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Add dynamic universe and subscription controls

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This commit is contained in:
boris
2026-04-23 07:12:56 -07:00
parent 5265f82fef
commit 152b5c3141
12 changed files with 963 additions and 24 deletions
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252
crates/fidc-core/tests/engine_hooks.rs
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@@ -129,6 +129,10 @@ struct LimitCarryStrategy {
issued: bool,
}
struct UniverseDirectiveStrategy {
snapshots: Rc<RefCell<Vec<String>>>,
}
impl Strategy for ScheduledProbeStrategy {
fn name(&self) -> &str {
"scheduled-probe"
@@ -233,6 +237,56 @@ impl Strategy for ProcessContextProbeStrategy {
}
}
impl Strategy for UniverseDirectiveStrategy {
fn name(&self) -> &str {
"universe-directive-probe"
}
fn on_day(
&mut self,
ctx: &StrategyContext<'_>,
) -> Result<StrategyDecision, fidc_core::BacktestError> {
let eligible = ctx
.eligible_universe_on(ctx.execution_date)
.into_iter()
.map(|row| row.symbol)
.collect::<Vec<_>>()
.join(",");
self.snapshots.borrow_mut().push(format!(
"{}:{}:{}:{}",
ctx.execution_date,
ctx.dynamic_universe_count(),
ctx.subscription_count(),
eligible
));
let order_intents = match ctx.execution_date {
date if date == d(2025, 1, 2) => vec![
OrderIntent::UpdateUniverse {
symbols: BTreeSet::from(["000002.SZ".to_string()]),
reason: "focus_single_symbol".to_string(),
},
OrderIntent::Subscribe {
symbols: BTreeSet::from(["000001.SZ".to_string()]),
reason: "subscribe_probe".to_string(),
},
],
date if date == d(2025, 1, 3) => vec![OrderIntent::Unsubscribe {
symbols: BTreeSet::from(["000001.SZ".to_string()]),
reason: "unsubscribe_probe".to_string(),
}],
_ => Vec::new(),
};
Ok(StrategyDecision {
rebalance: false,
target_weights: BTreeMap::new(),
exit_symbols: BTreeSet::new(),
order_intents,
notes: Vec::new(),
diagnostics: Vec::new(),
})
}
}
#[test]
fn engine_runs_strategy_hooks_in_daily_order() {
let date1 = d(2025, 1, 2);
@@ -1173,6 +1227,204 @@ fn engine_dispatches_process_events_to_external_bus_listeners() {
);
}
#[test]
fn engine_applies_dynamic_universe_and_subscription_directives() {
let dates = [d(2025, 1, 2), d(2025, 1, 3), d(2025, 1, 6)];
let snapshots = Rc::new(RefCell::new(Vec::new()));
let strategy = UniverseDirectiveStrategy {
snapshots: snapshots.clone(),
};
let instruments = vec![
Instrument {
symbol: "000001.SZ".to_string(),
name: "One".to_string(),
board: "SZ".to_string(),
round_lot: 100,
listed_at: Some(d(2020, 1, 1)),
delisted_at: None,
status: "active".to_string(),
},
Instrument {
symbol: "000002.SZ".to_string(),
name: "Two".to_string(),
board: "SZ".to_string(),
round_lot: 100,
listed_at: Some(d(2020, 1, 1)),
delisted_at: None,
status: "active".to_string(),
},
];
let markets = dates
.iter()
.flat_map(|date| {
[
DailyMarketSnapshot {
date: *date,
symbol: "000001.SZ".to_string(),
timestamp: Some(format!("{date} 10:18:00")),
day_open: 10.0,
open: 10.0,
high: 10.1,
low: 9.9,
close: 10.0,
last_price: 10.0,
bid1: 9.99,
ask1: 10.01,
prev_close: 9.95,
volume: 100_000,
tick_volume: 5_000,
bid1_volume: 2_000,
ask1_volume: 2_000,
trading_phase: Some("continuous".to_string()),
paused: false,
upper_limit: 11.0,
lower_limit: 9.0,
price_tick: 0.01,
},
DailyMarketSnapshot {
date: *date,
symbol: "000002.SZ".to_string(),
timestamp: Some(format!("{date} 10:18:00")),
day_open: 20.0,
open: 20.0,
high: 20.1,
low: 19.9,
close: 20.0,
last_price: 20.0,
bid1: 19.99,
ask1: 20.01,
prev_close: 19.95,
volume: 100_000,
tick_volume: 5_000,
bid1_volume: 2_000,
ask1_volume: 2_000,
trading_phase: Some("continuous".to_string()),
paused: false,
upper_limit: 22.0,
lower_limit: 18.0,
price_tick: 0.01,
},
]
})
.collect::<Vec<_>>();
let factors = dates
.iter()
.flat_map(|date| {
[
DailyFactorSnapshot {
date: *date,
symbol: "000001.SZ".to_string(),
market_cap_bn: 10.0,
free_float_cap_bn: 8.0,
pe_ttm: 10.0,
turnover_ratio: Some(1.0),
effective_turnover_ratio: Some(1.0),
extra_factors: BTreeMap::new(),
},
DailyFactorSnapshot {
date: *date,
symbol: "000002.SZ".to_string(),
market_cap_bn: 12.0,
free_float_cap_bn: 10.0,
pe_ttm: 12.0,
turnover_ratio: Some(1.0),
effective_turnover_ratio: Some(1.0),
extra_factors: BTreeMap::new(),
},
]
})
.collect::<Vec<_>>();
let candidates = dates
.iter()
.flat_map(|date| {
[
CandidateEligibility {
date: *date,
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: *date,
symbol: "000002.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,
},
]
})
.collect::<Vec<_>>();
let benchmarks = dates
.iter()
.map(|date| BenchmarkSnapshot {
date: *date,
benchmark: "000852.SH".to_string(),
open: 1000.0,
close: 1000.0,
prev_close: 999.0,
volume: 100_000,
})
.collect::<Vec<_>>();
let data = DataSet::from_components(instruments, markets, factors, candidates, benchmarks)
.expect("dataset");
let broker = BrokerSimulator::new_with_execution_price(
ChinaAShareCostModel::default(),
ChinaEquityRuleHooks::default(),
PriceField::Open,
);
let mut engine = BacktestEngine::new(
data,
strategy,
broker,
BacktestConfig {
initial_cash: 1_000_000.0,
benchmark_code: "000852.SH".to_string(),
start_date: Some(dates[0]),
end_date: Some(dates[2]),
decision_lag_trading_days: 0,
execution_price_field: PriceField::Open,
},
);
let result = engine.run().expect("backtest result");
assert_eq!(
snapshots.borrow().as_slice(),
&[
"2025-01-02:0:0:000001.SZ,000002.SZ",
"2025-01-03:1:1:000002.SZ",
"2025-01-06:1:0:000002.SZ",
]
);
assert!(
result
.process_events
.iter()
.any(|event| event.kind == ProcessEventKind::UniverseUpdated)
);
assert!(
result
.process_events
.iter()
.any(|event| event.kind == ProcessEventKind::UniverseSubscribed)
);
assert!(
result
.process_events
.iter()
.any(|event| event.kind == ProcessEventKind::UniverseUnsubscribed)
);
}
#[test]
fn engine_exposes_current_process_context_to_strategies() {
let date = d(2025, 1, 2);