boris
476 lines
20 KiB
Rust
476 lines
20 KiB
Rust
use chrono::{NaiveDate, NaiveTime};
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use fidc_core::{
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BacktestConfig, BacktestEngine, BrokerSimulator, ChinaAShareCostModel, ChinaEquityRuleHooks,
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DataSet, MatchingType, OrderIntent, PriceField, Strategy, StrategyContext, StrategyDecision,
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};
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use std::{cell::RefCell, collections::BTreeSet, rc::Rc};
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const SYMBOL: &str = "000001.SZ";
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fn day(value: u32) -> NaiveDate {
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NaiveDate::from_ymd_opt(2026, 9, value).unwrap()
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}
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fn data() -> DataSet {
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let days = [11, 14, 15].map(day);
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DataSet::from_components_with_actions_and_quotes(
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vec![fidc_core::Instrument {
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symbol: SYMBOL.into(),
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name: "fixture".into(),
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board: "SZ".into(),
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round_lot: 100,
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listed_at: Some(day(1)),
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delisted_at: None,
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status: "active".into(),
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}],
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days.iter()
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.map(|&date| {
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let price = if date == day(11) { 10. } else { 8.95 };
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fidc_core::DailyMarketSnapshot {
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date,
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symbol: SYMBOL.into(),
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timestamp: Some(format!("{date} 15:00:00")),
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day_open: price,
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open: price,
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high: price,
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low: price,
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close: price,
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last_price: price,
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bid1: price,
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ask1: price,
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prev_close: price,
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volume: 100000,
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minute_volume: 100000,
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bid1_volume: 100000,
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ask1_volume: 100000,
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trading_phase: Some("continuous".into()),
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paused: false,
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upper_limit: price * 1.1,
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lower_limit: price * 0.9,
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price_tick: 0.01,
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}
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})
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.collect(),
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days.iter()
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.map(|&date| fidc_core::DailyFactorSnapshot {
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date,
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symbol: SYMBOL.into(),
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market_cap_bn: 10.,
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free_float_cap_bn: 10.,
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pe_ttm: 10.,
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turnover_ratio: None,
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effective_turnover_ratio: None,
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adjustment_factor_backward1: Some(1.),
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extra_factors: Default::default(),
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})
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.collect(),
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days.iter()
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.map(|&date| fidc_core::CandidateEligibility {
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date,
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symbol: SYMBOL.into(),
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is_st: false,
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is_star_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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risk_level_code: None,
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})
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.collect(),
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days.iter()
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.map(|&date| fidc_core::BenchmarkSnapshot {
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date,
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benchmark: "000300.SH".into(),
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open: 100.,
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close: 100.,
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prev_close: 100.,
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volume: 100000,
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})
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.collect(),
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vec![fidc_core::CorporateAction {
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date: day(14),
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symbol: SYMBOL.into(),
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payable_date: Some(day(14)),
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share_cash: 1.05,
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share_bonus: 0.,
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share_gift: 0.,
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issue_quantity: 0.,
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issue_price: 0.,
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reform: false,
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adjust_factor: None,
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successor_symbol: None,
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successor_ratio: None,
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successor_cash: None,
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}],
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[(9, 15), (9, 31)]
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.into_iter()
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.map(|(hour, minute)| fidc_core::IntradayExecutionQuote {
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observation_kind: fidc_core::data::QuoteObservationKind::MinuteBar,
