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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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259
crates/fidc-core/tests/delisting.rs
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@@ -1,8 +1,9 @@
use chrono::NaiveDate;
use fidc_core::{
BacktestConfig, BacktestEngine, BenchmarkSnapshot, BrokerSimulator, CandidateEligibility,
ChinaAShareCostModel, ChinaEquityRuleHooks, DailyFactorSnapshot, DailyMarketSnapshot, DataSet,
Instrument, OrderIntent, PriceField, Strategy, StrategyContext, StrategyDecision,
ChinaAShareCostModel, ChinaEquityRuleHooks, CorporateAction, DailyFactorSnapshot,
DailyMarketSnapshot, DataSet, Instrument, OrderIntent, PriceField, Strategy, StrategyContext,
StrategyDecision,
};
use std::collections::{BTreeMap, BTreeSet};
@@ -144,6 +145,7 @@ fn engine_settles_delisted_position_before_missing_market_snapshot_breaks_run()
pe_ttm: 10.0,
turnover_ratio: Some(1.0),
effective_turnover_ratio: Some(1.0),
extra_factors: BTreeMap::new(),
},
DailyFactorSnapshot {
date: date1,
@@ -153,6 +155,7 @@ fn engine_settles_delisted_position_before_missing_market_snapshot_breaks_run()
pe_ttm: 10.0,
turnover_ratio: Some(1.0),
effective_turnover_ratio: Some(1.0),
extra_factors: BTreeMap::new(),
},
DailyFactorSnapshot {
date: date2,
@@ -162,6 +165,7 @@ fn engine_settles_delisted_position_before_missing_market_snapshot_breaks_run()
pe_ttm: 10.0,
turnover_ratio: Some(1.0),
effective_turnover_ratio: Some(1.0),
extra_factors: BTreeMap::new(),
},
],
vec![
@@ -248,10 +252,249 @@ fn engine_settles_delisted_position_before_missing_market_snapshot_breaks_run()
.any(|fill| fill.reason.contains("delisted_cash_settlement")
&& fill.symbol == "000001.SZ")
);
assert!(
result
.holdings_summary
.iter()
.all(|holding| holding.symbol != "000001.SZ")
);
assert!(result
.holdings_summary
.iter()
.all(|holding| holding.symbol != "000001.SZ"));
}
#[test]
fn engine_applies_successor_conversion_before_delisted_cash_settlement() {
let date1 = d(2025, 1, 2);
let date2 = d(2025, 1, 3);
let data = DataSet::from_components_with_actions(
vec![
Instrument {
symbol: "000001.SZ".to_string(),
name: "Legacy".to_string(),
board: "SZ".to_string(),
round_lot: 100,
listed_at: Some(d(2020, 1, 1)),
delisted_at: Some(date2),
status: "delisted".to_string(),
},
Instrument {
symbol: "000002.SZ".to_string(),
name: "Successor".to_string(),
board: "SZ".to_string(),
round_lot: 100,
listed_at: Some(d(2020, 1, 1)),
delisted_at: None,
status: "active".to_string(),
},
],
vec![
DailyMarketSnapshot {
date: date1,
symbol: "000001.SZ".to_string(),
timestamp: Some("2025-01-02 10:18:00".to_string()),
day_open: 10.0,
open: 10.0,
high: 10.0,
low: 10.0,
close: 10.0,
last_price: 10.0,
bid1: 10.0,
ask1: 10.0,
prev_close: 10.0,
volume: 100_000,
tick_volume: 100_000,
bid1_volume: 100_000,
ask1_volume: 100_000,
trading_phase: Some("continuous".to_string()),
paused: false,
upper_limit: 11.0,
lower_limit: 9.0,
price_tick: 0.01,
},
DailyMarketSnapshot {
date: date1,
symbol: "000002.SZ".to_string(),
timestamp: Some("2025-01-02 10:18:00".to_string()),
day_open: 20.0,
open: 20.0,
high: 20.0,
low: 20.0,
close: 20.0,
last_price: 20.0,
bid1: 20.0,
ask1: 20.0,
prev_close: 20.0,
volume: 100_000,
tick_volume: 100_000,
bid1_volume: 100_000,
ask1_volume: 100_000,
