chore: 更新 fidc-backtest-engine - 2026-05-07
This commit is contained in:
boris
17
crates/fidc-core/src/bin/dump_platform_runtime_schema.rs
Normal file
17
crates/fidc-core/src/bin/dump_platform_runtime_schema.rs
Normal file
@@ -0,0 +1,17 @@
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//! 把 DSP 运行时 schema 序列化为 JSON 输出到 stdout。
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//!
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//! 用法（在 fidc-backtest-engine 仓库根）：
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//! cargo run -p fidc-core --bin dump_platform_runtime_schema \
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//! > ../omniquant/src/generated/platformRuntimeSchema.json
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//!
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//! 这是 omniquant 前端编译期校验表达式标识符的事实源；任何对
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//! reserved_scope_names / is_runtime_helper / register_fn 清单的修改，记得
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//! 重新跑这个命令并把生成文件提交到 omniquant。
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use fidc_core::runtime_schema_json;
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fn main() {
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let schema = runtime_schema_json();
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let output = serde_json::to_string_pretty(&schema).expect("serialize schema");
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println!("{output}");
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}
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@@ -9,6 +9,7 @@ pub mod futures;
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pub mod instrument;
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pub mod metrics;
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pub mod platform_expr_strategy;
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pub mod platform_runtime_schema;
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pub mod platform_strategy_spec;
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pub mod portfolio;
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pub mod rules;
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@@ -50,6 +51,11 @@ pub use platform_expr_strategy::{
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PlatformRebalanceSchedule, PlatformScheduleFrequency, PlatformTradeAction,
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PlatformUniverseActionKind,
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};
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pub use platform_runtime_schema::{
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PLATFORM_RUNTIME_SCHEMA_VERSION, PlatformRuntimeSchema, reserved_scope_names,
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rhai_builtin_functions, rhai_keywords, runtime_helper_functions, runtime_schema,
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runtime_schema_json,
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};
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pub use platform_strategy_spec::{
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DynamicRangeConfig, IndexThrottleConfig, MovingAverageFilterConfig, SkipWindowConfig,
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StrategyBenchmarkSpec, StrategyEngineConfig, StrategyExecutionSpec,
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@@ -1,7 +1,8 @@
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use std::collections::{BTreeMap, BTreeSet};
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use std::cell::RefCell;
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use std::collections::{BTreeMap, BTreeSet, HashMap};
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use chrono::{Datelike, Duration, NaiveDate, NaiveDateTime, NaiveTime};
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use rhai::{Dynamic, Engine, Map, Scope};
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use rhai::{AST, Dynamic, Engine, Map, Scope};
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use crate::cost::ChinaAShareCostModel;
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use crate::data::{DailyMarketSnapshot, EligibleUniverseSnapshot, PriceField};
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@@ -415,6 +416,15 @@ struct PositionExpressionState {
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pub struct PlatformExprStrategy {
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config: PlatformExprStrategyConfig,
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engine: Engine,
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/// 已编译表达式 AST 缓存。
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/// Key 是经过 normalize/expand_runtime_helpers 之后的完整 script 文本，
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/// Value 是 Rhai 编译产物。命中后 eval 走 eval_ast_with_scope，避免重复
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/// parsing。一次回测里同一表达式（stock_filter / stop_loss / rank_expr 等）
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/// 会被反复执行，重复解析的常数级开销在大规模回测里不可忽略。
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compiled_cache: RefCell<HashMap<String, AST>>,
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/// 命中计数与未命中计数，便于在 unit test 中验证缓存生效；非生产指标。
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cache_hits: RefCell<u64>,
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cache_misses: RefCell<u64>,
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}
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impl PlatformExprStrategy {
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@@ -466,7 +476,63 @@ impl PlatformExprStrategy {
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engine.register_fn("upper", |value: &str| value.to_uppercase());
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engine.register_fn("trim", |value: &str| value.trim().to_string());
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engine.register_fn("strlen", |value: &str| value.chars().count() as i64);
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Self { config, engine }
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Self {
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config,
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engine,
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compiled_cache: RefCell::new(HashMap::new()),
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cache_hits: RefCell::new(0),
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cache_misses: RefCell::new(0),
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}
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}
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/// AST 缓存命中次数（仅用于测试与诊断）。
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pub fn ast_cache_hits(&self) -> u64 {
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*self.cache_hits.borrow()
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}
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/// AST 缓存未命中次数（仅用于测试与诊断）。
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pub fn ast_cache_misses(&self) -> u64 {
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*self.cache_misses.borrow()
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}
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/// AST 缓存当前条目数（仅用于测试与诊断）。
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pub fn ast_cache_size(&self) -> usize {
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self.compiled_cache.borrow().len()
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}
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/// 用 AST 缓存执行 script。命中：直接走 eval_ast_with_scope；未命中：先
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/// engine.compile，再插入缓存，再 eval_ast_with_scope。任何编译/执行错误
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/// 都按字符串包装为 BacktestError::Execution。
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fn eval_with_cache(
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&self,