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date: day(14),
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symbol: SYMBOL.into(),
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timestamp: day(14).and_hms_opt(hour, minute, 0).unwrap(),
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last_price: 8.95,
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bid1: 8.95,
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ask1: 8.95,
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bid1_volume: 100000,
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ask1_volume: 100000,
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volume_delta: 10000,
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amount_delta: 89500.,
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trading_phase: Some("continuous".into()),
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})
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.collect(),
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)
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.unwrap()
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}
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struct Hold {
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seen: Rc<RefCell<Vec<(NaiveTime, u32)>>>,
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}
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impl Strategy for Hold {
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fn name(&self) -> &str {
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"accounting reinvestment contract"
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}
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fn initial_subscriptions(&self) -> BTreeSet<String> {
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[SYMBOL.into()].into()
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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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Ok(if ctx.execution_date == day(11) {
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StrategyDecision {
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order_intents: vec![OrderIntent::Shares {
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symbol: SYMBOL.into(),
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quantity: 1000,
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reason: "initial".into(),
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}],
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..Default::default()
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}
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} else {
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StrategyDecision::default()
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})
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}
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fn on_minute(
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&mut self,
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ctx: &StrategyContext<'_>,
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_: &fidc_core::IntradayExecutionQuote,
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) -> Result<StrategyDecision, fidc_core::BacktestError> {
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self.seen.borrow_mut().push((
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ctx.current_time().unwrap(),
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ctx.portfolio
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.position(SYMBOL)
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.map_or(0, |position| position.quantity),
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));
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Ok(Default::default())
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}
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}
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fn engine() -> BacktestEngine<Hold, ChinaAShareCostModel, ChinaEquityRuleHooks> {
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BacktestEngine::new(
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data(),
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Hold {
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seen: Rc::new(RefCell::new(Vec::new())),
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},
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BrokerSimulator::new_with_execution_price(
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ChinaAShareCostModel::default()
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.with_commission_rate(0.0008)
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.with_minimum_commission(0.),
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ChinaEquityRuleHooks,
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PriceField::Open,
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)
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.with_matching_type(MatchingType::NextBarOpen)
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.with_volume_limit(false)
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.with_liquidity_limit(false),
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BacktestConfig {
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initial_cash: 50000.,
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benchmark_code: "000300.SH".into(),
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start_date: Some(day(11)),
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end_date: Some(day(15)),
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decision_lag_trading_days: 0,
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execution_price_field: PriceField::Open,
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},
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)
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.with_dividend_reinvestment(true)
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}
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#[test]
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fn accounting_reinvestment_has_an_explicit_origin_clock_and_progress_delivery() {
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let mut progress = Vec::new();
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let result = engine()
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.run_with_progress(|event| progress.push(event.clone()))
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.unwrap();
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let reinvest = result
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.fills
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.iter()
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.find(|fill| fill.reason == "dividend_reinvestment")
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.unwrap();
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assert_eq!(
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(
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reinvest.quantity,
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reinvest.price,
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reinvest.commission,
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reinvest.order_id
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),
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(100, 8.95, 0., None)
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);
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assert_eq!(
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serde_json::to_value(reinvest).unwrap()["origin"],
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"dividend_reinvestment"
