diff --git a/crates/bt-demo/src/main.rs b/crates/bt-demo/src/main.rs index 8f6d894..36b3922 100644 --- a/crates/bt-demo/src/main.rs +++ b/crates/bt-demo/src/main.rs @@ -123,6 +123,7 @@ fn main() -> Result<(), Box> { decision_index: 1, data: &data, portfolio: &PortfolioState::new(10_000_000.0), + open_orders: &[], })?; eprintln!("DEBUG notes={:?}", decision.notes); eprintln!("DEBUG diagnostics={:?}", decision.diagnostics); diff --git a/crates/fidc-core/src/broker.rs b/crates/fidc-core/src/broker.rs index 70f523a..94861fa 100644 --- a/crates/fidc-core/src/broker.rs +++ b/crates/fidc-core/src/broker.rs @@ -12,7 +12,7 @@ use crate::events::{ }; use crate::portfolio::PortfolioState; use crate::rules::EquityRuleHooks; -use crate::strategy::{OrderIntent, StrategyDecision}; +use crate::strategy::{OpenOrderView, OrderIntent, StrategyDecision}; #[derive(Debug, Default)] pub struct BrokerExecutionReport { @@ -174,6 +174,23 @@ impl BrokerSimulator { self.slippage_model = slippage_model; self } + + pub fn open_order_views(&self) -> Vec { + self.open_orders + .borrow() + .iter() + .map(|order| OpenOrderView { + order_id: order.order_id, + symbol: order.symbol.clone(), + side: order.side, + requested_quantity: order.requested_quantity, + filled_quantity: order.filled_quantity, + remaining_quantity: order.remaining_quantity, + limit_price: order.limit_price, + reason: order.reason.clone(), + }) + .collect() + } } impl BrokerSimulator diff --git a/crates/fidc-core/src/engine.rs b/crates/fidc-core/src/engine.rs index c543661..6232502 100644 --- a/crates/fidc-core/src/engine.rs +++ b/crates/fidc-core/src/engine.rs @@ -232,12 +232,14 @@ where .map(|decision_idx| (decision_idx, execution_dates[decision_idx])); let (decision_index, decision_date) = decision_slot.unwrap_or((execution_idx, execution_date)); + let pre_open_orders = self.broker.open_order_views(); let daily_context = StrategyContext { execution_date, decision_date, decision_index, data: &self.data, portfolio: &portfolio, + open_orders: &pre_open_orders, }; let schedule_rules = self.strategy.schedule_rules(); let mut process_events = Vec::new(); @@ -304,12 +306,14 @@ where &self.data, &auction_decision, )?; + let post_auction_open_orders = self.broker.open_order_views(); let post_auction_context = StrategyContext { execution_date, decision_date, decision_index, data: &self.data, portfolio: &portfolio, + open_orders: &post_auction_open_orders, }; publish_process_events( &mut self.strategy, @@ -337,6 +341,7 @@ where ProcessEventKind::PreOnDay, "on_day:pre", )?; + let on_day_open_orders = self.broker.open_order_views(); let mut decision = decision_slot .map(|(decision_idx, decision_date)| { self.strategy.on_day(&StrategyContext { @@ -345,6 +350,7 @@ where decision_index: decision_idx, data: &self.data, portfolio: &portfolio, + open_orders: &on_day_open_orders, }) }) .transpose()? @@ -361,6 +367,7 @@ where decision_index, data: &self.data, portfolio: &portfolio, + open_orders: &on_day_open_orders, }, &mut process_events, &mut self.process_event_bus, @@ -371,6 +378,7 @@ where decision_index, data: &self.data, portfolio: &portfolio, + open_orders: &on_day_open_orders, }; publish_phase_event( &mut self.strategy, @@ -385,12 +393,14 @@ where let mut intraday_report = self.broker .execute(execution_date, &mut portfolio, &self.data, &decision)?; + let post_intraday_open_orders = self.broker.open_order_views(); let post_intraday_context = StrategyContext { execution_date, decision_date, decision_index, data: &self.data, portfolio: &portfolio, + open_orders: &post_intraday_open_orders, }; publish_process_events( &mut self.strategy, @@ -418,12 +428,14 @@ where portfolio.update_prices(execution_date, &self.data, PriceField::Close)?; + let post_trade_open_orders = self.broker.open_order_views(); let post_trade_context = StrategyContext { execution_date, decision_date, decision_index, data: &self.data, portfolio: &portfolio, + open_orders: &post_trade_open_orders, }; publish_phase_event( &mut self.strategy, @@ -457,10 +469,19 @@ where report.position_events.extend(close_report.position_events); report.account_events.extend(close_report.account_events); report.diagnostics.extend(close_report.diagnostics); + let post_close_open_orders = self.broker.open_order_views(); + let post_close_context = StrategyContext { + execution_date, + decision_date, + decision_index, + data: &self.data, + portfolio: &portfolio, + open_orders: &post_close_open_orders, + }; publish_phase_event( &mut self.strategy, &mut self.process_event_bus, - &post_trade_context, + &post_close_context, &mut process_events, execution_date, ProcessEventKind::PostAfterTrading, @@ -469,17 +490,17 @@ where publish_phase_event( &mut self.strategy, &mut self.process_event_bus, - &post_trade_context, + &post_close_context, &mut process_events, execution_date, ProcessEventKind::PreSettlement, "settlement:pre", )?; - self.strategy.on_settlement(&post_trade_context)?; + self.strategy.on_settlement(&post_close_context)?; publish_phase_event( &mut self.strategy, &mut self.process_event_bus, - &post_trade_context, + &post_close_context, &mut process_events, execution_date, ProcessEventKind::Settlement, @@ -488,7 +509,7 @@ where publish_phase_event( &mut self.strategy, &mut self.process_event_bus, - &post_trade_context, + &post_close_context, &mut process_events, execution_date, ProcessEventKind::PostSettlement, diff --git a/crates/fidc-core/src/lib.rs b/crates/fidc-core/src/lib.rs index 26dca7e..7f126a7 100644 --- a/crates/fidc-core/src/lib.rs +++ b/crates/fidc-core/src/lib.rs @@ -44,7 +44,7 @@ pub use rules::{ChinaEquityRuleHooks, EquityRuleHooks, RuleCheck}; pub use scheduler::{ScheduleFrequency, ScheduleRule, ScheduleStage, Scheduler}; pub use strategy::{ CnSmallCapRotationConfig, CnSmallCapRotationStrategy, JqMicroCapConfig, JqMicroCapStrategy, - OrderIntent, Strategy, StrategyContext, StrategyDecision, + OpenOrderView, OrderIntent, Strategy, StrategyContext, StrategyDecision, }; pub use strategy_ai::{ ManualExample, ManualFactorSource, ManualField, ManualFieldGroup, ManualFunction, diff --git a/crates/fidc-core/src/platform_expr_strategy.rs b/crates/fidc-core/src/platform_expr_strategy.rs index c1b32e2..30717f5 100644 --- a/crates/fidc-core/src/platform_expr_strategy.rs +++ b/crates/fidc-core/src/platform_expr_strategy.rs @@ -1112,6 +1112,7 @@ impl PlatformExprStrategy { fn eval_scope( &self, + ctx: &StrategyContext<'_>, day: &DayExpressionState, stock: Option<&StockExpressionState>, position: Option<&PositionExpressionState>, @@ -1148,6 +1149,12 @@ impl PlatformExprStrategy { scope.push("is_month_start", day.is_month_start); scope.push("is_month_end", day.is_month_end); scope.push("signal_ma30", day.signal_ma30); + scope.push("has_open_orders", ctx.has_open_orders()); + scope.push("open_order_count", ctx.open_order_count() as i64); + scope.push("open_buy_order_count", ctx.open_buy_order_count() as