
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self.resume_stock_pool_executions(date, portfolio, data, session, &mut report)?;
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}
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}
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if !decision.order_intents.is_empty() {
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let mut ordered_intents = decision.order_intents.iter().collect::<Vec<_>>();
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if self.effective_rebalance_cash_mode() != RebalanceCashMode::PreOpenCash
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@@ -1830,6 +1844,50 @@ where
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)
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}
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#[allow(clippy::too_many_arguments)]
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pub(crate) fn execute_controls_without_matching(
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&self,
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date: NaiveDate,
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decision_date: NaiveDate,
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portfolio: &mut PortfolioState,
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data: &DataSet,
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decision: &StrategyDecision,
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clock: Option<NaiveTime>,
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) -> Result<BrokerExecutionReport, BacktestError> {
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if decision.rebalance
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|| !decision.target_weights.is_empty()
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|| !decision.exit_symbols.is_empty()
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|| decision.order_intents.iter().any(|intent| {
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!matches!(
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intent.unwrapped(),
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OrderIntent::CancelOrder { .. }
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| OrderIntent::CancelSymbol { .. }
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| OrderIntent::CancelAll { .. }
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| OrderIntent::ModifyOrder { .. }
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)
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})
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{
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return Err(BacktestError::Execution(
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"non-matching control phase only accepts cancel or modify requests".into(),
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));
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}
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let _guard = RestoreCell(
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&self.runtime_callback_phase,
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self.runtime_callback_phase
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.replace(BrokerCallbackPhase::ControlsOnly),
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);
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self.execute_between_with_event_dates(
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date,
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decision_date,
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decision_date,
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portfolio,
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data,
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decision,
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clock,
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clock,
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)
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}
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#[allow(clippy::too_many_arguments)]
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pub(crate) fn execute_coarse_at_clock(
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&self,
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@@ -1861,6 +1919,35 @@ where
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)
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}
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#[allow(clippy::too_many_arguments)]
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pub(crate) fn execute_before_strategy_at_clock(
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&self,
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date: NaiveDate,
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decision_date: NaiveDate,
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order_created_date: NaiveDate,
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decision_total_equity: Option<f64>,
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portfolio: &mut PortfolioState,
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data: &DataSet,
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decision: &StrategyDecision,
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clock: Option<NaiveTime>,
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) -> Result<BrokerExecutionReport, BacktestError> {
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let _guard = RestoreCell(
