Files
fidc-backtest-engine/crates/fidc-core/src/scheduler.rs
2026-04-23 19:17:04 -07:00

379 lines
12 KiB
Rust

use chrono::{Datelike, NaiveDate, NaiveTime, Timelike};
use crate::calendar::TradingCalendar;
#[derive(Debug, Clone, Copy, PartialEq, Eq)]
pub enum ScheduleStage {
BeforeTrading,
OpenAuction,
Bar,
Tick,
OnDay,
AfterTrading,
Settlement,
}
#[derive(Debug, Clone, PartialEq, Eq)]
pub enum ScheduleTimeRule {
BeforeTrading,
MinuteOfDay(u32),
}
impl ScheduleTimeRule {
pub fn before_trading() -> Self {
Self::BeforeTrading
}
pub fn market_open(hour: i32, minute: i32) -> Self {
let mut minutes_since_midnight = 9 * 60 + 31 + hour * 60 + minute;
if minutes_since_midnight > 11 * 60 + 30 {
minutes_since_midnight += 90;
}
Self::MinuteOfDay(minutes_since_midnight.max(0) as u32)
}
pub fn market_close(hour: i32, minute: i32) -> Self {
let mut minutes_since_midnight = 15 * 60 - hour * 60 - minute;
if minutes_since_midnight < 13 * 60 {
minutes_since_midnight -= 90;
}
Self::MinuteOfDay(minutes_since_midnight.max(0) as u32)
}
pub fn physical_time(hour: u32, minute: u32) -> Self {
Self::MinuteOfDay(hour.saturating_mul(60).saturating_add(minute))
}
pub fn from_time(time: NaiveTime) -> Self {
Self::physical_time(time.hour(), time.minute())
}
pub fn minute_of_day(&self) -> Option<u32> {
match self {
Self::BeforeTrading => None,
Self::MinuteOfDay(value) => Some(*value),
}
}
}
#[derive(Debug, Clone, PartialEq, Eq)]
pub enum ScheduleFrequency {
Daily,
Weekly {
weekday: Option<u32>,
tradingday: Option<i32>,
},
Monthly {
tradingday: i32,
},
}
#[derive(Debug, Clone, PartialEq, Eq)]
pub struct ScheduleRule {
pub name: String,
pub stage: ScheduleStage,
pub frequency: ScheduleFrequency,
pub time_rule: Option<ScheduleTimeRule>,
}
impl ScheduleRule {
pub fn daily(name: impl Into<String>, stage: ScheduleStage) -> Self {
Self {
name: name.into(),
stage,
frequency: ScheduleFrequency::Daily,
time_rule: None,
}
}
pub fn weekly_by_weekday(name: impl Into<String>, weekday: u32, stage: ScheduleStage) -> Self {
Self {
name: name.into(),
stage,
frequency: ScheduleFrequency::Weekly {
weekday: Some(weekday),
tradingday: None,
},
time_rule: None,
}
}
pub fn weekly_by_tradingday(
name: impl Into<String>,
tradingday: i32,
stage: ScheduleStage,
) -> Self {
Self {
name: name.into(),
stage,
frequency: ScheduleFrequency::Weekly {
weekday: None,
tradingday: Some(tradingday),
},
time_rule: None,
}
}
pub fn monthly(name: impl Into<String>, tradingday: i32, stage: ScheduleStage) -> Self {
Self {
name: name.into(),
stage,
frequency: ScheduleFrequency::Monthly { tradingday },
time_rule: None,
}
}
pub fn with_time_rule(mut self, time_rule: ScheduleTimeRule) -> Self {
self.time_rule = Some(time_rule);
self
}
}
pub struct Scheduler<'a> {
calendar: &'a TradingCalendar,
}
impl<'a> Scheduler<'a> {
pub fn new(calendar: &'a TradingCalendar) -> Self {
Self { calendar }
}
pub fn triggered_rules<'r>(
&self,
date: NaiveDate,
stage: ScheduleStage,
rules: &'r [ScheduleRule],
) -> Vec<&'r ScheduleRule> {
self.triggered_rules_at(date, stage, default_stage_time(stage), rules)