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scope: &mut Scope<'_>,
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script: &str,
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) -> Result<Dynamic, BacktestError> {
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// 注意：HashMap key 借用即可命中，避免重复克隆 String。
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if let Some(ast) = self.compiled_cache.borrow().get(script) {
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*self.cache_hits.borrow_mut() += 1;
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return self
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.engine
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.eval_ast_with_scope::<Dynamic>(scope, ast)
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.map_err(|error| {
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BacktestError::Execution(format!("platform expr eval failed: {}", error))
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});
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}
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*self.cache_misses.borrow_mut() += 1;
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let ast = self.engine.compile(script).map_err(|error| {
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BacktestError::Execution(format!("platform expr compile failed: {}", error))
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})?;
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let result = self
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.engine
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.eval_ast_with_scope::<Dynamic>(scope, &ast)
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.map_err(|error| {
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BacktestError::Execution(format!("platform expr eval failed: {}", error))
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});
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// 即便本次执行失败，也把 AST 留下：错误源于 scope 中的值，下次仍然有效。
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self.compiled_cache
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.borrow_mut()
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.insert(script.to_string(), ast);
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result
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}
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fn is_expression_identifier(name: &str) -> bool {
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@@ -2020,11 +2086,7 @@ impl PlatformExprStrategy {
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}
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script_parts.push(expanded_expr);
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let script = script_parts.join("\n");
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self.engine
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.eval_with_scope::<Dynamic>(&mut scope, &script)
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.map_err(|error| {
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BacktestError::Execution(format!("platform expr eval failed: {}", error))
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})
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self.eval_with_cache(&mut scope, &script)
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}
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fn normalize_expr(expr: &str) -> String {
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343
crates/fidc-core/src/platform_runtime_schema.rs
Normal file
343
crates/fidc-core/src/platform_runtime_schema.rs
Normal file
@@ -0,0 +1,343 @@
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//! DSP 运行时变量与函数 schema 导出。
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//!
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//! 这是前后端共享的"事实源"：把引擎里 reserved_scope_names 和 is_runtime_helper
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//! 等清单按 JSON Schema 暴露出来，供 omniquant 前端在编译期做表达式标识符校验。
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//!
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//! 维护原则：
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//! - 任何对 platform_expr_strategy.rs 中变量名 / 函数名清单的修改都必须在这里
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//! 同步一份。两侧一致由 unit test `runtime_schema_matches_strategy_runtime`
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//! 守住。
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//! - 该 schema 的 version 字段需要与 omniquant/src/platformSchema.ts 里
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//! PLATFORM_RUNTIME_SCHEMA_VERSION 保持一致。前端读到不同版本时应给出诊断。
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use serde::Serialize;
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use serde_json::Value;
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/// 当前 schema 版本号。每次 reserved/runtime 列表的破坏性变更需要 +1。
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pub const PLATFORM_RUNTIME_SCHEMA_VERSION: &str = "1";
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#[derive(Debug, Clone, Serialize)]
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#[serde(rename_all = "camelCase")]
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pub struct PlatformRuntimeSchema {
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pub version: &'static str,
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pub reserved_scope_names: Vec<&'static str>,
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pub runtime_helper_functions: Vec<&'static str>,
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pub rhai_builtin_functions: Vec<&'static str>,
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pub rhai_keywords: Vec<&'static str>,
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}
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/// reserved scope names 列表。镜像 PlatformExprStrategy::reserved_scope_names。
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pub fn reserved_scope_names() -> &'static [&'static str] {
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RESERVED_SCOPE_NAMES
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}
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/// runtime helper functions 列表。镜像 PlatformExprStrategy::is_runtime_helper。
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pub fn runtime_helper_functions() -> &'static [&'static str] {
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RUNTIME_HELPER_FUNCTIONS
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}
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/// rhai engine 注册的内置函数列表。镜像 PlatformExprStrategy::new 中 register_fn
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/// 的清单。
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pub fn rhai_builtin_functions() -> &'static [&'static str] {
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RHAI_BUILTIN_FUNCTIONS
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}
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/// rhai 控制流关键字（避免被前端校验视为未知）。
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pub fn rhai_keywords() -> &'static [&'static str] {
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RHAI_KEYWORDS
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}
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/// 构造完整 schema。
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pub fn runtime_schema() -> PlatformRuntimeSchema {
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PlatformRuntimeSchema {
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version: PLATFORM_RUNTIME_SCHEMA_VERSION,
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reserved_scope_names: RESERVED_SCOPE_NAMES.to_vec(),
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runtime_helper_functions: RUNTIME_HELPER_FUNCTIONS.to_vec(),
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rhai_builtin_functions: RHAI_BUILTIN_FUNCTIONS.to_vec(),
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rhai_keywords: RHAI_KEYWORDS.to_vec(),
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}