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&self.runtime_callback_phase,
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self.runtime_callback_phase
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.replace(BrokerCallbackPhase::BeforeStrategy),
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);
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self.execute_coarse_at_clock(
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date,
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decision_date,
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order_created_date,
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decision_total_equity,
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portfolio,
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data,
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decision,
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clock,
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)
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}
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pub fn execute_between_with_event_dates(
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&self,
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date: NaiveDate,
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@@ -675,3 +675,104 @@ fn a_clock_slice_does_not_turn_window_twap_into_an_unlimited_instant_order() {
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assert_eq!(last.order_events.last().unwrap().filled_quantity, 200);
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assert!(broker.open_order_views().is_empty());
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}
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#[test]
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fn non_matching_controls_amend_or_cancel_without_filling_a_crossing_quote() {
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let data = data(&[(0, 10., 4_000), (2, 9.4, 4_000)]);
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let broker = broker();
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let mut account = PortfolioState::new(20_000.);
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step(
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&broker,
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&mut account,
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&data,
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0,
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&StrategyDecision {
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order_intents: vec![
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OrderIntent::LimitShares {
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symbol: "000001.SZ".into(),
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quantity: 100,
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limit_price: 9.5,
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reason: "resting".into(),
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}
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.with_time_in_force(OrderTimeInForce::Gtc),
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],
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..Default::default()
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},
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);
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assert_eq!(broker.open_order_views().len(), 1);
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let modify = broker
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.execute_controls_without_matching(
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limit_test_snapshot().date,
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limit_test_snapshot().date,
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&mut account,
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&data,
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&StrategyDecision {
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order_intents: vec![OrderIntent::ModifyOrder {
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order_id: 1,
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new_total_quantity: Some(200),
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new_limit_price: Some(9.3),
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reason: "pre-open-amend".into(),
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}],
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..Default::default()
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},
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Some(time(2)),
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)
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.unwrap();
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assert!(modify.fill_events.is_empty());
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assert_eq!(broker.open_order_views()[0].limit_price, 9.3);
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assert_eq!(broker.open_order_views()[0].requested_quantity, 200);
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let cancel = broker
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.execute_controls_without_matching(
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limit_test_snapshot().date,
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limit_test_snapshot().date,
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&mut account,
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&data,
