Add scheduled process hooks to strategy engine
This commit is contained in:
boris
@@ -220,31 +220,39 @@ where
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};
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let schedule_rules = self.strategy.schedule_rules();
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let mut process_events = Vec::new();
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push_phase_event(
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publish_phase_event(
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&mut self.strategy,
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&daily_context,
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&mut process_events,
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execution_date,
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ProcessEventKind::PreBeforeTrading,
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"before_trading:pre",
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);
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)?;
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self.strategy.before_trading(&daily_context)?;
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push_phase_event(
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publish_phase_event(
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&mut self.strategy,
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&daily_context,
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&mut process_events,
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execution_date,
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ProcessEventKind::BeforeTrading,
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"before_trading",
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);
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push_phase_event(
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)?;
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publish_phase_event(
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&mut self.strategy,
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&daily_context,
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&mut process_events,
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execution_date,
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ProcessEventKind::PostBeforeTrading,
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"before_trading:post",
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);
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push_phase_event(
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)?;
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publish_phase_event(
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&mut self.strategy,
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&daily_context,
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&mut process_events,
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execution_date,
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ProcessEventKind::PreOpenAuction,
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"open_auction:pre",
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);
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)?;
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let mut auction_decision = collect_scheduled_decisions(
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&mut self.strategy,
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&scheduler,
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@@ -252,34 +260,53 @@ where
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ScheduleStage::OpenAuction,
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&schedule_rules,
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&daily_context,
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&mut process_events,
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)?;
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auction_decision.merge_from(self.strategy.open_auction(&daily_context)?);
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push_phase_event(
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publish_phase_event(
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&mut self.strategy,
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&daily_context,
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&mut process_events,
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execution_date,
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ProcessEventKind::OpenAuction,
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"open_auction",
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);
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)?;
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let mut report = self.broker.execute(
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execution_date,
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&mut portfolio,
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&self.data,
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&auction_decision,
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)?;
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process_events.append(&mut report.process_events);
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push_phase_event(
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let post_auction_context = StrategyContext {
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execution_date,
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decision_date,
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decision_index,
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data: &self.data,
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portfolio: &portfolio,
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};
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publish_process_events(
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&mut self.strategy,
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&post_auction_context,
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&mut process_events,
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&mut report.process_events,
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)?;
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publish_phase_event(
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&mut self.strategy,
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&post_auction_context,
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&mut process_events,
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execution_date,
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ProcessEventKind::PostOpenAuction,
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"open_auction:post",
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);
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)?;
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push_phase_event(
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publish_phase_event(
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&mut self.strategy,
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&post_auction_context,
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&mut process_events,
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execution_date,
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ProcessEventKind::PreOnDay,
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"on_day:pre",
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);
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)?;
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let mut decision = decision_slot
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.map(|(decision_idx, decision_date)| {
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self.strategy.on_day(&StrategyContext {
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@@ -305,18 +332,40 @@ where
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data: &self.data,
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portfolio: &portfolio,
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},
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&mut process_events,
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)?);
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push_phase_event(
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let on_day_context = StrategyContext {
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execution_date,
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decision_date,
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decision_index,
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data: &self.data,
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portfolio: &portfolio,
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};
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publish_phase_event(
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&mut self.strategy,
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&on_day_context,
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&mut process_events,
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execution_date,
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ProcessEventKind::OnDay,
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"on_day",
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);
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)?;
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let mut intraday_report =
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self.broker
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.execute(execution_date, &mut portfolio, &self.data, &decision)?;
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process_events.append(&mut intraday_report.process_events);
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let post_intraday_context = StrategyContext {
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execution_date,
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decision_date,
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decision_index,
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data: &self.data,
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portfolio: &portfolio,
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};
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publish_process_events(
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&mut self.strategy,
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&post_intraday_context,
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&mut process_events,
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&mut intraday_report.process_events,
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)?;
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report.order_events.extend(intraday_report.order_events);
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report.fill_events.extend(intraday_report.fill_events);
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report
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@@ -324,12 +373,14 @@ where
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.extend(intraday_report.position_events);
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report.account_events.extend(intraday_report.account_events);
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report.diagnostics.extend(intraday_report.diagnostics);
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push_phase_event(
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publish_phase_event(
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&mut self.strategy,
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&post_intraday_context,
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&mut process_events,
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execution_date,
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ProcessEventKind::PostOnDay,
