fidc-backtest-engine/docs/rqalpha-gap-roadmap.md

RQAlpha Gap Roadmap

This document tracks the remaining RQAlpha backtest capabilities that are not yet fully aligned in fidc-backtest-engine, and the implementation order we are following.

Scope

This roadmap focuses on the China A-share stock backtest path first. Multi-asset coverage such as futures/options is tracked separately and is not part of the current alignment pass.

Remaining Gaps

Phase 1: Strategy API parity

• order_to / target-shares style explicit order primitive
• order_target_portfolio(_smart) style public API surface
• richer explicit order styles exposed to platform scripts

Phase 2: Scheduling and execution surface

• minute-level time_rule semantics like market_open, market_close, physical_time
• finer 1m / tick strategy execution entrypoints beyond open_auction and on_day
• scheduled actions evaluated against explicit intraday times

Phase 3: Universe and subscription model

• update_universe
• subscribe
• unsubscribe
• tick-frequency subscription guards exposed at strategy API level

Phase 4: Algo order parity

• VWAPOrder first-class explicit action parity (order.vwap_value/percent)
• TWAPOrder first-class explicit action parity (order.twap_value/percent)
• order_target_portfolio_smart(..., order_prices=AlgoOrder, valuation_prices=...)

Phase 5: Position accounting parity

• trading_pnl
• position_pnl
• dividend_receivable
• richer position lifecycle fields exposed to strategy runtime

Phase 6: Strategy data API parity

• history_bars numeric helper for daily, intraday, and tick fields
• current_snapshot
• instrument / instruments / all_instruments
• get_trading_dates / get_previous_trading_date / get_next_trading_date
• phase-aware minute/tick history cursor semantics matching the active bar or tick callback

Phase 7: Remaining stock data-source API parity

• is_suspended
• is_st_stock
• get_price style date-range tabular API
• instruments_history

Execution Order

1. Close the explicit order API gap with target-shares / order_to parity.
2. Add public batch target-portfolio semantics.
3. Expand scheduler to intraday time rules.
4. Add dynamic universe APIs.
5. Add algo-order styles.
6. Finish position accounting parity.
7. Continue stock data-source API parity.
8. Continue parity audit for remaining account and order object APIs.

Current Step

Active implementation target: continue stock data-source API parity after covering suspended/ST historical flags; next larger gap is a get_price style date-range tabular API and instruments history.