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&StrategyDecision {
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order_intents: vec![OrderIntent::CancelAll {
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reason: "pre-open-cancel".into(),
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}],
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..Default::default()
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},
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Some(time(2)),
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)
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.unwrap();
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assert!(cancel.fill_events.is_empty());
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assert_eq!(
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cancel.order_events.last().unwrap().status,
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OrderStatus::Canceled
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);
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assert_eq!(account.cash(), 20_000.);
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assert!(broker.open_order_views().is_empty());
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}
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#[test]
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fn control_only_phase_cannot_be_used_to_submit_an_order_or_leave_matching_disabled() {
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let data = data(&[(0, 10., 4_000)]);
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let broker = broker();
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let mut account = PortfolioState::new(20_000.);
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let submit = StrategyDecision {
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order_intents: vec![OrderIntent::Shares {
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symbol: "000001.SZ".into(),
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quantity: 100,
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reason: "normal-order".into(),
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}],
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..Default::default()
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};
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assert!(
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broker
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.execute_controls_without_matching(
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limit_test_snapshot().date,
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limit_test_snapshot().date,
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&mut account,
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&data,
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&submit,
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Some(time(0))
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)
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.is_err()
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);
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assert_eq!(account.cash(), 20_000.);
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assert_eq!(
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step(&broker, &mut account, &data, 0, &submit).fill_events[0].quantity,
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100
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);
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}
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+865
-50
File diff suppressed because it is too large
Load Diff
@@ -990,6 +990,15 @@ pub struct StrategyDecision {
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}
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impl StrategyDecision {
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pub(crate) fn is_portfolio_target_only(&self) -> bool {
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(self.rebalance && self.order_intents.is_empty())
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|| (self.order_intents.len() == 1
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&& matches!(
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self.order_intents[0].unwrapped(),
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OrderIntent::StockPool { .. } | OrderIntent::TargetPortfolioSmart { .. }
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))
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}
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pub fn potential_buy_symbols(&self, open_orders: &[OpenOrderView]) -> BTreeSet<String> {
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let mut symbols = BTreeSet::new();
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if self.rebalance {
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@@ -1003,9 +1012,24 @@ impl StrategyDecision {
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}
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pub fn merge_from(&mut self, mut other: StrategyDecision) {
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if self.is_portfolio_target_only() && other.is_portfolio_target_only() {
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let mut previous = std::mem::replace(self, other);
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previous
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.diagnostics