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"on_day:post",
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);
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)?;
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portfolio.update_prices(execution_date, &self.data, PriceField::Close)?;
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@@ -340,51 +391,68 @@ where
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data: &self.data,
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portfolio: &portfolio,
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};
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push_phase_event(
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publish_phase_event(
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&mut self.strategy,
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&post_trade_context,
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&mut process_events,
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execution_date,
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ProcessEventKind::PreAfterTrading,
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"after_trading:pre",
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);
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)?;
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self.strategy.after_trading(&post_trade_context)?;
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push_phase_event(
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publish_phase_event(
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&mut self.strategy,
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&post_trade_context,
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&mut process_events,
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execution_date,
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ProcessEventKind::AfterTrading,
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"after_trading",
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);
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)?;
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let mut close_report = self.broker.after_trading(execution_date);
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process_events.append(&mut close_report.process_events);
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publish_process_events(
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&mut self.strategy,
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&post_trade_context,
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&mut process_events,
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&mut close_report.process_events,
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)?;
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report.order_events.extend(close_report.order_events);
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report.fill_events.extend(close_report.fill_events);
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report.position_events.extend(close_report.position_events);
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report.account_events.extend(close_report.account_events);
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report.diagnostics.extend(close_report.diagnostics);
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push_phase_event(
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publish_phase_event(
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&mut self.strategy,
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&post_trade_context,
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&mut process_events,
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execution_date,
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ProcessEventKind::PostAfterTrading,
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"after_trading:post",
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);
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push_phase_event(
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)?;
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publish_phase_event(
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&mut self.strategy,
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&post_trade_context,
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&mut process_events,
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execution_date,
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ProcessEventKind::PreSettlement,
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"settlement:pre",
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);
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)?;
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self.strategy.on_settlement(&post_trade_context)?;
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push_phase_event(
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publish_phase_event(
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&mut self.strategy,
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&post_trade_context,
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&mut process_events,
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execution_date,
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ProcessEventKind::Settlement,
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"settlement",
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);
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push_phase_event(
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)?;
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publish_phase_event(
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&mut self.strategy,
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&post_trade_context,
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&mut process_events,
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execution_date,
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ProcessEventKind::PostSettlement,
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"settlement:post",
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);
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)?;
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let daily_fill_count = report.fill_events.len();
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let day_orders = report.order_events.clone();
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let day_fills = report.fill_events.clone();
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@@ -876,28 +944,70 @@ fn collect_scheduled_decisions<S: Strategy>(
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stage: ScheduleStage,
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rules: &[ScheduleRule],
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ctx: &StrategyContext<'_>,
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process_events: &mut Vec<ProcessEvent>,
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) -> Result<crate::strategy::StrategyDecision, BacktestError> {
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let mut combined = crate::strategy::StrategyDecision::default();
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for rule in scheduler.triggered_rules(execution_date, stage, rules) {
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publish_phase_event(
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strategy,
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ctx,
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process_events,
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execution_date,
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ProcessEventKind::PreScheduled,
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format!("scheduled:{}:{}:pre", rule.name, stage_label(stage)),
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)?;
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combined.merge_from(strategy.on_scheduled(ctx, rule)?);
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publish_phase_event(
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strategy,
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ctx,
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process_events,
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execution_date,
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ProcessEventKind::PostScheduled,
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format!("scheduled:{}:{}:post", rule.name, stage_label(stage)),
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)?;
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}
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Ok(combined)
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}
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fn push_phase_event(
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fn publish_phase_event<S: Strategy>(
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strategy: &mut S,
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ctx: &StrategyContext<'_>,
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events: &mut Vec<ProcessEvent>,
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date: NaiveDate,
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kind: ProcessEventKind,
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detail: impl Into<String>,
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) {
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events.push(ProcessEvent {
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) -> Result<(), BacktestError> {
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let event = ProcessEvent {
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date,
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kind,
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order_id: None,
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symbol: None,
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side: None,
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detail: detail.into(),
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});
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};
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strategy.on_process_event(ctx, &event)?;
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events.push(event);
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Ok(())
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}
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fn publish_process_events<S: Strategy>(
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strategy: &mut S,
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ctx: &StrategyContext<'_>,
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target: &mut Vec<ProcessEvent>,
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incoming: &mut Vec<ProcessEvent>,
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) -> Result<(), BacktestError> {
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for event in incoming.drain(..) {
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strategy.on_process_event(ctx, &event)?;
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target.push(event);
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}
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Ok(())
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}
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fn stage_label(stage: ScheduleStage) -> &'static str {
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match stage {
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ScheduleStage::OpenAuction => "open_auction",
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ScheduleStage::OnDay => "on_day",
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}
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}
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mod date_format {
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