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Support successor conversions for delisted holdings

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This commit is contained in:
boris
2026-04-22 22:13:32 -07:00
parent 6606ef86bc
commit 32e29fdf9a
4 changed files with 447 additions and 33 deletions
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66
crates/fidc-core/src/engine.rs
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@@ -6,7 +6,7 @@ use crate::broker::{BrokerExecutionReport, BrokerSimulator};
use crate::cost::CostModel;
use crate::data::{BenchmarkSnapshot, DataSet, DataSetError, PriceField};
use crate::events::{AccountEvent, FillEvent, OrderEvent, OrderSide, OrderStatus, PositionEvent};
use crate::metrics::{BacktestMetrics, compute_backtest_metrics};
use crate::metrics::{compute_backtest_metrics, BacktestMetrics};
use crate::portfolio::{CashReceivable, HoldingSummary, PortfolioState};
use crate::rules::EquityRuleHooks;
use crate::strategy::{Strategy, StrategyContext};
@@ -177,18 +177,18 @@ where
&mut corporate_action_notes,
)?;
self.extend_result(&mut result, receivable_report);
let delisting_report = self.settle_delisted_positions(
execution_date,
&mut portfolio,
&mut corporate_action_notes,
)?;
self.extend_result(&mut result, delisting_report);
let corporate_action_report = self.apply_corporate_actions(
execution_date,
&mut portfolio,
&mut corporate_action_notes,
)?;
self.extend_result(&mut result, corporate_action_report);
let delisting_report = self.settle_delisted_positions(
execution_date,
&mut portfolio,
&mut corporate_action_notes,
)?;
self.extend_result(&mut result, delisting_report);
let decision = execution_idx
.checked_sub(self.config.decision_lag_trading_days)
@@ -396,6 +396,58 @@ where
});
}
}
if action.has_successor_conversion() {
let successor_symbol = action
.successor_symbol
.as_deref()
.expect("successor symbol checked");
let Some(outcome) = portfolio.apply_successor_conversion(
&action.symbol,
successor_symbol,
action.successor_ratio_value(),
action.successor_cash_value(),
) else {
continue;
};
let reason = format!(
"successor_conversion {}->{} ratio={:.6} cash_per_share={:.6}",
outcome.old_symbol,
outcome.new_symbol,
action.successor_ratio_value(),
action.successor_cash_value()
);
notes.push(reason.clone());
report.position_events.push(PositionEvent {
date,
symbol: outcome.old_symbol.clone(),
delta_quantity: -(outcome.old_quantity as i32),
quantity_after: 0,
average_cost: 0.0,
realized_pnl_delta: 0.0,
reason: reason.clone(),
});
report.position_events.push(PositionEvent {
date,
symbol: outcome.new_symbol.clone(),
delta_quantity: outcome.new_quantity_delta,
quantity_after: outcome.new_quantity_after,
average_cost: outcome.new_average_cost_after,
realized_pnl_delta: 0.0,
reason: reason.clone(),
});
if outcome.cash_delta.abs() > f64::EPSILON {
let cash_before = portfolio.cash();
portfolio.apply_cash_delta(outcome.cash_delta);
report.account_events.push(AccountEvent {
date,
cash_before,
cash_after: portfolio.cash(),
total_equity: portfolio.total_equity(),
note: format!("{} cash={:.2}", reason, outcome.cash_delta),
});
}
}
}
portfolio.prune_flat_positions();