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Add futures depth matching and mod loader

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This commit is contained in:
boris
2026-04-23 21:51:45 -07:00
parent ed8ac385e4
commit 895aee1388
7 changed files with 537 additions and 20 deletions
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238
crates/fidc-core/tests/engine_hooks.rs
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@@ -4,13 +4,14 @@ use std::rc::Rc;
use chrono::{NaiveDate, NaiveDateTime};
use fidc_core::{
BacktestConfig, BacktestEngine, BacktestProcessMod, BenchmarkSnapshot, BrokerSimulator,
CandidateEligibility, ChinaAShareCostModel, ChinaEquityRuleHooks, DailyFactorSnapshot,
DailyMarketSnapshot, DataSet, FuturesAccountState, FuturesCommissionType, FuturesContractSpec,
FuturesDirection, FuturesOrderIntent, FuturesTradingParameter, Instrument,
IntradayExecutionQuote, OpenOrderView, OrderIntent, OrderSide, OrderStatus, PortfolioState,
PriceField, ProcessEvent, ProcessEventBus, ProcessEventKind, ScheduleRule, ScheduleStage,
ScheduleTimeRule, Strategy, StrategyContext, StrategyDecision,
BacktestConfig, BacktestEngine, BacktestProcessMod, BacktestProcessModLoader,
BenchmarkSnapshot, BrokerSimulator, CandidateEligibility, ChinaAShareCostModel,
ChinaEquityRuleHooks, DailyFactorSnapshot, DailyMarketSnapshot, DataSet, FuturesAccountState,
FuturesCommissionType, FuturesContractSpec, FuturesDirection, FuturesOrderIntent,
FuturesTradingParameter, Instrument, IntradayExecutionQuote, IntradayOrderBookDepthLevel,
MatchingType, OpenOrderView, OrderIntent, OrderSide, OrderStatus, PortfolioState, PriceField,
ProcessEvent, ProcessEventBus, ProcessEventKind, ScheduleRule, ScheduleStage, ScheduleTimeRule,
Strategy, StrategyContext, StrategyDecision,
};
fn d(year: i32, month: u32, day: u32) -> NaiveDate {
@@ -407,6 +408,37 @@ impl Strategy for FuturesLimitOrderStrategy {
}
}
struct FuturesDepthLimitOrderStrategy;
impl Strategy for FuturesDepthLimitOrderStrategy {
fn name(&self) -> &str {
"futures-depth-limit-order"
}
fn on_day(
&mut self,
ctx: &StrategyContext<'_>,
) -> Result<StrategyDecision, fidc_core::BacktestError> {
if ctx.execution_date != d(2025, 1, 2) {
return Ok(StrategyDecision::default());
}
Ok(StrategyDecision {
order_intents: vec![OrderIntent::Futures {
intent: FuturesOrderIntent::limit_open(
"IF2501",
FuturesDirection::Long,
FuturesContractSpec::new(1.0, 0.0, 0.0),
3,
3990.0,
0.0,
"sweep depth until limit",
),
}],
..StrategyDecision::default()
})
}
}
struct AdvancedDataApiProbeStrategy {
observed: Rc<RefCell<Vec<String>>>,
}
@@ -1399,6 +1431,127 @@ fn engine_matches_pending_futures_limit_order_with_data_driven_costs() {
assert!((position.contract_multiplier - 300.0).abs() < 1e-6);
}
#[test]
fn engine_sweeps_futures_order_book_depth_when_available() {
let date = d(2025, 1, 2);
let data = DataSet::from_components_with_actions_quotes_futures_and_depth(
vec![
Instrument {
symbol: "000001.SZ".to_string(),
name: "Anchor".to_string(),
board: "SZ".to_string(),
round_lot: 100,
listed_at: Some(d(2020, 1, 1)),
delisted_at: None,
status: "active".to_string(),
},
Instrument {
symbol: "IF2501".to_string(),
name: "IF".to_string(),
board: "FUTURE".to_string(),
round_lot: 1,
listed_at: Some(d(2024, 1, 1)),
delisted_at: None,
status: "active".to_string(),
},
],
vec![
market_row(date, "000001.SZ", 10.0, 10.0),
market_row(date, "IF2501", 4000.0, 4000.0),
],
vec![factor_row(date, "000001.SZ", BTreeMap::new())],
vec![candidate_row(date, "000001.SZ")],
vec![benchmark_row(date)],
Vec::new(),
Vec::new(),
vec![FuturesTradingParameter {
symbol: "IF2501".to_string(),
effective_date: Some(date),
contract_multiplier: 300.0,
long_margin_rate: 0.12,
short_margin_rate: 0.14,
commission_type: FuturesCommissionType::ByVolume,
open_commission_ratio: 2.5,
close_commission_ratio: 2.0,
close_today_commission_ratio: 3.0,
price_tick: 0.2,
}],
vec![