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.push("unsubmitted_portfolio_target_superseded".into());
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self.notes.splice(0..0, previous.notes);
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self.diagnostics.splice(0..0, previous.diagnostics);
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return;
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}
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self.buy_denials.append(&mut other.buy_denials);
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self.rebalance |= other.rebalance;
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self.target_weights.append(&mut other.target_weights);
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if other.rebalance {
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// Rebalance targets are a complete portfolio, not an additive
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// list. A newer unsent target replaces the earlier allocation.
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self.rebalance = true;
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self.target_weights = std::mem::take(&mut other.target_weights);
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} else {
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self.target_weights.append(&mut other.target_weights);
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}
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self.exit_symbols.append(&mut other.exit_symbols);
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self.order_intents.append(&mut other.order_intents);
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self.notes.append(&mut other.notes);
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@@ -1025,6 +1049,52 @@ impl StrategyDecision {
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}
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}
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#[cfg(test)]
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mod decision_merge_tests {
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use super::*;
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#[test]
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fn newer_complete_target_replaces_old_symbols_without_discarding_explicit_actions() {
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let mut earlier = StrategyDecision {
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rebalance: true,
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target_weights: BTreeMap::from([("A".into(), 0.5), ("B".into(), 0.5)]),
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exit_symbols: BTreeSet::from(["risk_exit".into()]),
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order_intents: vec![OrderIntent::Shares {
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symbol: "explicit".into(),
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quantity: 100,
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reason: "explicit action".into(),
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}],
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..Default::default()
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};
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earlier.merge_from(StrategyDecision {
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rebalance: true,
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target_weights: BTreeMap::from([("C".into(), 1.)]),
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..Default::default()
|
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});
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assert_eq!(earlier.target_weights, BTreeMap::from([("C".into(), 1.)]));
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assert!(earlier.rebalance);
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assert!(earlier.exit_symbols.contains("risk_exit"));
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assert_eq!(earlier.order_intents.len(), 1);
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}
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|
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#[test]
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fn explicit_empty_complete_target_replaces_old_allocation_but_empty_callback_does_not() {
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let mut decision = StrategyDecision {
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rebalance: true,
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target_weights: BTreeMap::from([("A".into(), 1.)]),
|
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..Default::default()
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};
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decision.merge_from(StrategyDecision::default());
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assert_eq!(decision.target_weights.len(), 1);
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decision.merge_from(StrategyDecision {
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rebalance: true,
|
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..Default::default()
|
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});
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assert!(decision.target_weights.is_empty());
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assert!(decision.rebalance);
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}
|
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}
|