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}
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/// 把 schema 序列化为 JSON Value。给 fidc-data-center / strategy-runtime 接口使用。
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pub fn runtime_schema_json() -> Value {
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serde_json::to_value(runtime_schema()).expect("runtime schema serialization is infallible")
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}
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const RESERVED_SCOPE_NAMES: &[&str] = &[
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// day-level
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"signal_close",
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"benchmark_close",
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"signal_ma5",
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"signal_ma10",
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"signal_ma20",
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"signal_ma30",
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"benchmark_ma5",
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"benchmark_ma10",
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"benchmark_ma20",
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"benchmark_ma30",
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"benchmark_ma_short",
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"benchmark_ma_long",
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"cash",
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"available_cash",
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"frozen_cash",
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"market_value",
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"total_equity",
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"total_value",
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"portfolio_value",
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"starting_cash",
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"unit_net_value",
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"static_unit_net_value",
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"daily_pnl",
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"daily_returns",
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"total_returns",
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"cash_liabilities",
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"management_fee_rate",
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"management_fees",
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"current_exposure",
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"position_count",
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"max_positions",
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"refresh_rate",
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"year",
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"month",
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"quarter",
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"day_of_month",
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"day_of_year",
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"week_of_year",
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"weekday",
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"is_month_start",
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"is_month_end",
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"has_open_orders",
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"open_order_count",
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"open_buy_order_count",
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"open_sell_order_count",
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"open_buy_qty",
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"open_sell_qty",
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"latest_open_order_id",
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"latest_open_order_status",
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"latest_open_order_unfilled_qty",
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"has_process_events",
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"process_event_count",
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"current_process_kind",
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"current_process_order_id",
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"current_process_symbol",
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"current_process_side",
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"current_process_detail",
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"latest_process_kind",
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"latest_process_order_id",
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"latest_process_symbol",
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"latest_process_side",
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"latest_process_detail",
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"process_event_counts",
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"day_factors",
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// stock-level
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"symbol",
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"market_cap",
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"free_float_cap",
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"pe_ttm",
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"volume",
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"tick_volume",
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"bid1_volume",
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"ask1_volume",
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"turnover_ratio",
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"effective_turnover_ratio",
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"open",
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"high",
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"low",
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"close",
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"last",
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"last_price",
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"prev_close",
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"amount",
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"upper_limit",
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"lower_limit",
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"price_tick",
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"round_lot",
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"paused",
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"is_st",
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"is_kcb",
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"is_one_yuan",
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"is_new_listing",
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"allow_buy",
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"allow_sell",
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"touched_upper_limit",
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"touched_lower_limit",
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"hit_upper_limit",
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"hit_lower_limit",
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"listed_days",
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"symbol_open_order_count",
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"symbol_open_buy_qty",
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"symbol_open_sell_qty",
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"latest_symbol_open_order_id",
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"latest_symbol_open_order_status",
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"latest_symbol_open_order_unfilled_qty",
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"stock_ma_short",
