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Add daily strategy lifecycle hooks

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This commit is contained in:
boris
2026-04-22 22:15:55 -07:00
parent 32e29fdf9a
commit 34e16520fa
3 changed files with 263 additions and 3 deletions
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28
crates/fidc-core/src/engine.rs
View File

@@ -190,10 +190,22 @@ where
)?;
self.extend_result(&mut result, delisting_report);
let decision = execution_idx
let decision_slot = execution_idx
.checked_sub(self.config.decision_lag_trading_days)
.map(|decision_idx| {
let decision_date = execution_dates[decision_idx];
.map(|decision_idx| (decision_idx, execution_dates[decision_idx]));
let (decision_index, decision_date) =
decision_slot.unwrap_or((execution_idx, execution_date));
let daily_context = StrategyContext {
execution_date,
decision_date,
decision_index,
data: &self.data,
portfolio: &portfolio,
};
self.strategy.before_trading(&daily_context)?;
let decision = decision_slot
.map(|(decision_idx, decision_date)| {
self.strategy.on_day(&StrategyContext {
execution_date,
decision_date,
@@ -215,6 +227,16 @@ where
portfolio.update_prices(execution_date, &self.data, PriceField::Close)?;
let post_trade_context = StrategyContext {
execution_date,
decision_date,
decision_index,
data: &self.data,
portfolio: &portfolio,
};
self.strategy.after_trading(&post_trade_context)?;
self.strategy.on_settlement(&post_trade_context)?;
let benchmark =
self.data
.benchmark(execution_date)

9
crates/fidc-core/src/strategy.rs
View File

@@ -15,7 +15,16 @@ use crate::universe::{DynamicMarketCapBandSelector, SelectionContext, UniverseSe
pub trait Strategy {
fn name(&self) -> &str;
fn before_trading(&mut self, _ctx: &StrategyContext<'_>) -> Result<(), BacktestError> {
Ok(())
}
fn on_day(&mut self, ctx: &StrategyContext<'_>) -> Result<StrategyDecision, BacktestError>;
fn after_trading(&mut self, _ctx: &StrategyContext<'_>) -> Result<(), BacktestError> {
Ok(())
}
fn on_settlement(&mut self, _ctx: &StrategyContext<'_>) -> Result<(), BacktestError> {
Ok(())
}
}
pub struct StrategyContext<'a> {

229
crates/fidc-core/tests/engine_hooks.rs Normal file
View File

@@ -0,0 +1,229 @@
use std::cell::RefCell;
use std::collections::{BTreeMap, BTreeSet};
use std::rc::Rc;
use chrono::NaiveDate;
use fidc_core::{
BacktestConfig, BacktestEngine, BenchmarkSnapshot, BrokerSimulator, CandidateEligibility,
ChinaAShareCostModel, ChinaEquityRuleHooks, DailyFactorSnapshot, DailyMarketSnapshot, DataSet,
Instrument, PriceField, Strategy, StrategyContext, StrategyDecision,
};
fn d(year: i32, month: u32, day: u32) -> NaiveDate {
NaiveDate::from_ymd_opt(year, month, day).expect("valid date")
}
struct HookProbeStrategy {
log: Rc<RefCell<Vec<String>>>,
}
impl Strategy for HookProbeStrategy {
fn name(&self) -> &str {
"hook-probe"
}
fn before_trading(&mut self, ctx: &StrategyContext<'_>) -> Result<(), fidc_core::BacktestError> {
self.log
.borrow_mut()
.push(format!("before:{}", ctx.execution_date));
Ok(())
}
fn on_day(
&mut self,
ctx: &StrategyContext<'_>,
) -> Result<StrategyDecision, fidc_core::BacktestError> {
self.log
.borrow_mut()
.push(format!("on_day:{}", ctx.execution_date));
Ok(StrategyDecision {
rebalance: false,
target_weights: BTreeMap::new(),
exit_symbols: BTreeSet::new(),
order_intents: Vec::new(),
notes: Vec::new(),
diagnostics: Vec::new(),
})
}
fn after_trading(&mut self, ctx: &StrategyContext<'_>) -> Result<(), fidc_core::BacktestError> {
self.log
.borrow_mut()
.push(format!("after:{}", ctx.execution_date));
Ok(())
}
fn on_settlement(&mut self, ctx: &StrategyContext<'_>) -> Result<(), fidc_core::BacktestError> {
self.log
.borrow_mut()
.push(format!("settlement:{}", ctx.execution_date));
Ok(())
}
}
#[test]
fn engine_runs_strategy_hooks_in_daily_order() {
let date1 = d(2025, 1, 2);
let date2 = d(2025, 1, 3);
let data = DataSet::from_components(
vec![Instrument {
symbol: "000001.SZ".to_string(),
name: "Anchor".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: date2,
symbol: "000001.SZ".to_string(),
timestamp: Some("2025-01-03 10:18:00".to_string()),
day_open: 10.1,
open: 10.1,
high: 10.1,
low: 10.1,
close: 10.1,
last_price: 10.1,
bid1: 10.1,
ask1: 10.1,
prev_close: 10.0,
volume: 110_000,
tick_volume: 110_000,
bid1_volume: 110_000,
ask1_volume: 110_000,
trading_phase: Some("continuous".to_string()),
paused: false,
upper_limit: 11.0,
lower_limit: 9.0,
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: date2,
symbol: "000001.SZ".to_string(),
market_cap_bn: 21.0,
free_float_cap_bn: 19.0,
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: date2,
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,
},
],
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,
},
],
)
.expect("dataset");
let log = Rc::new(RefCell::new(Vec::new()));
let strategy = HookProbeStrategy { log: log.clone() };
let broker = BrokerSimulator::new_with_execution_price(
ChinaAShareCostModel::default(),
ChinaEquityRuleHooks::default(),
PriceField::Open,
);
let mut engine = BacktestEngine::new(
data,
strategy,
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,
},
);
engine.run().expect("backtest succeeds");
assert_eq!(
log.borrow().as_slice(),
[
"before:2025-01-02",
"on_day:2025-01-02",
"after:2025-01-02",
"settlement:2025-01-02",
"before:2025-01-03",
"on_day:2025-01-03",
"after:2025-01-03",
"settlement:2025-01-03",
]
);
}