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|
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#[derive(Debug, Clone, Copy, PartialEq, Eq)]
|
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pub enum AlgoOrderStyle {
|
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Vwap,
|
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|
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@@ -1535,6 +1535,90 @@ fn engine_executes_futures_order_intents_against_future_account() {
|
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assert!((futures_account.cash() - 355_988.0).abs() < 1e-6);
|
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}
|
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|
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#[test]
|
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fn futures_directive_notifications_include_the_actual_recorded_fill() {
|
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struct Observed {
|
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inner: FuturesOrderStrategy,
|
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seen: Rc<RefCell<Vec<u64>>>,
|
||||
}
|
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impl Strategy for Observed {
|
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fn name(&self) -> &str {
|
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"observed-futures-directive"
|
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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.inner.on_day(ctx)
|
||||
}
|
||||
fn on_process_event(
|
||||
&mut self,
|
||||
ctx: &StrategyContext<'_>,
|
||||
event: &ProcessEvent,
|
||||
) -> Result<(), fidc_core::BacktestError> {
|
||||
if event.kind == ProcessEventKind::Trade
|
||||
&& event.symbol.as_deref() == Some("IF2501")
|
||||
{
|
||||
let id = event.order_id.unwrap();
|
||||
assert!(
|
||||
ctx.fills
|
||||
.iter()
|
||||
.any(|fill| fill.order_id == Some(id) && fill.symbol == "IF2501")
|
||||
);
|
||||
assert!(
|
||||
ctx.order_events
|
||||
.iter()
|
||||
.any(|order| order.order_id == Some(id)
|
||||
&& order.status == OrderStatus::Filled)
|
||||
);
|
||||
assert_eq!(
|
||||
ctx.current_datetime().map(|time| time.date()),
|
||||
Some(ctx.execution_date)
|
||||
);
|
||||
self.seen.borrow_mut().push(id);
|
||||
}
|
||||
Ok(())
|
||||
}
|
||||
}
|
||||
let seen = Rc::new(RefCell::new(Vec::new()));
|
||||
let broker = BrokerSimulator::new_with_execution_price(
|
||||
ChinaAShareCostModel::default(),
|
||||
ChinaEquityRuleHooks,
|
||||
PriceField::Open,
|
||||
)
|
||||
.with_volume_capacity_mode(
|
||||
fidc_core::execution_capacity::VolumeCapacityMode::SessionCapacityAudit,
|
||||
);
|
||||
let mut engine = BacktestEngine::new(
|
||||
two_day_futures_data(),
|
||||
Observed {
|
||||
inner: FuturesOrderStrategy,
|
||||
seen: seen.clone(),
|
||||
},
|
||||
broker,
|
||||
BacktestConfig {
|
||||
initial_cash: 100_000.,
|
||||
benchmark_code: "000300.SH".into(),
|
||||
start_date: Some(d(2025, 1, 2)),
|
||||
end_date: Some(d(2025, 1, 3)),
|
||||
decision_lag_trading_days: 0,
|
||||
execution_price_field: PriceField::Open,
|
||||
},
|
||||
)
|
||||
.with_futures_initial_cash(500_000.);
|
||||
let result = engine.run().unwrap();
|
||||
assert_eq!(
|
||||
*seen.borrow(),
|
||||
result
|
||||
.fills
|
||||
.iter()
|
||||
.filter(|fill| fill.symbol == "IF2501")
|
||||
.map(|fill| fill.order_id.unwrap())
|
||||
.collect::<Vec<_>>()
|
||||
);
|
||||
assert_eq!(seen.borrow().len(), 1);
|
||||
}
|
||||
|
||||
#[test]
|
||||
fn platform_runtime_actions_execute_generic_futures_open_and_close() {
|
||||
let mut cfg = PlatformExprStrategyConfig::generic();
|
||||
|
||||
@@ -224,6 +224,117 @@ fn decision(contract: FrozenStockPoolIntent) -> StrategyDecision {
|
||||
}
|
||||
}
|
||||
|
||||
#[test]
|
||||
fn a_fresh_zero_target_prevents_resuming_the_previous_unsubmitted_buy_leg() {
|
||||
use fidc_core::{ScheduleRule, ScheduleStage, ScheduleTimeRule, Strategy, StrategyContext};
|
||||
struct Probe;
|
||||
impl Strategy for Probe {
|
||||
fn name(&self) -> &str {
|
||||
"fresh-target-before-resume"
|
||||
}
|
||||
fn requires_minute_callbacks(&self) -> bool {
|
||||
false
|
||||
}
|
||||
fn schedule_rules(&self) -> Vec<ScheduleRule> {
|
||||
vec![
|
||||
ScheduleRule::daily("earlier-pool", ScheduleStage::Minute)
|
||||
.with_time_rule(ScheduleTimeRule::physical_time(9, 30)),
|
||||
]
|
||||
}
|
||||
fn on_scheduled(
|
||||
&mut self,
|
||||
ctx: &StrategyContext<'_>,
|
||||
_: &ScheduleRule,
|
||||
) -> Result<StrategyDecision, fidc_core::BacktestError> {
|
||||
if ctx.execution_date != day(5) {
|
||||
return Ok(StrategyDecision::default());
|
||||
}
|
||||
let mut old = contract(day(5), 2, false);
|
||||
old.out_of_pool_policy = "reduce_to_zero_when_sellable".into();
|
||||
old.rule.window_end = "13:30".into();
|
||||
old.rule.pricing_mode = POOL_PRICE_FORMULA_LIMIT.into();
|
||||
old.generation = "earlier-pool-at-open".into();
|
||||
Ok(decision(old))
|
||||
}
|
||||
fn on_day(
|
||||
&mut self,
|
||||
ctx: &StrategyContext<'_>,
|
||||
) -> Result<StrategyDecision, fidc_core::BacktestError> {
|
||||
if ctx.execution_date == day(2) {
|
||||
return Ok(StrategyDecision {
|
||||
order_intents: vec![OrderIntent::Shares {
|
||||
symbol: code(1),
|
||||
quantity: 100,
|
||||
reason: "original-holding".into(),
|
||||
}],
|
||||
..Default::default()
|
||||
});
|
||||
}
|
||||
assert!(ctx.open_orders.is_empty());
|
||||
let mut latest = contract(day(5), 2, false);
|
||||
latest.out_of_pool_policy = "reduce_to_zero_when_sellable".into();