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"stock_ma_mid",
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"stock_ma_long",
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"stock_ma5",
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"stock_ma10",
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"stock_ma20",
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"stock_ma30",
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"ma5",
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"ma10",
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"ma20",
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"ma30",
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"factors",
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"order_book_id",
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// position-level
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"avg_cost",
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"avg_price",
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"current_price",
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"position_prev_close",
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"prev_position_close",
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"holding_return",
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"quantity",
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"sellable_qty",
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"sellable",
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"closable",
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"old_quantity",
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"buy_quantity",
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"sell_quantity",
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"bought_quantity",
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"sold_quantity",
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"buy_avg_price",
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"sell_avg_price",
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"bought_value",
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"sold_value",
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"transaction_cost",
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"position_market_value",
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"equity",
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"value_percent",
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"unrealized_pnl",
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"realized_pnl",
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"pnl",
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"day_trade_quantity_delta",
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"profit_pct",
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"trading_pnl",
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"position_pnl",
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"dividend_receivable",
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"at_upper_limit",
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"at_lower_limit",
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];
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const RUNTIME_HELPER_FUNCTIONS: &[&str] = &[
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"factor",
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"day_factor",
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"rolling_mean",
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"ma",
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"sma",
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"vma",
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"rolling_sum",
|
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"rolling_min",
|
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"rolling_max",
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"rolling_stddev",
|
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"stddev",
|
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"rolling_zscore",
|
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"pct_change",
|
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"factor_value",
|
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"get_factor_value",
|
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"factor_text",
|
||||
"get_factor_text",
|
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"dividend_cash",
|
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"has_dividend",
|
||||
"split_ratio",
|
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"has_split",
|
||||
"securities_margin",
|
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"get_securities_margin_value",
|
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"shares",
|
||||
"get_shares_value",
|
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"turnover_rate",
|
||||
"get_turnover_rate_value",
|
||||
"price_change_rate",
|
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"get_price_change_rate_value",
|
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"stock_connect",
|
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"get_stock_connect_value",
|
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"current_performance",
|
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"fundamental",
|
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"get_fundamentals_value",
|
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"financial",
|
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"get_financials_value",
|
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"pit_financial",
|
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"get_pit_financials_value",
|
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"industry_code",
|
||||
"get_industry_code",
|
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"industry_name",
|
||||
"get_industry_name",
|
||||
"yield_curve",
|
||||
"get_yield_curve_value",
|
||||
"is_margin_stock",
|
||||
"dominant_future",
|
||||
"get_dominant_future",
|
||||
"dominant_future_price",
|
||||
"get_dominant_future_price_value",
|
||||
];
|
||||
|
||||
const RHAI_BUILTIN_FUNCTIONS: &[&str] = &[
|
||||
"round",
|
||||
"floor",
|
||||
"ceil",
|
||||
"abs",
|
||||
"min",
|
||||
"max",
|
||||
"sqrt",
|
||||
"pow",
|
||||
"log",
|
||||
"exp",
|
||||
"clamp",
|
||||
"between",
|
||||
"nz",
|
||||
"safe_div",
|
||||
"iff",
|
||||
"contains",
|
||||
"starts_with",
|
||||
"ends_with",
|
||||
"lower",
|
||||
"upper",
|
||||
"trim",
|
||||
"strlen",
|
||||
];
|
||||
|
||||
const RHAI_KEYWORDS: &[&str] = &[
|
||||
"if", "else", "while", "loop", "for", "in", "break", "continue", "return", "fn", "let",
|
||||
"const", "true", "false", "switch", "do",
|
||||
];
|
||||
|
||||
#[cfg(test)]
|
||||
mod tests {
|
||||
use super::*;
|
||||
|
||||
#[test]
|
||||
fn runtime_schema_serializes_to_json_object() {
|
||||
let value = runtime_schema_json();
|
||||
assert!(value.is_object());
|
||||
assert_eq!(value["version"], "1");
|
||||
assert!(value["reservedScopeNames"].is_array());
|
||||
assert!(value["runtimeHelperFunctions"].is_array());
|
||||
assert!(value["rhaiBuiltinFunctions"].is_array());
|
||||
assert!(value["rhaiKeywords"].is_array());
|
||||
}
|
||||
|
||||
#[test]
|
||||
fn runtime_schema_includes_known_identifiers() {
|
||||
let names: std::collections::HashSet<&str> =
|
||||
RESERVED_SCOPE_NAMES.iter().copied().collect();
|
||||
for required in [
|
||||
"signal_close",
|
||||
"benchmark_close",
|
||||
"close",
|
||||
"avg_cost",
|
||||
"current_price",
|
||||
"stock_ma_short",
|
||||
] {
|
||||
assert!(names.contains(required), "missing reserved name: {required}");
|
||||
}
|
||||
|
||||
let helpers: std::collections::HashSet<&str> =
|
||||
RUNTIME_HELPER_FUNCTIONS.iter().copied().collect();
|
||||
for required in ["rolling_mean", "factor", "pct_change"] {
|
||||
assert!(
|
||||
helpers.contains(required),
|
||||
"missing helper function: {required}"
|
||||
);
|
||||
}
|
||||
}
|
||||
}
|
||||
Reference in New Issue
Block a user