trading_phase: Some("continuous".to_string()),
paused: false,
upper_limit: 22.0,
lower_limit: 18.0,
price_tick: 0.01,
},
DailyMarketSnapshot {
date: date2,
symbol: "000002.SZ".to_string(),
timestamp: Some("2025-01-03 10:18:00".to_string()),
day_open: 21.0,
open: 21.0,
high: 21.0,
low: 21.0,
close: 21.0,
last_price: 21.0,
bid1: 21.0,
ask1: 21.0,
prev_close: 20.0,
volume: 120_000,
tick_volume: 120_000,
bid1_volume: 120_000,
ask1_volume: 120_000,
trading_phase: Some("continuous".to_string()),
paused: false,
upper_limit: 22.0,
lower_limit: 18.0,
price_tick: 0.01,
},
],
vec![
DailyFactorSnapshot {
date: date1,
symbol: "000001.SZ".to_string(),
market_cap_bn: 20.0,
free_float_cap_bn: 18.0,
pe_ttm: 10.0,
turnover_ratio: Some(1.0),
effective_turnover_ratio: Some(1.0),
extra_factors: BTreeMap::new(),
},
DailyFactorSnapshot {
date: date1,
symbol: "000002.SZ".to_string(),
market_cap_bn: 30.0,
free_float_cap_bn: 28.0,
pe_ttm: 10.0,
turnover_ratio: Some(1.0),
effective_turnover_ratio: Some(1.0),
extra_factors: BTreeMap::new(),
},
DailyFactorSnapshot {
date: date2,
symbol: "000002.SZ".to_string(),
market_cap_bn: 31.0,
free_float_cap_bn: 29.0,
pe_ttm: 10.0,
turnover_ratio: Some(1.0),
effective_turnover_ratio: Some(1.0),
extra_factors: BTreeMap::new(),
},
],
vec![
CandidateEligibility {
date: date1,
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: date1,
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,
},
CandidateEligibility {
date: date2,
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,
},
],
vec![
BenchmarkSnapshot {
date: date1,
benchmark: "000300.SH".to_string(),
open: 100.0,
close: 100.0,
prev_close: 99.0,
volume: 1_000_000,
},
BenchmarkSnapshot {
date: date2,
benchmark: "000300.SH".to_string(),
open: 101.0,
close: 101.0,
prev_close: 100.0,
volume: 1_100_000,
},
],
vec![CorporateAction {
date: date2,
symbol: "000001.SZ".to_string(),
payable_date: None,
share_cash: 0.0,
share_bonus: 0.0,
share_gift: 0.0,
issue_quantity: 0.0,
issue_price: 0.0,
reform: false,
adjust_factor: None,
successor_symbol: Some("000002.SZ".to_string()),
successor_ratio: Some(0.5),
successor_cash: Some(1.0),
}],
)
.expect("dataset");
let broker = BrokerSimulator::new_with_execution_price(
ChinaAShareCostModel::default(),
ChinaEquityRuleHooks::default(),
PriceField::Open,
);
let mut engine = BacktestEngine::new(
data,
BuyThenHoldStrategy,
broker,
BacktestConfig {
initial_cash: 100_000.0,
benchmark_code: "000300.SH".to_string(),
start_date: Some(date1),
end_date: Some(date2),
decision_lag_trading_days: 0,
execution_price_field: PriceField::Open,
},
);
let result = engine.run().expect("backtest succeeds");
assert!(result.equity_curve.iter().any(|point| point
.notes
.contains("successor_conversion 000001.SZ->000002.SZ")));
assert!(result.fills.iter().all(
|fill| !fill.reason.contains("delisted_cash_settlement") || fill.symbol != "000001.SZ"
));
let successor_holding = result
.holdings_summary
.iter()
.find(|holding| holding.symbol == "000002.SZ")
.expect("successor holding exists");
assert_eq!(successor_holding.quantity, 500);
assert!(result
.holdings_summary
.iter()
.all(|holding| holding.symbol != "000001.SZ"));
assert!(result.account_events.iter().any(|event| event
.note
.contains("successor_conversion 000001.SZ->000002.SZ")
&& event.note.contains("cash=1000.00")));
}