i64); + scope.push("open_sell_order_count", ctx.open_sell_order_count() as i64); + scope.push("open_buy_qty", ctx.open_buy_quantity() as i64); + scope.push("open_sell_qty", ctx.open_sell_quantity() as i64); let mut day_factors = Map::new(); day_factors.insert("signal_open".into(), Dynamic::from(day.signal_open)); day_factors.insert("signal_close".into(), Dynamic::from(day.signal_close)); @@ -1188,6 +1195,30 @@ impl PlatformExprStrategy { day_factors.insert("weekday".into(), Dynamic::from(day.weekday)); day_factors.insert("is_month_start".into(), Dynamic::from(day.is_month_start)); day_factors.insert("is_month_end".into(), Dynamic::from(day.is_month_end)); + day_factors.insert( + "has_open_orders".into(), + Dynamic::from(ctx.has_open_orders()), + ); + day_factors.insert( + "open_order_count".into(), + Dynamic::from(ctx.open_order_count() as i64), + ); + day_factors.insert( + "open_buy_order_count".into(), + Dynamic::from(ctx.open_buy_order_count() as i64), + ); + day_factors.insert( + "open_sell_order_count".into(), + Dynamic::from(ctx.open_sell_order_count() as i64), + ); + day_factors.insert( + "open_buy_qty".into(), + Dynamic::from(ctx.open_buy_quantity() as i64), + ); + day_factors.insert( + "open_sell_qty".into(), + Dynamic::from(ctx.open_sell_quantity() as i64), + ); scope.push("day_factors", day_factors); if let Some(stock) = stock { let at_upper_limit = @@ -1229,6 +1260,18 @@ impl PlatformExprStrategy { scope.push("listed_days", stock.listed_days); scope.push("at_upper_limit", at_upper_limit); scope.push("at_lower_limit", at_lower_limit); + scope.push( + "symbol_open_order_count", + ctx.symbol_open_order_count(&stock.symbol) as i64, + ); + scope.push( + "symbol_open_buy_qty", + ctx.symbol_open_buy_quantity(&stock.symbol) as i64, + ); + scope.push( + "symbol_open_sell_qty", + ctx.symbol_open_sell_quantity(&stock.symbol) as i64, + ); scope.push("stock_ma_short", stock.stock_ma_short); scope.push("stock_ma_mid", stock.stock_ma_mid); scope.push("stock_ma_long", stock.stock_ma_long); @@ -1304,6 +1347,18 @@ impl PlatformExprStrategy { factors.insert("listed_days".into(), Dynamic::from(stock.listed_days)); factors.insert("at_upper_limit".into(), Dynamic::from(at_upper_limit)); factors.insert("at_lower_limit".into(), Dynamic::from(at_lower_limit)); + factors.insert( + "symbol_open_order_count".into(), + Dynamic::from(ctx.symbol_open_order_count(&stock.symbol) as i64), + ); + factors.insert( + "symbol_open_buy_qty".into(), + Dynamic::from(ctx.symbol_open_buy_quantity(&stock.symbol) as i64), + ); + factors.insert( + "symbol_open_sell_qty".into(), + Dynamic::from(ctx.symbol_open_sell_quantity(&stock.symbol) as i64), + ); factors.insert("stock_ma5".into(), Dynamic::from(stock.stock_ma5)); factors.insert("stock_ma10".into(), Dynamic::from(stock.stock_ma10)); factors.insert("stock_ma20".into(), Dynamic::from(stock.stock_ma20)); @@ -1357,6 +1412,18 @@ impl PlatformExprStrategy { scope.push("holding_return", position.holding_return); scope.push("quantity", position.quantity); scope.push("sellable_qty", position.sellable_qty); + let available_sellable_qty = stock + .map(|stock| { + ctx.available_sellable_qty(&stock.symbol, position.sellable_qty as u32) + }) + .unwrap_or(position.sellable_qty.max(0) as u32); + scope.push("available_sellable_qty", available_sellable_qty as i64); + scope.push( + "reserved_open_sell_qty", + stock + .map(|stock| ctx.symbol_open_sell_quantity(&stock.symbol) as