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);
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assert_eq!(reinvest.execution_timestamp, day(14).and_hms_opt(0, 0, 0));
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let received = progress.iter().find(|event| event.date == day(14)).unwrap();
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assert!(
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received
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.fills
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.iter()
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.any(|fill| fill.reason == "dividend_reinvestment")
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);
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assert_eq!(
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progress
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.iter()
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.map(|event| event.daily_fill_count)
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.sum::<usize>(),
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result.fills.len()
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);
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}
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fn manual_source(delayed: bool) -> fidc_core::manual_execution::ManualExecutionReplay {
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let observed = if delayed {
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"2026-09-14T01:15:00Z"
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} else {
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"2026-09-11T06:00:01Z"
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};
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let mut source: fidc_core::manual_execution::ManualExecutionReplay = serde_json::from_value(serde_json::json!({
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"schema":fidc_core::manual_execution::MANUAL_REPLAY_SCHEMA,"runtimeId":"r","accountId":"a","sourceContractSha256":"a".repeat(64),"contentSha256":"",
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"observationCutoff":"2026-09-15T08:00:00Z","actions":[{"actionId":"manual","source":"manual_security_trade","auditEventIds":["audit"],
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"confirmedAt":"2026-09-11T05:59:59Z","confirmationObservedAt":"2026-09-11T05:59:59Z","outcome":"orders_terminal","orders":[{
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"orderId":"manual-order","sourceAdapter":"paper","symbol":SYMBOL,"side":"Buy","quantity":1000,
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"orderCreatedAt":"2026-09-11T05:59:59Z","terminalObservedAt":observed,"terminalStatus":"filled","fills":[{
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"tradeId":"manual-fill","observationEventId":"receipt","observationSequence":1,"feeObservationEventId":"receipt","feeObservationSequence":1,
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"feeObservedAt":observed,"tradeDate":"2026-09-11","executedAt":"2026-09-11T06:00:00Z","observedAt":observed,
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"timestampPrecision":"second","quantity":1000,"price":"10","totalFee":"1"
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}]
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}]}]
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})).unwrap();
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source.content_sha256 = source.content_digest().unwrap();
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source
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}
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#[test]
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fn delayed_receipt_before_market_open_reconciles_accounting_not_future_market_fills() {
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let timely = engine()
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.with_observed_manual_executions(manual_source(false))
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.unwrap()
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.run()
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.unwrap();
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let delayed = engine()
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.with_observed_manual_executions(manual_source(true))
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.unwrap()
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.run()
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.unwrap();
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assert_eq!(delayed.holdings_summary[0].quantity, 2200);
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assert_eq!(
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delayed.holdings_summary[0].quantity,
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timely.holdings_summary[0].quantity
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);
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assert_eq!(
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delayed.equity_curve.last().unwrap().cash,
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timely.equity_curve.last().unwrap().cash
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);
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assert_eq!(
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delayed.manual_executions[0]
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.corporate_adjustment
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.as_ref()
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.unwrap()
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.corporate_cash_delta,
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"155"
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);
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}
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#[test]
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fn weekend_receipts_and_morning_allocations_are_in_the_next_progress_batch() {
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let mut source = manual_source(true);
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let observed = "2026-09-12T02:00:00Z".parse().unwrap();
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let order = &mut source.actions[0].orders[0];
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order.terminal_observed_at = observed;
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order.fills[0].observed_at = observed;
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order.fills[0].fee_observed_at = observed;
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source.content_sha256 = source.content_digest().unwrap();
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let mut progress = Vec::new();
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let result = engine()
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.with_observed_manual_executions(source)
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.unwrap()
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.run_with_progress(|event| progress.push(event.clone()))
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.unwrap();
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let monday = progress.iter().find(|event| event.date == day(14)).unwrap();
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assert_eq!(monday.daily_manual_fill_count, 1);
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assert_eq!(monday.manual_executions[0].observed_at, observed);
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assert!(