IntradayOrderBookDepthLevel {
date,
symbol: "IF2501".to_string(),
timestamp: date.and_hms_opt(10, 18, 0).unwrap(),
level: 1,
bid_price: 3987.8,
bid_volume: 1,
ask_price: 3988.0,
ask_volume: 1,
},
IntradayOrderBookDepthLevel {
date,
symbol: "IF2501".to_string(),
timestamp: date.and_hms_opt(10, 18, 0).unwrap(),
level: 2,
bid_price: 3987.6,
bid_volume: 1,
ask_price: 3990.0,
ask_volume: 1,
},
IntradayOrderBookDepthLevel {
date,
symbol: "IF2501".to_string(),
timestamp: date.and_hms_opt(10, 18, 0).unwrap(),
level: 3,
bid_price: 3987.4,
bid_volume: 10,
ask_price: 3994.0,
ask_volume: 10,
},
],
)
.expect("depth dataset");
let broker = BrokerSimulator::new_with_execution_price(
ChinaAShareCostModel::default(),
ChinaEquityRuleHooks::default(),
PriceField::Last,
)
.with_matching_type(MatchingType::CounterpartyOffer);
let mut engine = BacktestEngine::new(
data,
FuturesDepthLimitOrderStrategy,
broker,
BacktestConfig {
initial_cash: 100_000.0,
benchmark_code: "000300.SH".to_string(),
start_date: Some(date),
end_date: Some(date),
decision_lag_trading_days: 0,
execution_price_field: PriceField::Last,
},
)
.with_futures_initial_cash(1_000_000.0);
let result = engine.run().expect("backtest succeeds");
let fill = result
.fills
.iter()
.find(|fill| fill.symbol == "IF2501")
.expect("depth futures fill");
assert_eq!(fill.quantity, 2);
assert!((fill.price - 3989.0).abs() < 1e-6);
assert!(result.order_events.iter().any(|event| {
event.symbol == "IF2501"
&& event.status == OrderStatus::PartiallyFilled
&& event.filled_quantity == 2
}));
assert!(result.order_events.iter().any(|event| {
event.symbol == "IF2501"
&& event.status == OrderStatus::Pending
&& event.requested_quantity == 3
}));
}
#[test]
fn strategy_context_exposes_advanced_rqdata_helpers() {
let observed = Rc::new(RefCell::new(Vec::new()));
@@ -2837,6 +2990,25 @@ impl BacktestProcessMod for AnyEventCountingMod {
}
}
struct NamedEventCountingMod {
name: &'static str,
sink: Rc<RefCell<Vec<String>>>,
}
impl BacktestProcessMod for NamedEventCountingMod {
fn name(&self) -> &str {
self.name
}
fn install(&mut self, bus: &mut ProcessEventBus) {
let sink = self.sink.clone();
bus.add_any_listener(move |event: &ProcessEvent| {
sink.borrow_mut()
.push(format!("{:?}:{}", event.kind, event.detail));
});
}
}
#[test]
fn engine_installs_process_mods_on_event_bus() {
let date = d(2025, 1, 2);
@@ -2874,6 +3046,58 @@ fn engine_installs_process_mods_on_event_bus() {
);
}
#[test]
fn engine_installs_enabled_process_mods_from_loader() {
let date = d(2025, 1, 2);
let data = single_day_anchor_data(date);
let broker = BrokerSimulator::new_with_execution_price(
ChinaAShareCostModel::default(),
ChinaEquityRuleHooks::default(),
PriceField::DayOpen,
);
let mut engine = BacktestEngine::new(
data,
HookProbeStrategy {
log: Rc::new(RefCell::new(Vec::new())),
},
broker,
BacktestConfig {
initial_cash: 100_000.0,
benchmark_code: "000300.SH".to_string(),
start_date: Some(date),
end_date: Some(date),
decision_lag_trading_days: 0,
execution_price_field: PriceField::DayOpen,
},
);
let enabled_sink = Rc::new(RefCell::new(Vec::new()));
let disabled_sink = Rc::new(RefCell::new(Vec::new()));
let mut loader = BacktestProcessModLoader::new();
loader.register(NamedEventCountingMod {
name: "enabled-counter",
sink: enabled_sink.clone(),
});
loader.register(NamedEventCountingMod {
name: "disabled-counter",
sink: disabled_sink.clone(),
});
assert_eq!(
loader.module_names(),
vec![
"enabled-counter".to_string(),
"disabled-counter".to_string()
]
);
let installed =
engine.install_enabled_process_mods(&mut loader, &["enabled-counter".to_string()]);
engine.run().expect("backtest run");
assert_eq!(installed, vec!["enabled-counter".to_string()]);
assert!(!enabled_sink.borrow().is_empty());
assert!(disabled_sink.borrow().is_empty());
}
#[test]
fn engine_applies_dynamic_universe_and_subscription_directives() {
let dates = [d(2025, 1, 2), d(2025, 1, 3), d(2025, 1, 6)];