i64) + .unwrap_or(0), + ); scope.push("profit_pct", position.holding_return * 100.0); } scope @@ -1370,7 +1437,7 @@ impl PlatformExprStrategy { stock: Option<&StockExpressionState>, position: Option<&PositionExpressionState>, ) -> Result { - let mut scope = self.eval_scope(day, stock, position); + let mut scope = self.eval_scope(ctx, day, stock, position); let normalized_expr = Self::normalize_expr(expr); let expanded_expr = self.expand_runtime_helpers(ctx, day, stock, &normalized_expr)?; let prelude_declared_identifiers = Self::declared_prelude_identifiers(&self.config.prelude); @@ -2885,7 +2952,7 @@ mod tests { }; use crate::{ BenchmarkSnapshot, CandidateEligibility, DailyFactorSnapshot, DailyMarketSnapshot, DataSet, - Instrument, PortfolioState, Strategy, StrategyContext, TradingCalendar, + Instrument, OpenOrderView, PortfolioState, Strategy, StrategyContext, TradingCalendar, }; fn d(year: i32, month: u32, day: u32) -> NaiveDate { @@ -2999,6 +3066,7 @@ mod tests { decision_index: 0, data: &data, portfolio: &portfolio, + open_orders: &[], }; let mut cfg = PlatformExprStrategyConfig::microcap_rotation(); cfg.signal_symbol = "000001.SZ".to_string(); @@ -3128,6 +3196,7 @@ mod tests { decision_index: 0, data: &data, portfolio: &portfolio, + open_orders: &[], }; let mut cfg = PlatformExprStrategyConfig::microcap_rotation(); cfg.signal_symbol = "000001.SZ".to_string(); @@ -3238,6 +3307,7 @@ mod tests { decision_index: 0, data: &data, portfolio: &portfolio, + open_orders: &[], }; let mut cfg = PlatformExprStrategyConfig::microcap_rotation(); cfg.signal_symbol = "000001.SZ".to_string(); @@ -3264,4 +3334,111 @@ mod tests { let auction_decision = strategy.open_auction(&ctx).expect("auction decision"); assert!(auction_decision.order_intents.is_empty()); } + + #[test] + fn platform_strategy_exposes_open_order_runtime_fields() { + let date = d(2025, 2, 3); + let data = DataSet::from_components( + vec![Instrument { + symbol: "000001.SZ".to_string(), + name: "Ping An Bank".to_string(), + board: "SZSE".to_string(), + round_lot: 100, + listed_at: Some(d(2010, 1, 1)), + delisted_at: None, + status: "active".to_string(), + }], + vec![DailyMarketSnapshot { + date, + symbol: "000001.SZ".to_string(), + timestamp: Some("10:18:00".to_string()), + day_open: 10.0, + open: 10.0, + high: 10.2, + low: 9.9, + close: 10.1, + last_price: 10.05, + bid1: 10.04, + ask1: 10.05, + prev_close: 9.95, + volume: 1_000_000, + tick_volume: 5_000, + bid1_volume: 1_000, + ask1_volume: 1_000, + trading_phase: Some("continuous".to_string()), + paused: false, + upper_limit: 10.94, + lower_limit: 8.96, + price_tick: 0.01, + }], + vec![DailyFactorSnapshot { + date, + symbol: "000001.SZ".to_string(), + market_cap_bn: 12.0, + free_float_cap_bn: 10.0, + pe_ttm: 8.0, + turnover_ratio: Some(22.0), + effective_turnover_ratio: Some(18.0), + 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, + }], + 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 portfolio = PortfolioState::new(1_000_000.0); + let open_orders = vec![OpenOrderView { + order_id: 42, + symbol: "000001.SZ".to_string(), + side: crate::OrderSide::Sell, + requested_quantity: 300, + filled_quantity: 100, + remaining_quantity: 200, + limit_price: 10.2, + reason: "pending_limit_sell".to_string(), + }]; + let ctx = StrategyContext { + execution_date: date, + decision_date: date, + decision_index: 0, + data: &data, + portfolio: &portfolio, + open_orders: &open_orders, + }; + let mut cfg = PlatformExprStrategyConfig::microcap_rotation(); + cfg.signal_symbol = "000001.SZ".to_string(); + cfg.rotation_enabled = false; + cfg.benchmark_short_ma_days = 1; + cfg.benchmark_long_ma_days = 1; + cfg.explicit_actions = vec![PlatformTradeAction::Order { + kind: PlatformExplicitOrderKind::Value, + symbol: "000001.SZ".to_string(), + amount_expr: "cash * 0.1".to_string(), + limit_price_expr: None, + when_expr: Some( + "has_open_orders && open_order_count == 1 && open_sell_qty == 200 && symbol_open_sell_qty == 200 && symbol_open_order_count == 1".to_string(), + ), + reason: "open_order_aware_entry".to_string(), + }]; + let mut strategy = PlatformExprStrategy::new(cfg); + + let decision = strategy.on_day(&ctx).expect("platform decision"); + assert_eq!(decision.order_intents.len(), 1); + } } diff --git a/crates/fidc-core/src/strategy.rs b/crates/fidc-core/src/strategy.rs index 61dda9e..7c73f47 100644 --- a/crates/fidc-core/src/strategy.rs +++ b/crates/fidc-core/src/strategy.rs @@ -51,12 +51,92 @@ pub trait Strategy { } } +#[derive(Debug, Clone)] +pub struct OpenOrderView { + pub order_id: u64, + pub symbol: String, + pub side: OrderSide, + pub requested_quantity: u32, + pub filled_quantity: u32, + pub remaining_quantity: u32, + pub limit_price: f64, + pub reason: String, +} + pub struct StrategyContext<'a> { pub execution_date: NaiveDate, pub decision_date: NaiveDate, pub decision_index: usize, pub data: &'a DataSet, pub portfolio: &'a PortfolioState, + pub open_orders: &'a [OpenOrderView], +} + +impl StrategyContext<'_> { + pub fn has_open_orders(&self) -> bool { + !self.open_orders.is_empty() + } + + pub fn open_order_count(&self) -> usize { + self.open_orders.len() + } + + pub fn open_buy_order_count(&self) -> usize { + self.open_orders + .iter() + .filter(|order| order.side == OrderSide::Buy) + .count() + } + + pub fn open_sell_order_count(&self) -> usize { + self.open_orders + .iter() + .filter(|order| order.side == OrderSide::Sell) + .count() + } + + pub fn open_buy_quantity(&self) -> u32 { + self.open_orders + .iter() + .filter(|order| order.side == OrderSide::Buy) + .map(|order| order.remaining_quantity) + .sum() + } + + pub fn open_sell_quantity(&self) -> u32 { + self.open_orders + .iter() + .filter(|order| order.side == OrderSide::Sell) + .map(|order| order.remaining_quantity) + .sum() + } + + pub fn symbol_open_order_count(&self, symbol: &str) -> usize { + self.open_orders + .iter() + .filter(|order| order.symbol == symbol) + .count() + } + + pub fn symbol_open_buy_quantity(&self, symbol: &str) -> u32 { + self.open_orders + .iter() + .filter(|order| order.symbol == symbol && order.side == OrderSide::Buy) + .map(|order| order.remaining_quantity) + .sum() + } + + pub fn symbol_open_sell_quantity(&self, symbol: &str) -> u32 { + self.open_orders + .iter() + .filter(|order| order.symbol == symbol && order.side == OrderSide::Sell) + .map(|order| order.remaining_quantity) + .sum() + } + + pub fn available_sellable_qty(&self, symbol: &str, raw_sellable_qty: u32) -> u32 { + raw_sellable_qty.saturating_sub(self.symbol_open_sell_quantity(symbol)) + } } #[derive(Debug, Clone, Default)] diff --git a/crates/fidc-core/src/strategy_ai.rs b/crates/fidc-core/src/strategy_ai.rs index 5c1929b..9c41086 100644 --- a/crates/fidc-core/src/strategy_ai.rs +++ b/crates/fidc-core/src/strategy_ai.rs @@ -138,6 +138,8 @@ pub fn built_in_strategy_manual() -> StrategyAiManual { ManualField { name: "benchmark_ma5/benchmark_ma10/benchmark_ma20/benchmark_ma30".to_string(), field_type: "float".to_string(), detail: "基准指数滚动均线。".to_string() }, ManualField { name: "cash/available_cash/market_value/total_equity".to_string(), field_type: "float".to_string(), detail: "账户资金与总资产。".to_string() }, ManualField { name: "position_count/max_positions/refresh_rate".to_string(), field_type: "int".to_string(), detail: "仓位计数与调仓周期。".to_string() }, + ManualField { name: "has_open_orders/open_order_count/open_buy_order_count/open_sell_order_count".to_string(), field_type: "bool/int".to_string(), detail: "当前阶段挂单簿摘要。".to_string() }, + ManualField { name: "open_buy_qty/open_sell_qty".to_string(), field_type: "int".to_string(), detail: "当前阶段未成交买卖挂单的剩余数量汇总。".to_string() }, ManualField { name: "year/month/quarter/day_of_month/day_of_year/week_of_year/weekday".to_string(), field_type: "int".to_string(), detail: "日期维度字段。".to_string() }, ManualField { name: "is_month_start/is_month_end".to_string(), field_type: "bool".to_string(), detail: "月初/月末标记。".to_string() }, ], @@ -154,6 +156,7 @@ pub fn built_in_strategy_manual() -> StrategyAiManual { ManualField { name: "paused/is_st/is_kcb/is_one_yuan/is_new_listing".to_string(), field_type: "bool".to_string(), detail: "可交易性与板块标志。".to_string() }, ManualField { name: "allow_buy/allow_sell/at_upper_limit/at_lower_limit".to_string(), field_type: "bool".to_string(), detail: "盘中买卖与涨跌停状态。".to_string() }, ManualField { name: "touched_upper_limit/touched_lower_limit/hit_upper_limit/hit_lower_limit".to_string(), field_type: "bool".to_string(), detail: "当日 tick 曾经触达涨跌停。".to_string() }, + ManualField { name: "symbol_open_order_count/symbol_open_buy_qty/symbol_open_sell_qty".to_string(), field_type: "int".to_string(), detail: "当前证券在挂单簿中的未成交挂单摘要。".to_string() }, ManualField { name: "stock_ma5/stock_ma10/stock_ma20/stock_ma30".to_string(), field_type: "float".to_string(), detail: "个股价格均线内建别名。只内建这几个窗口；15 日、45 日等任意窗口请改用 sma(\"close\", n)。".to_string() }, ManualField { name: "stock_volume_ma5/stock_volume_ma10/stock_volume_ma20/stock_volume_ma60".to_string(), field_type: "float".to_string(), detail: "个股成交量均线内建别名。只内建这几个窗口；任意窗口请改用 rolling_mean(\"volume\", n)。".to_string() }, ManualField { name: "listed_days".to_string(), field_type: "int".to_string(), detail: "上市天数。".to_string() }, @@ -168,6 +171,7 @@ pub fn built_in_strategy_manual() -> StrategyAiManual { ManualField { name: "holding_return".to_string(), field_type: "float".to_string(), detail: "持仓收益率，小数。".to_string() }, ManualField { name: "profit_pct".to_string(), field_type: "float".to_string(), detail: "持仓收益率，百分比。".to_string() }, ManualField { name: "quantity/sellable_qty".to_string(), field_type: "int".to_string(), detail: "持仓数量与可卖数量。".to_string() }, + ManualField { name: "available_sellable_qty/reserved_open_sell_qty".to_string(), field_type: "int".to_string(), detail: "扣掉未成交卖单占用后的可卖数量，以及当前 symbol 已占用的卖出挂单数量。".to_string() }, ], }, ], diff --git a/crates/fidc-core/tests/strategy_selection.rs b/crates/fidc-core/tests/strategy_selection.rs index 262a192..527229d 100644 --- a/crates/fidc-core/tests/strategy_selection.rs +++ b/crates/fidc-core/tests/strategy_selection.rs @@ -25,6 +25,7 @@ fn strategy_emits_target_weights_and_diagnostics() { decision_index: 0, data: &data, portfolio: &portfolio, + open_orders: &[], }) .expect("decision"); @@ -62,6 +63,7 @@ fn jq_strategy_emits_same_day_decision() { decision_index: 0, data: &data, portfolio: &portfolio, + open_orders: &[], }) .expect("jq decision");