fidc-backtest-engine/crates/fidc-core/tests/decision_quote_preload.rs

use chrono::{NaiveDate, NaiveTime};
use fidc_core::{
    BacktestConfig, BacktestEngine, BenchmarkSnapshot, BrokerSimulator, CandidateEligibility,
    ChinaAShareCostModel, ChinaEquityRuleHooks, DailyFactorSnapshot, DailyMarketSnapshot, DataSet,
    IntradayExecutionQuote, MatchingType, OrderIntent, PriceField, Strategy, StrategyContext,
    StrategyDecision,
};

fn d(year: i32, month: u32, day: u32) -> NaiveDate {
    NaiveDate::from_ymd_opt(year, month, day).expect("valid date")
}

fn t(hour: u32, minute: u32, second: u32) -> NaiveTime {
    NaiveTime::from_hms_opt(hour, minute, second).expect("valid time")
}

#[derive(Default)]
struct DecisionQuoteReader {
    day_count: usize,
}

impl Strategy for DecisionQuoteReader {
    fn name(&self) -> &str {
        "decision_quote_reader"
    }

    fn decision_quote_times(&self) -> Vec<NaiveTime> {
        vec![t(10, 40, 0)]
    }

    fn on_day(
        &mut self,
        ctx: &StrategyContext<'_>,
    ) -> Result<StrategyDecision, fidc_core::BacktestError> {
        self.day_count += 1;
        if self.day_count == 1 {
            return Ok(StrategyDecision {
                order_intents: vec![OrderIntent::Value {
                    symbol: "000001.SZ".to_string(),
                    value: 5_000.0,
                    reason: "seed_position".to_string(),
                }],
                ..StrategyDecision::default()
            });
        }

        assert!(
            ctx.portfolio.position("000001.SZ").is_some(),
            "second day should carry the first day position"
        );
        let quote_loaded_before_decision = ctx
            .data
            .execution_quotes_on(ctx.execution_date, "000001.SZ")
            .iter()
            .any(|quote| quote.timestamp.time() == t(10, 39, 59) && quote.last_price == 11.0);
        assert!(
            quote_loaded_before_decision,
            "engine must load declared decision quote before strategy.on_day"
        );
        Ok(StrategyDecision::default())
    }
}

#[test]
fn engine_preloads_declared_decision_quotes_for_current_positions() {
    let first = d(2026, 1, 5);
    let second = d(2026, 1, 6);
    let data = DataSet::from_components(
        Vec::new(),
        vec![
            DailyMarketSnapshot {
                date: first,
                symbol: "000001.SZ".to_string(),
                timestamp: Some("2026-01-05 15:00:00".to_string()),
                day_open: 10.0,
                open: 10.0,
                high: 10.2,
                low: 9.9,
                close: 10.0,
                last_price: 10.0,
                bid1: 10.0,
                ask1: 10.0,
                prev_close: 9.8,
                volume: 10_000,
                tick_volume: 1_000,
                bid1_volume: 10_000,
                ask1_volume: 10_000,
                trading_phase: Some("continuous".to_string()),
                paused: false,
                upper_limit: 10.78,
                lower_limit: 8.82,
                price_tick: 0.01,
            },
            DailyMarketSnapshot {
                date: second,
                symbol: "000001.SZ".to_string(),
                timestamp: Some("2026-01-06 15:00:00".to_string()),
                day_open: 10.5,
                open: 10.5,
                high: 11.2,
                low: 10.4,
                close: 10.6,
                last_price: 10.6,
                bid1: 10.6,
                ask1: 10.6,
                prev_close: 10.0,
                volume: 10_000,
                tick_volume: 1_000,
                bid1_volume: 10_000,
                ask1_volume: 10_000,
                trading_phase: Some("continuous".to_string()),
                paused: false,
                upper_limit: 11.0,
                lower_limit: 9.0,
                price_tick: 0.01,
            },
        ],
        vec![
            DailyFactorSnapshot {
                date: first,
                symbol: "000001.SZ".to_string(),
                market_cap_bn: 10.0,
                free_float_cap_bn: 10.0,
                pe_ttm: 10.0,
                turnover_ratio: None,
                effective_turnover_ratio: None,
                extra_factors: Default::default(),
            },
            DailyFactorSnapshot {
                date: second,
                symbol: "000001.SZ".to_string(),
                market_cap_bn: 10.0,
                free_float_cap_bn: 10.0,
                pe_ttm: 10.0,
                turnover_ratio: None,
                effective_turnover_ratio: None,
                extra_factors: Default::default(),
            },
        ],
        vec![
            CandidateEligibility {
                date: first,
                symbol: "000001.SZ".to_string(),
                is_st: false,
                is_new_listing: false,
                is_paused: false,
                allow_buy: true,
                allow_sell: true,
                is_kcb: false,
                is_one_yuan: false,
            },
            CandidateEligibility {
                date: second,
                symbol: "000001.SZ".to_string(),
                is_st: false,
                is_new_listing: false,
                is_paused: false,
                allow_buy: true,
                allow_sell: true,
                is_kcb: false,
                is_one_yuan: false,
            },
        ],
        vec![
            BenchmarkSnapshot {
                date: first,
                benchmark: "000852.SH".to_string(),
                open: 1000.0,
                close: 1000.0,
                prev_close: 990.0,
                volume: 1_000_000,
            },
            BenchmarkSnapshot {
                date: second,
                benchmark: "000852.SH".to_string(),
                open: 1000.0,
                close: 1001.0,
                prev_close: 1000.0,
                volume: 1_000_000,
            },
        ],
    )
    .expect("dataset");

    let broker = BrokerSimulator::new_with_execution_price(
        ChinaAShareCostModel::default(),
        ChinaEquityRuleHooks,
        PriceField::Last,
    )
    .with_matching_type(MatchingType::NextTickLast)
    .with_intraday_execution_start_time(t(10, 40, 0));
    let config = BacktestConfig {
        initial_cash: 10_000.0,
        benchmark_code: "000852.SH".to_string(),
        start_date: Some(first),
        end_date: Some(second),
        decision_lag_trading_days: 0,
        execution_price_field: PriceField::Last,
    };
    let mut engine = BacktestEngine::new(data, DecisionQuoteReader::default(), broker, config)
        .with_execution_quote_loader(move |request| {
            assert_eq!(
                request.end_time, None,
                "decision quote preload must request latest quote at or before start_time"
            );
            Ok(request
                .symbols
                .into_iter()
                .map(|symbol| IntradayExecutionQuote {
                    date: request.date,
                    symbol,
                    timestamp: request
                        .date
                        .and_time(t(10, 39, 59)),
                    last_price: if request.date == second { 11.0 } else { 10.0 },
                    bid1: if request.date == second { 11.0 } else { 10.0 },
                    ask1: if request.date == second { 11.0 } else { 10.0 },
                    bid1_volume: 10_000,
                    ask1_volume: 10_000,
                    volume_delta: 10_000,
                    amount_delta: 100_000.0,
                    trading_phase: Some("continuous".to_string()),
                })
                .collect())
        });

    engine.run().expect("backtest should run");
}