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chore: 更新 fidc-backtest-engine - 2026-05-08

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This commit is contained in:
boris
2026-05-08 07:34:04 -07:00
parent a47c7c3e49
commit 65742d4d5e
6 changed files with 407 additions and 152 deletions
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162
crates/fidc-core/tests/explicit_order_flow.rs
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@@ -10,7 +10,7 @@ use std::collections::{BTreeMap, BTreeSet};
#[test]
fn broker_executes_explicit_order_value_buy() {
let date = NaiveDate::from_ymd_opt(2024, 1, 10).unwrap();
let data = DataSet::from_components(
let data = DataSet::from_components_with_actions_and_quotes(
vec![Instrument {
symbol: "000002.SZ".to_string(),
name: "Test".to_string(),
@@ -72,6 +72,20 @@ fn broker_executes_explicit_order_value_buy() {
prev_close: 99.0,
volume: 1_000_000,
}],
Vec::new(),
vec![IntradayExecutionQuote {
date,
symbol: "000002.SZ".to_string(),
timestamp: date.and_hms_opt(10, 18, 3).unwrap(),
last_price: 10.0,
bid1: 9.99,
ask1: 10.01,
bid1_volume: 1,
ask1_volume: 1,
volume_delta: 1,
amount_delta: 0.0,
trading_phase: Some("continuous".to_string()),
}],
)
.expect("dataset");
let mut portfolio = PortfolioState::new(1_000_000.0);
@@ -111,7 +125,7 @@ fn broker_executes_explicit_order_value_buy() {
#[test]
fn broker_executes_order_shares_and_order_lots() {
let date = NaiveDate::from_ymd_opt(2024, 1, 10).unwrap();
let data = DataSet::from_components(
let data = DataSet::from_components_with_actions_and_quotes(
vec![Instrument {
symbol: "000002.SZ".to_string(),
name: "Test".to_string(),
@@ -173,6 +187,20 @@ fn broker_executes_order_shares_and_order_lots() {
prev_close: 99.0,
volume: 1_000_000,
}],
Vec::new(),
vec![IntradayExecutionQuote {
date,
symbol: "000002.SZ".to_string(),
timestamp: date.and_hms_opt(10, 18, 3).unwrap(),
last_price: 10.0,
bid1: 9.99,
ask1: 10.01,
bid1_volume: 1,
ask1_volume: 1,
volume_delta: 1,
amount_delta: 0.0,
trading_phase: Some("continuous".to_string()),
}],
)
.expect("dataset");
let mut portfolio = PortfolioState::new(1_000_000.0);
@@ -1192,6 +1220,120 @@ fn broker_applies_price_ratio_slippage_on_snapshot_fills() {
#[test]
fn broker_applies_tick_size_slippage_on_intraday_last_fills() {
let date = NaiveDate::from_ymd_opt(2024, 1, 10).unwrap();
let data = DataSet::from_components_with_actions_and_quotes(
vec![Instrument {
symbol: "000002.SZ".to_string(),
name: "Test".to_string(),
board: "SZ".to_string(),
round_lot: 100,
listed_at: None,
delisted_at: None,
status: "active".to_string(),
}],
vec![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: "000002.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(),
}],
vec![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: "000300.SH".to_string(),
open: 100.0,
close: 100.0,
prev_close: 99.0,
volume: 1_000_000,
}],
Vec::new(),
vec![IntradayExecutionQuote {
date,
symbol: "000002.SZ".to_string(),
timestamp: date.and_hms_opt(10, 18, 3).unwrap(),
last_price: 10.0,
bid1: 9.99,
ask1: 10.01,
bid1_volume: 1,
ask1_volume: 1,
volume_delta: 1,
amount_delta: 0.0,
trading_phase: Some("continuous".to_string()),
}],
)
.expect("dataset");
let mut portfolio = PortfolioState::new(1_000_000.0);
let broker = BrokerSimulator::new_with_execution_price(
ChinaAShareCostModel::default(),
ChinaEquityRuleHooks::default(),
PriceField::Last,
)
.with_intraday_execution_start_time(chrono::NaiveTime::from_hms_opt(10, 18, 0).unwrap())
.with_slippage_model(SlippageModel::TickSize(2.0));
let report = broker
.execute(
date,
&mut portfolio,
&data,
&StrategyDecision {
rebalance: false,
target_weights: BTreeMap::new(),
exit_symbols: BTreeSet::new(),
order_intents: vec![OrderIntent::Value {
symbol: "000002.SZ".to_string(),
value: 100_000.0,
reason: "tick_slippage".to_string(),
}],
notes: Vec::new(),
diagnostics: Vec::new(),
},
)
.expect("broker execution");
assert_eq!(report.fill_events.len(), 1);
assert!((report.fill_events[0].price - 10.02).abs() < 1e-9);
}
#[test]
fn broker_rejects_intraday_last_order_without_execution_quotes() {
let date = NaiveDate::from_ymd_opt(2024, 1, 10).unwrap();
let data = DataSet::from_components(
vec![Instrument {
@@ -1263,8 +1405,7 @@ fn broker_applies_tick_size_slippage_on_intraday_last_fills() {
ChinaEquityRuleHooks::default(),
PriceField::Last,
)
.with_intraday_execution_start_time(chrono::NaiveTime::from_hms_opt(10, 18, 0).unwrap())
.with_slippage_model(SlippageModel::TickSize(2.0));
.with_intraday_execution_start_time(chrono::NaiveTime::from_hms_opt(10, 18, 0).unwrap());
let report = broker
.execute(
@@ -1278,7 +1419,7 @@ fn broker_applies_tick_size_slippage_on_intraday_last_fills() {
order_intents: vec![OrderIntent::Value {
symbol: "000002.SZ".to_string(),
value: 100_000.0,
reason: "tick_slippage".to_string(),
reason: "missing_tick_quotes".to_string(),
}],
notes: Vec::new(),
diagnostics: Vec::new(),
@@ -1286,8 +1427,15 @@ fn broker_applies_tick_size_slippage_on_intraday_last_fills() {
)
.expect("broker execution");
assert_eq!(report.fill_events.len(), 1);
assert!((report.fill_events[0].price - 10.02).abs() < 1e-9);
assert!(report.fill_events.is_empty());
assert_eq!(report.order_events.len(), 1);
assert_eq!(report.order_events[0].status, OrderStatus::Canceled);
assert!(
report.order_events[0]
.reason
.contains("no execution quotes after start")
);
assert!(portfolio.position("000002.SZ").is_none());
}
#[test]