chore: 更新 fidc-backtest-engine - 2026-05-08
This commit is contained in:
boris
@@ -110,6 +110,7 @@ pub struct BrokerSimulator<C, R> {
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volume_limit: bool,
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inactive_limit: bool,
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liquidity_limit: bool,
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strict_value_budget: bool,
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intraday_execution_start_time: Option<NaiveTime>,
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runtime_intraday_start_time: Cell<Option<NaiveTime>>,
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runtime_intraday_end_time: Cell<Option<NaiveTime>>,
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@@ -130,6 +131,7 @@ impl<C, R> BrokerSimulator<C, R> {
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volume_limit: true,
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inactive_limit: true,
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liquidity_limit: true,
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strict_value_budget: false,
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intraday_execution_start_time: None,
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runtime_intraday_start_time: Cell::new(None),
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runtime_intraday_end_time: Cell::new(None),
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@@ -154,6 +156,7 @@ impl<C, R> BrokerSimulator<C, R> {
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volume_limit: true,
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inactive_limit: true,
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liquidity_limit: true,
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strict_value_budget: false,
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intraday_execution_start_time: None,
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runtime_intraday_start_time: Cell::new(None),
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runtime_intraday_end_time: Cell::new(None),
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@@ -177,6 +180,11 @@ impl<C, R> BrokerSimulator<C, R> {
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self
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}
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pub fn with_strict_value_budget(mut self, enabled: bool) -> Self {
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self.strict_value_budget = enabled;
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self
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}
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pub fn with_volume_percent(mut self, volume_percent: f64) -> Self {
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self.volume_percent = volume_percent;
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self
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@@ -3388,6 +3396,16 @@ where
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requested_qty
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}
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fn value_budget_gross_limit(&self, value_budget: Option<f64>) -> Option<f64> {
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value_budget.map(|budget| {
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if self.strict_value_budget {
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budget
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} else {
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budget + 400.0
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}
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})
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}
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fn process_buy(
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&self,
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date: NaiveDate,
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@@ -3559,7 +3577,7 @@ where
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execution_cursors,
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None,
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Some(portfolio.cash()),
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value_budget.map(|budget| budget + 400.0),
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self.value_budget_gross_limit(value_budget),
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algo_request,
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limit_price,
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);
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@@ -3590,7 +3608,7 @@ where
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let filled_qty = self.affordable_buy_quantity(
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date,
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portfolio.cash(),
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value_budget.map(|budget| budget + 400.0),
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self.value_budget_gross_limit(value_budget),
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execution_price,
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constrained_qty,
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self.minimum_order_quantity(data, symbol),
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@@ -3601,7 +3619,7 @@ where
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partial_fill_reason,
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self.buy_reduction_reason(
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portfolio.cash(),
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value_budget.map(|budget| budget + 400.0),
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self.value_budget_gross_limit(value_budget),
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execution_price,
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constrained_qty,
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filled_qty,
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@@ -3660,7 +3678,7 @@ where
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side: OrderSide::Buy,
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requested_quantity: requested_qty,
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filled_quantity: 0,
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status: OrderStatus::Rejected,
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status: zero_fill_status_for_reason(detail),
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reason: format!("{reason}: {detail}"),
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});
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Self::emit_order_process_event(
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@@ -3670,7 +3688,10 @@ where
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order_id,
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symbol,
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OrderSide::Buy,
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format!("status=Rejected reason={detail}"),
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format!(
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"status={:?} reason={detail}",
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zero_fill_status_for_reason(detail)
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),
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);
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self.clear_open_order(order_id);
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return Ok(());
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@@ -4255,57 +4276,43 @@ where
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}
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if algo_request.is_some() || self.intraday_execution_start_time.is_some() {
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let execution_price = self.snapshot_execution_price(snapshot, side);
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if !self.price_satisfies_limit(
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side,
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execution_price,
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limit_price,
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snapshot.effective_price_tick(),
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) {
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return None;
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}
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let execution_price =
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self.execution_price_with_limit_slippage(execution_price, limit_price);
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let quantity = match side {
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OrderSide::Buy => self.affordable_buy_quantity(
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date,
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cash_limit.unwrap_or(f64::INFINITY),
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gross_limit,
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execution_price,
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requested_qty,
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minimum_order_quantity,
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order_step_size,
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),
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OrderSide::Sell => requested_qty,
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};
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if quantity == 0 {
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return None;
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}
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let next_cursor = algo_request
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.and_then(|request| request.start_time)
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.or(self.intraday_execution_start_time)
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.map(|start_time| date.and_time(start_time) + Duration::seconds(1))
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.unwrap_or_else(|| date.and_hms_opt(0, 0, 1).expect("valid midnight"));
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return Some(ExecutionFill {
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quantity,
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quantity: 0,
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next_cursor,
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legs: vec![ExecutionLeg {
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price: execution_price,
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quantity,
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}],
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unfilled_reason: self.buy_reduction_reason(
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cash_limit.unwrap_or(f64::INFINITY),
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gross_limit,
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execution_price,
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requested_qty,
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quantity,
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),
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legs: Vec::new(),
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unfilled_reason: Some(self.empty_intraday_quote_reason(
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quotes,
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start_cursor,
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end_cursor,
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)),
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});
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}
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None
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}
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fn empty_intraday_quote_reason(
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&self,
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quotes: &[IntradayExecutionQuote],
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start_cursor: Option<NaiveDateTime>,
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end_cursor: Option<NaiveDateTime>,
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) -> &'static str {
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let saw_quote_in_window = quotes.iter().any(|quote| {
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!start_cursor.is_some_and(|cursor| quote.timestamp < cursor)
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&& !end_cursor.is_some_and(|cursor| quote.timestamp > cursor)
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});
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if saw_quote_in_window {
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"intraday quote liquidity exhausted"
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} else {
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"no execution quotes after start"
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}
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}
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fn select_execution_fill(
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&self,
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snapshot: &crate::data::DailyMarketSnapshot,
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@@ -4487,7 +4494,10 @@ fn merge_partial_fill_reason(current: Option<String>, next: Option<&str>) -> Opt
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fn zero_fill_status_for_reason(reason: &str) -> OrderStatus {
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match reason {
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"tick no volume" | "tick volume limit" => OrderStatus::Canceled,
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"tick no volume"
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| "tick volume limit"
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| "intraday quote liquidity exhausted"
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| "no execution quotes after start" => OrderStatus::Canceled,
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_ => OrderStatus::Rejected,
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}
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}
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