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Add smart target-portfolio order intent

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This commit is contained in:
boris
2026-04-23 05:57:29 -07:00
parent f805a4b26d
commit 48f8486e1a
4 changed files with 406 additions and 20 deletions
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184
crates/fidc-core/tests/explicit_order_flow.rs
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@@ -323,6 +323,190 @@ fn broker_executes_target_shares_like_order_to() {
assert_eq!(report.fill_events[0].quantity, 100);
}
#[test]
fn broker_executes_target_portfolio_smart_with_custom_prices() {
let date = NaiveDate::from_ymd_opt(2024, 1, 10).unwrap();
let data = DataSet::from_components(
vec![
Instrument {
symbol: "000001.SZ".to_string(),
name: "Old".to_string(),
board: "SZ".to_string(),
round_lot: 100,
listed_at: None,
delisted_at: None,
status: "active".to_string(),
},
Instrument {
symbol: "000002.SZ".to_string(),
name: "New".to_string(),
board: "SZ".to_string(),
round_lot: 100,
listed_at: None,
delisted_at: None,
status: "active".to_string(),
},
],
vec![
DailyMarketSnapshot {
date,
symbol: "000001.SZ".to_string(),
timestamp: Some("2024-01-10 10:18:00".to_string()),
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: 10.0,
volume: 100_000,
tick_volume: 100_000,
bid1_volume: 80_000,
ask1_volume: 80_000,
trading_phase: Some("continuous".to_string()),
paused: false,
upper_limit: 11.0,
lower_limit: 9.0,
price_tick: 0.01,
},
DailyMarketSnapshot {
date,
symbol: "000002.SZ".to_string(),
timestamp: Some("2024-01-10 10:18:00".to_string()),
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: 10.0,
volume: 100_000,
tick_volume: 100_000,
bid1_volume: 80_000,
ask1_volume: 80_000,
trading_phase: Some("continuous".to_string()),
paused: false,
upper_limit: 11.0,
lower_limit: 9.0,
price_tick: 0.01,
},
],
vec![
DailyFactorSnapshot {
date,
symbol: "000001.SZ".to_string(),
market_cap_bn: 50.0,
free_float_cap_bn: 45.0,
pe_ttm: 15.0,
turnover_ratio: Some(2.0),
effective_turnover_ratio: Some(1.8),
extra_factors: BTreeMap::new(),
},
DailyFactorSnapshot {
date,
symbol: "000002.SZ".to_string(),
market_cap_bn: 45.0,
free_float_cap_bn: 40.0,
pe_ttm: 14.0,
turnover_ratio: Some(2.2),
effective_turnover_ratio: Some(2.0),
extra_factors: BTreeMap::new(),
},
],
vec![
CandidateEligibility {
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,
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,
benchmark: "000852.SH".to_string(),
open: 1000.0,
close: 1002.0,
prev_close: 998.0,
volume: 1_000_000,
}],
)
.expect("dataset");
let mut portfolio = PortfolioState::new(1_000.0);
portfolio
.position_mut("000001.SZ")
.buy(date.pred_opt().expect("previous day"), 300, 10.0);
let broker = BrokerSimulator::new(
ChinaAShareCostModel::default(),
ChinaEquityRuleHooks::default(),
);
let report = broker
.execute(
date,
&mut portfolio,
&data,
&StrategyDecision {
rebalance: false,
target_weights: BTreeMap::new(),
exit_symbols: BTreeSet::new(),
order_intents: vec![OrderIntent::TargetPortfolioSmart {
target_weights: BTreeMap::from([
("000001.SZ".to_string(), 0.0),
("000002.SZ".to_string(), 0.5),
]),
order_prices: Some(BTreeMap::from([
("000001.SZ".to_string(), 9.8),
("000002.SZ".to_string(), 10.2),
])),
valuation_prices: Some(BTreeMap::from([
("000001.SZ".to_string(), 10.0),
("000002.SZ".to_string(), 20.0),
])),
reason: "test_target_portfolio_smart".to_string(),
}],
notes: Vec::new(),
diagnostics: Vec::new(),
},
)
.expect("broker execution");
assert_eq!(report.order_events.len(), 2);
assert_eq!(report.fill_events.len(), 2);
assert_eq!(report.fill_events[0].symbol, "000001.SZ");
assert_eq!(report.fill_events[0].side, fidc_core::OrderSide::Sell);
assert_eq!(report.fill_events[0].quantity, 300);
assert_eq!(report.fill_events[1].symbol, "000002.SZ");
assert_eq!(report.fill_events[1].side, fidc_core::OrderSide::Buy);
assert_eq!(report.fill_events[1].quantity, 100);
assert_eq!(portfolio.position("000001.SZ").map(|pos| pos.quantity).unwrap_or(0), 0);
assert_eq!(
portfolio.position("000002.SZ").map(|pos| pos.quantity),
Some(100)
);
}
#[test]
fn broker_executes_order_percent_and_target_percent() {
let date = NaiveDate::from_ymd_opt(2024, 1, 10).unwrap();