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monday
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.fills
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.iter()
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.any(|fill| fill.origin == fidc_core::FillOrigin::DividendReinvestment)
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);
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assert!(
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monday
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.process_events
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.iter()
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.any(|event| event.kind == fidc_core::ProcessEventKind::ManualExecutionObserved)
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);
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assert_eq!(
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progress
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.iter()
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.map(|event| event.daily_fill_count)
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.sum::<usize>(),
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result.fills.len() + result.manual_executions.len()
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);
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}
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fn exposure_event(id: &str, sequence: u64, at: &str, action: fidc_core::position_exposure::PositionExposureAction)
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-> fidc_core::position_exposure::PositionExposureEvent {
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fidc_core::position_exposure::PositionExposureEvent {
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event_id: id.into(), sequence, effective_at: at.parse().unwrap(), allocation_weights_bps: None, action,
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}
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}
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fn cleared_reinvestment_case(
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events: Vec<fidc_core::position_exposure::PositionExposureEvent>,
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legacy: std::collections::BTreeMap<NaiveDate, i32>,
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extra_buy_delayed: Option<bool>,
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) -> fidc_core::BacktestResult {
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let mut parts = data().snapshot_components();
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parts.corporate_actions[0].payable_date = Some(day(15));
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let data = DataSet::from_components_with_actions_and_quotes(parts.instruments, parts.market,
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parts.factors, parts.candidates, parts.benchmarks, parts.corporate_actions, parts.execution_quotes).unwrap();
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let mut source = manual_source(false);
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let mut sale = source.actions[0].clone();
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sale.action_id = "clear".into(); sale.audit_event_ids = vec!["clear-audit".into()];
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sale.confirmed_at = "2026-09-14T05:59:59Z".parse().unwrap();
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sale.confirmation_observed_at = sale.confirmed_at;
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let order = &mut sale.orders[0];
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order.order_id = "clear-order".into(); order.side = fidc_core::OrderSide::Sell;
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order.order_created_at = sale.confirmed_at;
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order.terminal_observed_at = "2026-09-14T06:00:01Z".parse().unwrap();
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let fill = &mut order.fills[0];
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fill.trade_id = "clear-fill".into(); fill.observation_event_id = "clear-receipt".into();
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fill.observation_sequence = 2; fill.fee_observation_event_id = "clear-receipt".into();
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fill.fee_observation_sequence = 2; fill.trade_date = day(14);
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fill.executed_at = "2026-09-14T06:00:00Z".parse().unwrap();
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fill.observed_at = order.terminal_observed_at; fill.fee_observed_at = order.terminal_observed_at;
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fill.price = "8.95".parse().unwrap();
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source.actions.push(sale);
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if let Some(delayed) = extra_buy_delayed {
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let mut extra = source.actions[0].clone();
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extra.action_id = "extra".into(); extra.audit_event_ids = vec!["extra-audit".into()];
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extra.confirmed_at = "2026-09-11T06:00:59Z".parse().unwrap();
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extra.confirmation_observed_at = extra.confirmed_at;
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let order = &mut extra.orders[0];
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order.order_id = "extra-order".into(); order.order_created_at = extra.confirmed_at;
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order.terminal_observed_at = if delayed { "2026-09-15T01:15:00Z" } else { "2026-09-11T06:01:01Z" }.parse().unwrap();
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let fill = &mut order.fills[0];
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fill.trade_id = "extra-fill".into(); fill.observation_event_id = "extra-receipt".into();
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fill.observation_sequence = if delayed { 3 } else { 2 };
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fill.fee_observation_event_id = "extra-receipt".into(); fill.fee_observation_sequence = fill.observation_sequence;
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fill.executed_at = "2026-09-11T06:01:00Z".parse().unwrap(); fill.observed_at = order.terminal_observed_at;
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fill.fee_observed_at = order.terminal_observed_at;
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if !delayed {
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source.actions[1].orders[0].fills[0].observation_sequence = 3;
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source.actions[1].orders[0].fills[0].fee_observation_sequence = 3;
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}
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source.actions.push(extra);
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}
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source.position_exposure_events = events;
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source.legacy_position_exposure_bps = legacy;
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source.content_sha256 = source.content_digest().unwrap();
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let mut config = fidc_core::PlatformExprStrategyConfig::generic();
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config.signal_symbol = SYMBOL.into(); config.benchmark_symbol = "000300.SH".into();