}
pub fn triggered_rules_at<'r>(
&self,
date: NaiveDate,
stage: ScheduleStage,
current_time: Option<NaiveTime>,
rules: &'r [ScheduleRule],
) -> Vec<&'r ScheduleRule> {
rules
.iter()
.filter(|rule| {
rule.stage == stage
&& self.matches(date, rule)
&& self.matches_time(stage, current_time, rule.time_rule.as_ref())
})
.collect()
}
fn matches(&self, date: NaiveDate, rule: &ScheduleRule) -> bool {
match &rule.frequency {
ScheduleFrequency::Daily => true,
ScheduleFrequency::Weekly {
weekday,
tradingday,
} => {
if let Some(weekday) = weekday {
return date.weekday().number_from_monday() == *weekday;
}
tradingday
.and_then(|nth| nth_date_in_period(&self.week_dates(date), nth))
.is_some_and(|matched| matched == date)
}
ScheduleFrequency::Monthly { tradingday } => {
nth_date_in_period(&self.month_dates(date), *tradingday)
.is_some_and(|matched| matched == date)
}
}
}
fn week_dates(&self, date: NaiveDate) -> Vec<NaiveDate> {
let iso = date.iso_week();
self.calendar
.iter()
.filter(|candidate| candidate.iso_week() == iso)
.collect()
}
fn month_dates(&self, date: NaiveDate) -> Vec<NaiveDate> {
self.calendar
.iter()
.filter(|candidate| {
candidate.year() == date.year() && candidate.month() == date.month()
})
.collect()
}
fn matches_time(
&self,
stage: ScheduleStage,
current_time: Option<NaiveTime>,
time_rule: Option<&ScheduleTimeRule>,
) -> bool {
let Some(time_rule) = time_rule else {
return true;
};
match time_rule {
ScheduleTimeRule::BeforeTrading => stage == ScheduleStage::BeforeTrading,
ScheduleTimeRule::MinuteOfDay(expected) => current_time
.map(|value| value.hour() * 60 + value.minute())
.is_some_and(|current| current == *expected),
}
}
}
pub fn default_stage_time(stage: ScheduleStage) -> Option<NaiveTime> {
match stage {
ScheduleStage::BeforeTrading => Some(NaiveTime::from_hms_opt(9, 0, 0).expect("valid time")),
ScheduleStage::OpenAuction => Some(NaiveTime::from_hms_opt(9, 31, 0).expect("valid time")),
ScheduleStage::Bar => Some(NaiveTime::from_hms_opt(10, 18, 0).expect("valid time")),
ScheduleStage::Tick => None,
ScheduleStage::OnDay => Some(NaiveTime::from_hms_opt(10, 18, 0).expect("valid time")),
ScheduleStage::AfterTrading => Some(NaiveTime::from_hms_opt(15, 0, 0).expect("valid time")),
ScheduleStage::Settlement => Some(NaiveTime::from_hms_opt(15, 1, 0).expect("valid time")),
}
}
fn nth_date_in_period(period: &[NaiveDate], nth: i32) -> Option<NaiveDate> {
if nth == 0 || period.is_empty() {
return None;
}
if nth > 0 {
period.get((nth - 1) as usize).copied()
} else {
let idx = period.len().checked_sub((-nth) as usize)?;
period.get(idx).copied()
}
}
#[cfg(test)]
mod tests {
use chrono::{NaiveDate, NaiveTime};
use super::{ScheduleRule, ScheduleStage, ScheduleTimeRule, Scheduler};
use crate::calendar::TradingCalendar;
fn d(year: i32, month: u32, day: u32) -> NaiveDate {
NaiveDate::from_ymd_opt(year, month, day).expect("valid date")
}
fn sample_calendar() -> TradingCalendar {
TradingCalendar::new(vec![
d(2025, 1, 30),
d(2025, 1, 31),
d(2025, 2, 3),