|
||||
latest.rule.window_end = "13:30".into();
|
||||
latest.invest_ratio_bps = 0;
|
||||
latest.generation = "fresh-zero-at-1300".into();
|
||||
Ok(decision(latest))
|
||||
}
|
||||
}
|
||||
let mut rows = data(false).snapshot_components();
|
||||
let mut quotes = Vec::new();
|
||||
for mut quote in rows.execution_quotes {
|
||||
if quote.date > day(5) {
|
||||
continue;
|
||||
}
|
||||
let mut afternoon = quote.clone();
|
||||
afternoon.timestamp = quote.date.and_hms_opt(13, 0, 0).unwrap();
|
||||
quotes.push(afternoon);
|
||||
if quote.date == day(5) && quote.symbol == code(1) {
|
||||
quote.volume_delta = 100;
|
||||
quote.amount_delta = quote.last_price * 100.;
|
||||
}
|
||||
quotes.push(quote);
|
||||
}
|
||||
rows.execution_quotes = quotes;
|
||||
let data = DataSet::from_components_with_actions_and_quotes(
|
||||
rows.instruments,
|
||||
rows.market,
|
||||
rows.factors,
|
||||
rows.candidates,
|
||||
rows.benchmarks,
|
||||
rows.corporate_actions,
|
||||
rows.execution_quotes,
|
||||
)
|
||||
.unwrap();
|
||||
let broker = broker(true)
|
||||
.with_matching_type(MatchingType::MinuteLast)
|
||||
.with_intraday_execution_start_time(chrono::NaiveTime::from_hms_opt(13, 0, 0).unwrap());
|
||||
let result = BacktestEngine::new(
|
||||
data,
|
||||
Probe,
|
||||
broker,
|
||||
BacktestConfig {
|
||||
initial_cash: 30_000.,
|
||||
benchmark_code: "000300.SH".into(),
|
||||
start_date: Some(day(2)),
|
||||
end_date: Some(day(5)),
|
||||
decision_lag_trading_days: 0,
|
||||
execution_price_field: PriceField::Last,
|
||||
},
|
||||
)
|
||||
.run()
|
||||
.unwrap();
|
||||
assert_eq!(result.fills.len(), 3, "{:?}", result.fills);
|
||||
assert!(result.fills.iter().all(|fill| fill.symbol == code(1)));
|
||||
assert_eq!(result.fills[1].side, fidc_core::OrderSide::Sell);
|
||||
assert_eq!(
|
||||
result.fills[2].execution_timestamp,
|
||||
day(5).and_hms_opt(13, 0, 0)
|
||||
);
|
||||
assert_eq!(result.fills[1].order_id, result.fills[2].order_id);
|
||||
assert_eq!(result.fills[1].quantity + result.fills[2].quantity, 100);
|
||||
assert!(result.holdings_summary.is_empty());
|
||||
}
|
||||
|
||||
#[test]
|
||||
fn paused_execution_day_keeps_the_prior_slot_and_never_submits_an_exit() {
|
||||
let data = data_with_suspension(1_000_000, Some(day(6)));
|
||||
|
||||
@@ -0,0 +1,35 @@
|
||||
# 回报上下文、盘前意图与尚未提交的目标
|
||||
|
||||
2026-09-14。本轮为v2026.9.14.4之后的候选，当前只有本机验证，尚未发布；完整股票池Goal继续。
|
||||
|
||||
## 已复现问题
|
||||
|
||||
1. `on_process_event`总是收到`active_datetime=None`及空委托/成交数组。10:00账本已有100股，但Trade/PostMinute回调的成交数量仍为0；不能靠普通`on_minute`已修复就认为通知链也完整。
|
||||
2. 15:05盘后成交后，PreAfterTrading仍被标为15:00；跨日模式的PostOnDay又使用信号日描述执行日已发生的成交。
|
||||
3. BeforeTrading调度只处理订阅、账户和期货指令，剩余股票买卖/撤改意图没有后续消费。简单在开盘调用普通broker执行还会让旧挂单先成交再撤单。
|
||||
4. 合并完整目标时只追加权重会保留旧证券；更重要的是，不能先提交盘前旧组合，之后才计算同一窗口的新目标，否则T+1可能使错误买入无法纠正。
|
||||
5. 策略计算前的空broker调用也会恢复上一目标的未提交买入腿。反例中原持仓100股，09:30卖25股、13:00卖剩余75股；若此时先恢复旧买入，已经准备将新目标设为0%的策略仍会买入另一股票3000股。
|
||||
|
||||
## 本轮处理
|
||||
|
||||
- 事件通知显式携带当前可见的委托、成交与回调时钟，移动已完成记录后再通知，不按每个回调复制整段历史。上下文是通知时已完成批次的最新状态，不冒充每一历史通知发生瞬间的账本快照。
|
||||
- 信号计算回调保留信号日；账户/委托通知使用实际执行日与物理时钟。默认收盘和结算不早于已处理时刻及当前适用的盘后结束点，管理费回调沿用同一完成时钟。
|
||||
- 盘前撤改走明确的非撮合控制阶段，保持原订单ID和实际已成交量；该入口拒绝买卖目标，不会顺带撮合旧单。普通显式买卖按原配置窗口执行，后续回调读取撤改后的真实活动订单。
|
||||
- 盘前与集合竞价的显式命令保留各自批次及约束。纯完整组合（完整rebalance或单一StockPool/TargetPortfolioSmart）可以被更新的完整意图替换；空回调不等于清仓，显式空完整目标才清仓。被替换意图的旧买入限制不能污染新完整目标。
|
||||
- 尚未提交的完整目标保留到当前窗口日度策略算完；新执行意图优先，只有没有新执行意图时才使用前面的目标。已提交挂单可以先更新实际成交，但策略计算前不恢复旧的未提交买入腿，之后再由正常执行路径处理当前意图。
|
||||
- 订阅/账户/直接期货指令通知同样获得完成后的历史；本轮不改变期货成交、会话或费用规则。
|
||||
|
||||
## 回归证据
|
||||
|
||||
- 通知链：09:30为空、10:00/10:01均看到100股及1笔实际成交，Trade通知可找到相同订单。
|
||||
- 盘后：15:05成交后的默认收盘/结算和管理费通知不倒退；next-open保持独立信号日和执行日。
|
||||
- 盘前：09:00生成100股命令，分别只在09:30/13:00配置窗口成交；保留备注/诊断。跨日撤销原GTC订单后，新订单只成交100股，未让旧单先成交。
|
||||
- 完整目标：盘前A、集合竞价B、日度A或显式空目标，最终只采用有效最新目标；日度无新信号时保持B。显式逐股命令不会被目标合并丢弃。
|
||||
- 恢复顺序：开启正常旧恢复的单点负向对照确实多买3000股；恢复BeforeStrategy阶段后，只有原股票同一卖单的25+75股成交，无新增买入，最终持仓为空。
|
||||
- 本机Core834项通过（9项原有ignore），Trading613、最新main Runner446/API119通过。外部数据库及平台ignore不当作通过。
|
||||
|
||||
当前代码尚需精确Linux构建、真实历史合同回放和配套发布；不得把本机验证当生产或真实券商成交验收。
|
||||
|
||||
## 继续范围
|
||||
|
||||
显式逐笔手工影子回放仍未完成，四类手工来源继续拒绝纯比例影子；原始撤单意图时刻不能用网关回报时刻冒充。还需继续检查会话外调度产生的未提交意图、完整阶段日历与其余参数/生命周期/适配器矩阵。Source冻结、研究/信号暂停、现有任务配置和真实路由不改。
|
||||
@@ -0,0 +1,258 @@
|
||||
{
|
||||
"verified_at": "2026-09-13T20:22:24.750379+00:00",
|
||||
"tag": "v2026.9.14.4",
|
||||
"processes": {
|
||||
"fidc-backtest-service-highmem177.service": {
|
||||
"pid": 3612875,
|
||||
"sha256": "4e9f142be0ae3f9ca8e1c126507d4a9905cde4b69859df4544472afd1bda1ff2",
|
||||
"journal_since": "2026-09-13T20:14:17.444770+00:00",
|
||||
"journal_lines": 54,
|
||||
"error_lines": 0
|
||||
},
|
||||
"fidc-trading-control-highmem177.service": {
|
||||
"pid": 3617963,
|
||||
"sha256": "cd587928591fef952f2e98b47aa338a1702def5edf016a7da9751296667f6674",
|
||||
"journal_since": "2026-09-13T20:19:57.821843+00:00",
|
||||
"journal_lines": 5,
|
||||
"error_lines": 0
|
||||
},
|
||||
"fidc-market-data-highmem177.service": {
|
||||
"pid": 3617964,
|
||||
"sha256": "2efb1d3ad7d510cf85e6047dd6d1981d0a30d768ff3d33c842adc52211002bdc",
|
||||
"journal_since": "2026-09-13T20:19:57.821843+00:00",
|
||||
"journal_lines": 5,
|
||||
"error_lines": 0
|
||||
},
|
||||
"fidc-strategy-runtime-highmem177.service": {
|
||||
"pid": 3618140,
|
||||
"sha256": "3d7f3f2e8756e7f3439075344fe9c8bc0b55df33e7e6f251282712274c00339d",
|
||||
"journal_since": "2026-09-13T20:19:57.821843+00:00",
|
||||
"journal_lines": 5,
|
||||
"error_lines": 0
|
||||
},
|
||||