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config.rotation_enabled = false; config.matching_type = MatchingType::CurrentBarClose;
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BacktestEngine::new(data, fidc_core::PlatformExprStrategy::new(config),
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BrokerSimulator::new(ChinaAShareCostModel::default(), ChinaEquityRuleHooks)
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.with_matching_type(MatchingType::CurrentBarClose).with_volume_limit(false).with_liquidity_limit(false),
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BacktestConfig { initial_cash: 50000., benchmark_code: "000300.SH".into(), start_date: Some(day(11)),
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end_date: Some(day(15)), decision_lag_trading_days: 0, execution_price_field: PriceField::Close })
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.with_dividend_reinvestment(true).with_observed_manual_executions(source).unwrap().run().unwrap()
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}
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#[test]
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fn an_effective_manual_zero_must_not_recreate_a_cleared_position_on_dividend_payment() {
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use fidc_core::position_exposure::PositionExposureAction as Action;
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let zero = exposure_event("zero", 1, "2026-09-14T07:00:00Z", Action::Set { target_exposure_bps: 0 });
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let result = cleared_reinvestment_case(vec![zero], Default::default(), None);
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assert!(result.fills.is_empty(), "{:?}", result.fills);
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assert!(result.holdings_summary.is_empty());
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assert_eq!(result.equity_curve.last().unwrap().cash, 49998.);
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assert!(result.equity_curve.last().unwrap().notes.contains("runtime_zero_exposure"));
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}
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#[test]
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fn a_clear_without_a_manual_zero_keeps_the_declared_legacy_reinvestment_model() {
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let result = cleared_reinvestment_case(vec![], Default::default(), None);
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assert_eq!(result.fills.len(), 1);
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assert_eq!((result.fills[0].quantity, result.fills[0].price, result.fills[0].commission), (100, 8.95, 0.));
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assert_eq!(result.fills[0].gross_amount, 895.);
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assert_eq!(result.fills[0].net_cash_flow, -895.);
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assert!(result.order_events.is_empty());
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}
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#[test]
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fn reinvestment_respects_zero_restore_same_instant_sequence_and_legacy_granularity() {
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use fidc_core::position_exposure::PositionExposureAction as Action;
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let before = "2026-09-14T07:00:00Z";
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let settlement = "2026-09-14T16:00:00Z";
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let later = "2026-09-15T01:31:00Z";
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let zero = || exposure_event("zero", 1, before, Action::Scale { requested_bps: 0 });
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let cases = vec![
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(vec![zero()], Default::default(), false),
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(vec![exposure_event("zero-at-settlement", 1, settlement, Action::Set { target_exposure_bps: 0 })], Default::default(), false),
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(vec![exposure_event("later-zero", 1, later, Action::Set { target_exposure_bps: 0 })], Default::default(), true),
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(vec![zero(), exposure_event("restore", 2, before, Action::Restore)], Default::default(), true),
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(vec![exposure_event("restore", 1, before, Action::Restore), exposure_event("last-zero", 2, before, Action::Set { target_exposure_bps: 0 })], Default::default(), false),
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(vec![exposure_event("restore", 2, before, Action::Restore), zero()], Default::default(), true),
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(vec![zero(), exposure_event("later-restore", 2, later, Action::Restore)], Default::default(), false),
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(vec![], std::collections::BTreeMap::from([(day(14), 0)]), false),
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|
(vec![exposure_event("restore-legacy", 1, before, Action::Restore)], std::collections::BTreeMap::from([(day(14), 0)]), true),
|
|
(vec![exposure_event("positive", 1, before, Action::Set { target_exposure_bps: 3000 })], Default::default(), true),
|
|
];
|
|
for (events, legacy, allowed) in cases {
|
|
let result = cleared_reinvestment_case(events, legacy, None);
|
|
assert_eq!(result.fills.len(), usize::from(allowed));
|
|
assert_eq!(result.equity_curve.last().unwrap().cash, if allowed { 49103. } else { 49998. });
|
|
assert_eq!(result.holdings_summary.iter().map(|holding| holding.quantity).sum::<u32>(), if allowed {100} else {0});
|
|
assert!(result.order_events.is_empty());
|
|
}
|
|
}
|
|
|
|
#[test]
|
|
fn an_explicit_zero_member_weight_or_omission_blocks_only_that_reinvestment() {
|
|
use fidc_core::position_exposure::PositionExposureAction as Action;
|
|
for included in [false, true] {
|
|
for weight in [0, 10000] {
|
|
let mut event = exposure_event("allocation", 1, "2026-09-14T07:00:00Z", Action::Set { target_exposure_bps: 5000 });
|
|
let mut weights = std::collections::BTreeMap::from([("000002.SZ".into(), if included {10000-weight} else {10000})]);
|
|
if included { weights.insert(SYMBOL.into(), weight); }
|
|
event.allocation_weights_bps = Some(weights);
|
|
let allowed = included && weight > 0;
|
|
let result = cleared_reinvestment_case(vec![event], Default::default(), None);
|
|
assert_eq!(result.fills.len(), usize::from(allowed));
|
|
if !allowed { assert!(result.equity_curve.last().unwrap().notes.contains("runtime_zero_allocation")); }
|
|
}
|
|
}
|
|
}
|
|
|
|
#[test]
|
|
fn late_corporate_replay_uses_the_same_zero_policy_and_retains_actual_manual_shares() {
|
|
use fidc_core::position_exposure::PositionExposureAction as Action;
|
|
let event = exposure_event("zero", 1, "2026-09-14T07:00:00Z", Action::Set { target_exposure_bps: 0 });
|
|
let timely = cleared_reinvestment_case(vec![event.clone()], Default::default(), Some(false));
|
|
let late = cleared_reinvestment_case(vec![event], Default::default(), Some(true));
|
|
assert!(timely.fills.is_empty()); assert!(late.fills.is_empty());
|
|
assert_eq!(timely.equity_curve.last().unwrap().cash, 41047.);
|
|
assert_eq!(late.equity_curve.last().unwrap().cash, timely.equity_curve.last().unwrap().cash);
|
|
assert_eq!(late.holdings_summary[0].quantity, 1000);
|
|
assert_eq!(late.holdings_summary[0].quantity, timely.holdings_summary[0].quantity);
|
|
assert_eq!(late.manual_executions.last().unwrap().corporate_adjustment.as_ref().unwrap().corporate_cash_delta, "1050");
|
|
}
|