d(2025, 2, 4),
d(2025, 2, 7),
])
}
#[test]
fn scheduler_matches_daily_weekly_and_monthly_rules() {
let calendar = sample_calendar();
let scheduler = Scheduler::new(&calendar);
let rules = vec![
ScheduleRule::daily("daily", ScheduleStage::OnDay),
ScheduleRule::weekly_by_weekday("friday", 5, ScheduleStage::OnDay),
ScheduleRule::weekly_by_tradingday(
"last_trading_day_of_week",
-1,
ScheduleStage::OnDay,
),
ScheduleRule::monthly("first_trading_day_of_month", 1, ScheduleStage::OnDay),
];
let jan_31 = scheduler
.triggered_rules(d(2025, 1, 31), ScheduleStage::OnDay, &rules)
.into_iter()
.map(|rule| rule.name.as_str())
.collect::<Vec<_>>();
assert!(jan_31.contains(&"daily"));
assert!(jan_31.contains(&"friday"));
assert!(jan_31.contains(&"last_trading_day_of_week"));
assert!(!jan_31.contains(&"first_trading_day_of_month"));
let feb_3 = scheduler
.triggered_rules(d(2025, 2, 3), ScheduleStage::OnDay, &rules)
.into_iter()
.map(|rule| rule.name.as_str())
.collect::<Vec<_>>();
assert!(feb_3.contains(&"daily"));
assert!(feb_3.contains(&"first_trading_day_of_month"));
assert!(!feb_3.contains(&"friday"));
}
#[test]
fn scheduler_matches_before_trading_and_minute_level_rules() {
let calendar = sample_calendar();
let scheduler = Scheduler::new(&calendar);
let rules = vec![
ScheduleRule::daily("before_trading", ScheduleStage::BeforeTrading)
.with_time_rule(ScheduleTimeRule::before_trading()),
ScheduleRule::daily("market_open", ScheduleStage::OpenAuction)
.with_time_rule(ScheduleTimeRule::market_open(0, 0)),
ScheduleRule::daily("physical_time", ScheduleStage::OnDay)
.with_time_rule(ScheduleTimeRule::physical_time(10, 18)),
ScheduleRule::daily("market_close", ScheduleStage::AfterTrading)
.with_time_rule(ScheduleTimeRule::market_close(0, 0)),
];
let before = scheduler
.triggered_rules_at(
d(2025, 2, 3),
ScheduleStage::BeforeTrading,
Some(NaiveTime::from_hms_opt(9, 0, 0).unwrap()),
&rules,
)
.into_iter()
.map(|rule| rule.name.as_str())
.collect::<Vec<_>>();
assert_eq!(before, vec!["before_trading"]);
let market_open = scheduler
.triggered_rules_at(
d(2025, 2, 3),
ScheduleStage::OpenAuction,
Some(NaiveTime::from_hms_opt(9, 31, 0).unwrap()),
&rules,
)
.into_iter()
.map(|rule| rule.name.as_str())
.collect::<Vec<_>>();
assert_eq!(market_open, vec!["market_open"]);
let intraday = scheduler
.triggered_rules_at(
d(2025, 2, 3),
ScheduleStage::OnDay,
Some(NaiveTime::from_hms_opt(10, 18, 0).unwrap()),
&rules,
)
.into_iter()
.map(|rule| rule.name.as_str())
.collect::<Vec<_>>();
assert_eq!(intraday, vec!["physical_time"]);
let close = scheduler
.triggered_rules_at(
d(2025, 2, 3),
ScheduleStage::AfterTrading,
Some(NaiveTime::from_hms_opt(15, 0, 0).unwrap()),
&rules,
)
.into_iter()
.map(|rule| rule.name.as_str())
.collect::<Vec<_>>();
assert_eq!(close, vec!["market_close"]);
let mismatch = scheduler
.triggered_rules_at(
d(2025, 2, 3),
ScheduleStage::OnDay,
Some(NaiveTime::from_hms_opt(10, 17, 0).unwrap()),
&rules,
)
.into_iter()
.map(|rule| rule.name.as_str())
.collect::<Vec<_>>();
assert!(mismatch.is_empty());
}
}