"fidc-paper-trading-highmem177.service": {
|
||||
"pid": 3618260,
|
||||
"sha256": "0383b1d6cc7b3c48c6902dd7fd4760a38698c1916e0eaff63be26fe3f6b1a2ab",
|
||||
"journal_since": "2026-09-13T20:19:57.821843+00:00",
|
||||
"journal_lines": 6,
|
||||
"error_lines": 0
|
||||
},
|
||||
"fidc-live-trading-highmem177.service": {
|
||||
"pid": 3618246,
|
||||
"sha256": "583f52e204aeb416574ee17daa20cebed49e0659a194c81e8072a9249824e48e",
|
||||
"journal_since": "2026-09-13T20:19:57.821843+00:00",
|
||||
"journal_lines": 6,
|
||||
"error_lines": 0
|
||||
}
|
||||
},
|
||||
"source": {
|
||||
"commit": "d5b682c6d097",
|
||||
"pid": 1700096,
|
||||
"loaded_at": "2026-09-12T03:57:06.665536+00:00",
|
||||
"source_stale": false,
|
||||
"loaded_server_sha256": "ef827ce6b95e0ea63047a0068af2677633716e0a5d63cf350de6c91a3413e352"
|
||||
},
|
||||
"source_checkouts": {
|
||||
"fidc-backtest-engine": {
|
||||
"head": "9a54156df94cfbf11a1e6335ec6ef5449bd6ac17",
|
||||
"runtime_commit": "237ee15a518a668297959509daffc4b88995f310",
|
||||
"tracked_dirty": false
|
||||
},
|
||||
"fidc-backtest-service": {
|
||||
"head": "5ec8dc86d99736a0c0140440bd039d11e118c1c6",
|
||||
"runtime_commit": "e81bf47806f5ac4ae4798bb5f5955a56638f754c",
|
||||
"tracked_dirty": false
|
||||
},
|
||||
"fidc-trading-platform": {
|
||||
"head": "dab98e0cc09793df15b8c72841a6dc7e9a58a208",
|
||||
"runtime_commit": "dab98e0cc09793df15b8c72841a6dc7e9a58a208",
|
||||
"tracked_dirty": false
|
||||
},
|
||||
"omniquant": {
|
||||
"head": "6a2b2604b40505fa754453307c517fef60743426",
|
||||
"runtime_commit": "6a2b2604b40505fa754453307c517fef60743426",
|
||||
"tracked_dirty": false
|
||||
}
|
||||
},
|
||||
"ui_unchanged": {
|
||||
"commit": "6a2b2604b40505fa754453307c517fef60743426",
|
||||
"pid": 3089476
|
||||
},
|
||||
"http_cases": [
|
||||
{
|
||||
"name": "manual_first",
|
||||
"run_id": "btr_req_60612ec2af9f97df26a81c13448aec7d95b23a93f824c303",
|
||||
"status": "succeeded",
|
||||
"canonical_sha256": "0830216850b64d6e83291e072b31a9989f179915ee3341a75a77c73d1f9081a3",
|
||||
"trade_count": 10,
|
||||
"holding_count": 4,
|
||||
"final_equity": 9706248.648662,
|
||||
"old_result_unchanged": true
|
||||
},
|
||||
{
|
||||
"name": "automatic_first",
|
||||
"run_id": "btr_req_373da23c5ea5aaf4e59c38fbe37d663ae37731aeed8cc054",
|
||||
"status": "succeeded",
|
||||
"canonical_sha256": "c75cabcc03760f415bb664d20060e81c620d7a0201dd348ea71f75c932571de7",
|
||||
"trade_count": 10,
|
||||
"holding_count": 4,
|
||||
"final_equity": 9706248.648662,
|
||||
"old_result_unchanged": true
|
||||
},
|
||||
{
|
||||
"name": "stock24",
|
||||
"run_id": "btr_req_5bb965ea83e047c998ec16be656f40ec28a4e5d870aa6d74",
|
||||
"status": "succeeded",
|
||||
"canonical_sha256": "270b403542ab41290c3d6e027b89cdab24dd41a8e2851d8786b33daa51e0051f",
|
||||
"trade_count": 51,
|
||||
"holding_count": 21,
|
||||
"final_equity": 9685563.876924999,
|
||||
"old_result_unchanged": true
|
||||
}
|
||||
],
|
||||
"durable_events": [
|
||||
{
|
||||
"run_id": "btr_req_60612ec2af9f97df26a81c13448aec7d95b23a93f824c303",
|
||||
"count": 27,
|
||||
"unique_keys": 27,
|
||||
"days": 5
|
||||
},
|
||||
{
|
||||
"run_id": "btr_req_373da23c5ea5aaf4e59c38fbe37d663ae37731aeed8cc054",
|
||||
"count": 18,
|
||||
"unique_keys": 18,
|
||||
"days": 5
|
||||
},
|
||||
{
|
||||
"run_id": "btr_req_5bb965ea83e047c998ec16be656f40ec28a4e5d870aa6d74",
|
||||
"count": 32,
|
||||
"unique_keys": 32,
|
||||
"days": 5
|
||||
},
|
||||
{
|
||||
"run_id": "btr_req_a3c3dfe5cd81e27e565064a65665f561c60adebdc6c9c9b4",
|
||||
"count": 27,
|
||||
"unique_keys": 27,
|
||||
"days": 5
|
||||
}
|
||||
],
|
||||
"trading_state": {
|
||||
"paper": {
|
||||
"configuration": {
|
||||
"count": 3,
|
||||
"hash": "93f3224edef59c381164e0236529dacc"
|
||||
},
|
||||
"active": {
|
||||
"claims": 0,
|
||||
"orders": 0
|
||||
}
|
||||
},
|
||||
"live": {
|
||||
"configuration": {
|
||||
"count": 0,
|
||||
"hash": "d41d8cd98f00b204e9800998ecf8427e"
|
||||
},
|
||||
"active": {
|
||||
"claims": 0,
|
||||
"orders": 1,
|
||||
"today_orders": 0,
|
||||
"orders_hash": "d4b56fbf3a541a41a383ad4e48891bb8",
|
||||
"route_mode": "disabled"
|
||||
}
|
||||
}
|
||||
},
|
||||
"manual_facts_unchanged": {
|
||||
"paper": {
|
||||
"shadow_configurations": 0,
|
||||
"shadow_runs": 0,
|
||||
"manual_count": 3,
|
||||
"manual_hash": "82572901ac0b5fdb4d8b984f71e1763d",
|
||||
"migrations_hash": "21d711b2ee52d2d66a8be4e99b179190",
|
||||
"new_orders": 0
|
||||
},
|
||||
"live": {
|
||||
"shadow_configurations": 0,
|
||||
"shadow_runs": 0,
|
||||
"manual_count": 0,
|
||||
"manual_hash": "d41d8cd98f00b204e9800998ecf8427e",
|
||||
"migrations_hash": "610528d4f350309379c9398c4ea43f66",
|
||||
"new_orders": 0
|
||||
}
|
||||
},
|
||||
"broker_submission": false,
|
||||
"linux_core_tests": {
|
||||
"passed": 822,
|
||||
"failed": 0,
|
||||
"ignored": 9,
|
||||
"log": "/srv/fidc/canonical/run/fidc-private/evidence/clock-candidate-gqx8g70l/linux-core-tests.log"
|
||||
},
|
||||
"cleanup": {
|
||||
"apply": true,
|
||||
"deleted": [
|
||||
{
|
||||
"path": "/srv/fidc/canonical/build/holding-protection-stage-wywd2682/fidc-trading-platform/debug/incremental",
|
||||
"kind": "incremental_compiler_state",
|
||||
"bytes": 9553190912,
|
||||
"device": 2101,
|
||||
"inode": 39877787,
|
||||
"mtime_ns": 1789318996850462500,
|
||||
"links": 176,
|
||||
"size_bytes": 12288
|
||||
},
|
||||
{
|
||||
"path": "/srv/fidc/canonical/build/target-backtest/debug/incremental",
|
||||
"kind": "incremental_compiler_state",
|
||||
"bytes": 2103459840,
|
||||
"device": 2101,
|
||||
"inode": 29904450,
|
||||
"mtime_ns": 1789318494701447400,
|
||||
"links": 46,
|
||||
"size_bytes": 4096
|
||||
},
|
||||
{
|
||||
"path": "/srv/fidc/canonical/build/target-backtest/debug/deps/fidc_backtest_service-46310ff8aeeb4040",
|
||||
"kind": "superseded_test_binary",
|
||||
"bytes": 398401536,
|
||||
"device": 2101,
|
||||
"inode": 29934330,
|
||||
"mtime_ns": 1789117975169420000,
|
||||
"links": 1,
|
||||
"size_bytes": 399242488
|
||||
},
|
||||
{
|
||||
"path": "/srv/fidc/canonical/build/target-backtest/debug/deps/fidc_core-18c9b2429fdf6026",
|
||||
"kind": "superseded_test_binary",
|
||||
"bytes": 207015936,
|
||||
"device": 2101,
|
||||
"inode": 29918792,
|
||||
"mtime_ns": 1789166943885717800,
|
||||
"links": 1,
|
||||
"size_bytes": 207144208
|
||||
},
|
||||
{
|
||||
"path": "/srv/fidc/canonical/build/target-backtest/debug/deps/fidc_core-42f704a330411730",
|
||||
"kind": "superseded_test_binary",
|
||||
"bytes": 191205376,
|
||||
"device": 2101,
|
||||
"inode": 29933759,
|
||||
"mtime_ns": 1789117542401109800,
|
||||
"links": 1,
|
||||
"size_bytes": 191333360
|
||||
}
|
||||
],
|
||||
"reclaimed_allocated_bytes": 12453273600,
|
||||
"before": {
|
||||
"total": 1749269057536,
|
||||
"used": 1659299954688,
|
||||
"free": 1035599872
|
||||
},
|
||||
"after": {
|
||||
"total": 1749269057536,
|
||||
"used": 1647166930944,
|
||||
"free": 13168623616
|
||||
},
|
||||
"observed_free_change": 12133023744
|
||||
},
|
||||
"scope": "Intraday clock release verification; historical simulation only, not a performance or real broker liquidity acceptance.",
|
||||
"native_replays": 6
|
||||
}
|
||||
@@ -1,6 +1,6 @@
|
||||
# 日内时钟与手工回放前置问题
|
||||
|
||||
2026-09-14。本轮时钟与工作中算法单候选已完成本机回归，尚未部署。177仍运行Engine c98bcc3 / Service e81bf47；完整手工影子回放尚未实现。
|
||||
2026-09-14。本轮日内时钟与工作中算法单修复已配套发布177，annotated tag `v2026.9.14.4`。当前Engine237ee15 / Service e81bf47 / Trading dab98e0；完整手工影子回放尚未实现，不据本阶段关闭Goal。
|
||||
|
||||
## 已复现的精确反例
|
||||
|
||||
@@ -37,8 +37,34 @@
|
||||
|
||||
## 发布前置与剩余边界
|
||||
|
||||
177于03:46只读核对仍为3Paper/0Live，原配置与旧委托摘要不变，Source d5b682c6/PID1700096未变，真实路由disabled。SSD剩约1.6GiB；官方编译缓存清理计划无候选，未删除任何数据或构建。官方复用审计确认target-backtest无运行引用，后续只允许带1GiB余量保护的本次构建，不能覆盖在用发布根。
|
||||
177于03:46只读核对仍为3Paper/0Live，原配置与旧委托摘要不变，Source d5b682c6/PID1700096未变，真实路由disabled。SSD剩约1.6GiB；首次Linux测试在18.02秒触及1GiB余量保护并中止，只停止本次Cargo进程，未重启服务，保留`clock-candidate-cena8gz9/first-attempt.json`及日志，不能算测试通过。
|
||||
|
||||
还需完成Linux精确提交构建、固定历史合同回放及配套发布；通用process-event回调的完整时间/订单观察、盘前调度普通意图、显式手工委托/撤单回放和所有剩余参数矩阵继续跟踪，不以当前核心测试声明完整Goal完成。当前不解除手工影子拒绝门禁，不修改既有任务配置、Source冻结和研究/信号暂停。
|
||||
初次把清理预览的`reclaimed_allocated_bytes=0`误读为没有候选；完整plan实际已有5项、12,453,273,600字节。正式工具引用/锁/身份复核后仅清理2处闲置debug增量缓存和3个过期测试可执行文件，保留最新测试、全部静态/共享库、release、源码、行情及结果，余量恢复13,168,623,616字节。收据位于`/srv/fidc/canonical/run/fidc-private/evidence/clock-default-cleanup-20260914-0422/`。暂拟的静态库清理选项未执行并已撤回；最终Service脚本5ec8dc8只明确区分计划量与实际回收量，保持原清理边界。
|
||||
|
||||
代码修复已推送Engine `237ee15a518a668297959509daffc4b88995f310`；官方复用审计确认target-backtest无运行引用，新一轮仍保留1GiB余量保护，并独立保存重建前的旧二进制及SHA。实际构建读取只读Git archive快照237ee15与生产Service e81bf47，不夹带尚未生产验收的并行缓存规划代码，不覆盖维护工作树。
|
||||
|
||||
Linux精确快照Core822、Trading613通过。首次配套优化构建276.06秒成功，但收据写入因/tmp的跨用户既有文件保护失败；改为原子替换收据后，重新核对同一快照/测试/制品，未把日志缺失或异常算通过。前一轮日志及旧二进制仍保留，最终收据`/tmp/fidc-clock-candidate-20260914.json`。
|
||||
|
||||
## 发布与真实合同验收
|
||||
|
||||
Engine `237ee15a518a668297959509daffc4b88995f310`、Service `e81bf47806f5ac4ae4798bb5f5955a56638f754c`、Trading `dab98e0cc09793df15b8c72841a6dc7e9a58a208`均有已推送annotated tag `v2026.9.14.4`。API/Runner于04:14:17 CST切换，五交易服务于04:19:57切换；04:22只读复验实际SHA、迁移、旧单及配置。
|
||||
|
||||
| 已冻结原合同 | 原生A/B | 生产HTTP | 成交 / 期末持仓 | 期末权益 |
|
||||
| --- | --- | --- | --- | ---: |
|
||||
| 手选优先四证券 | 完整Canonical及四类逐行导出相同 | btr_req_60612ec2af9f97df26a81c13448aec7d95b23a93f824c303 | 10 / 4 | 9706248.648662 |
|
||||
| 自动优先四证券 | 完整Canonical及四类逐行导出相同 | btr_req_373da23c5ea5aaf4e59c38fbe37d663ae37731aeed8cc054 | 10 / 4 | 9706248.648662 |
|
||||
| 许总24只原v3 | 完整Canonical及四类逐行导出相同 | btr_req_5bb965ea83e047c998ec16be656f40ec28a4e5d870aa6d74 | 51 / 21 | 9685563.876924999 |
|
||||
|
||||
共六次独立原生执行、三次持久幂等HTTP提交，旧请求/旧结果未改写。候选顺序、父订单及卖后续买合同保持；重复目标委托0。三条新记录各有5个交易日事件，持久事件总数27/18/32、唯一键数完全相等；旧流式样本仍27条/5日。上述数据来自原历史合同，仍属日终容量审计，不证明实时盘口容量；1秒样本与首轮12秒Source准备不作为性能提速证据。
|
||||
|
||||
API二进制SHA `4e9f142be0ae3f9ca8e1c126507d4a9905cde4b69859df4544472afd1bda1ff2`，Runner `8b98a2ae9a13899e87d9931162d1637de7e9ab81844c284e00135904cda7b0e4`，运行实现身份 `96cf0dcfcec94c6f7e2a9fc64ba8b8e8547b12c869ad6a61a0e492f6c76b5d57`。当前不可变API目录`/srv/fidc/canonical/run/backtest-api/releases/clock-237ee15-c37rs7zq`，回退目录`/srv/fidc/canonical/run/build/clock-rollback-7qnhgco7`；交易回退目录`holding-protection-rollback-dkd1njej`。
|
||||
|
||||
五交易服务逐一核对实际文件SHA与manifest，新增ERROR日志0；3Paper/0Live、配置、旧活动委托、3个未确认Paper预览、迁移、shadow配置0及disabled均未变化，发布后Paper/Live新订单0。Source d5/PID1700096、UI6a2/PID3089476未重启，研究/信号暂停保持。177维护中的Engine9a54156工作树完整保留，不把该未部署候选冒充本次运行代码；实际编译来自237/e81和237/dab只读快照。
|
||||
|
||||
完整原始回放与HTTP收据：`/srv/fidc/canonical/run/research/stock-pool-clock-20260914/`。发布/审计收据：`/tmp/fidc-clock-{api-release,trading-release,final-audit}-20260914.json`。非敏感汇总已归档`docs/evidence/intraday-clock-20260914/acceptance.json`。
|
||||
|
||||
## 下一步
|
||||
|
||||
通用process-event回调的完整时间/订单观察、盘前调度普通意图、显式手工委托/撤单回放和所有剩余参数矩阵继续跟踪，不以当前阶段声明完整Goal完成。下一轮直接处理这些缺口，不重新做已通过的金额、页头、流式及本轮三组回放；当前仍不解除手工影子拒绝门禁，不修改既有任务配置、Source冻结和研究/信号暂停。
|
||||
|
||||
Live取消请求另有待核对项：`CancelRequested`当前在网关返回后才持久化，不能不加说明就把回报时间当最初请求时间。完整手工回放需要验证并补齐真实意图/提交/成交/取消关联，当前生产手工影子仍保持明确拒绝纯比例模拟。
|
||||
|
||||
Reference in New Issue
Block a user