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Align order lifecycle with rqalpha close semantics

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This commit is contained in:
boris
2026-04-23 03:41:49 -07:00
parent 8906490a40
commit b657205103
5 changed files with 314 additions and 27 deletions
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202
crates/fidc-core/tests/engine_hooks.rs
View File

@@ -6,7 +6,7 @@ use chrono::NaiveDate;
use fidc_core::{
BacktestConfig, BacktestEngine, BenchmarkSnapshot, BrokerSimulator, CandidateEligibility,
ChinaAShareCostModel, ChinaEquityRuleHooks, DailyFactorSnapshot, DailyMarketSnapshot, DataSet,
Instrument, PriceField, ProcessEventKind, ScheduleRule, ScheduleStage, Strategy,
Instrument, OrderIntent, PriceField, ProcessEventKind, ScheduleRule, ScheduleStage, Strategy,
StrategyContext, StrategyDecision,
};
@@ -120,6 +120,10 @@ struct ScheduledProbeStrategy {
log: Rc<RefCell<Vec<String>>>,
}
struct LimitCarryStrategy {
issued: bool,
}
impl Strategy for ScheduledProbeStrategy {
fn name(&self) -> &str {
"scheduled-probe"
@@ -152,6 +156,35 @@ impl Strategy for ScheduledProbeStrategy {
}
}
impl Strategy for LimitCarryStrategy {
fn name(&self) -> &str {
"limit-carry"
}
fn on_day(
&mut self,
_ctx: &StrategyContext<'_>,
) -> Result<StrategyDecision, fidc_core::BacktestError> {
if self.issued {
return Ok(StrategyDecision::default());
}
self.issued = true;
Ok(StrategyDecision {
rebalance: false,
target_weights: BTreeMap::new(),
exit_symbols: BTreeSet::new(),
order_intents: vec![OrderIntent::LimitShares {
symbol: "000001.SZ".to_string(),
quantity: 200,
limit_price: 9.8,
reason: "carry_limit".to_string(),
}],
notes: Vec::new(),
diagnostics: Vec::new(),
})
}
}
#[test]
fn engine_runs_strategy_hooks_in_daily_order() {
let date1 = d(2025, 1, 2);
@@ -443,6 +476,173 @@ fn engine_executes_open_auction_decisions_before_on_day() {
assert_eq!(result.fills[0].quantity, 100);
}
#[test]
fn engine_rejects_pending_limit_orders_at_market_close() {
let date1 = d(2025, 1, 2);
let date2 = d(2025, 1, 3);
let data = DataSet::from_components(
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(),
}],
vec![
DailyMarketSnapshot {
date: date1,
symbol: "000001.SZ".to_string(),
timestamp: Some("2025-01-02 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: 10.0,
ask1: 10.0,
prev_close: 10.0,
volume: 100_000,
tick_volume: 100_000,
bid1_volume: 100_000,
ask1_volume: 100_000,
trading_phase: Some("continuous".to_string()),
paused: false,
upper_limit: 11.0,
lower_limit: 9.0,
price_tick: 0.01,
},
DailyMarketSnapshot {
date: date2,
symbol: "000001.SZ".to_string(),
timestamp: Some("2025-01-03 10:18:00".to_string()),
day_open: 9.7,
open: 9.7,
high: 9.8,
low: 9.6,
close: 9.7,
last_price: 9.7,
bid1: 9.7,
ask1: 9.7,
prev_close: 10.0,
volume: 100_000,
tick_volume: 100_000,
bid1_volume: 100_000,
ask1_volume: 100_000,
trading_phase: Some("continuous".to_string()),
paused: false,
upper_limit: 10.67,
lower_limit: 9.0,
price_tick: 0.01,
},
],
vec![
DailyFactorSnapshot {
date: date1,
symbol: "000001.SZ".to_string(),
market_cap_bn: 20.0,
free_float_cap_bn: 18.0,
pe_ttm: 10.0,
turnover_ratio: Some(1.0),
effective_turnover_ratio: Some(1.0),
extra_factors: BTreeMap::new(),
},
DailyFactorSnapshot {
date: date2,
symbol: "000001.SZ".to_string(),
market_cap_bn: 21.0,
free_float_cap_bn: 19.0,
pe_ttm: 10.0,
turnover_ratio: Some(1.0),
effective_turnover_ratio: Some(1.0),
extra_factors: BTreeMap::new(),
},
],
vec![
CandidateEligibility {
date: date1,
symbol: "000001.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,
},
CandidateEligibility {
date: date2,
symbol: "000001.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: date1,
benchmark: "000300.SH".to_string(),
open: 100.0,
close: 100.0,
prev_close: 99.0,
volume: 1_000_000,
},
BenchmarkSnapshot {
date: date2,
benchmark: "000300.SH".to_string(),
open: 101.0,
close: 101.0,
prev_close: 100.0,
volume: 1_100_000,
},
],
)
.expect("dataset");
let broker = BrokerSimulator::new_with_execution_price(
ChinaAShareCostModel::default(),
ChinaEquityRuleHooks::default(),
PriceField::Open,
);
let strategy = LimitCarryStrategy { issued: false };
let mut engine = BacktestEngine::new(
data,
strategy,
broker,
BacktestConfig {
initial_cash: 100_000.0,
benchmark_code: "000300.SH".to_string(),
start_date: Some(date1),
end_date: Some(date2),
decision_lag_trading_days: 0,
execution_price_field: PriceField::Open,
},
);
let result = engine.run().expect("backtest run");
assert!(result.fills.is_empty());
assert!(result.holdings_summary.is_empty());
assert!(
result.order_events.iter().any(|event| {
event.date == date1 && event.status == fidc_core::OrderStatus::Pending
})
);
assert!(result.order_events.iter().any(|event| {
event.date == date1
&& event.status == fidc_core::OrderStatus::Rejected
&& event.reason.contains("Market close")
}));
assert!(result.process_events.iter().any(|event| {
event.date == date1 && event.kind == ProcessEventKind::OrderUnsolicitedUpdate
}));
}
#[test]
fn engine_runs_scheduled_rules_for_daily_weekly_and_monthly_triggers() {
let date1 = d(2025, 1, 30);

37
crates/fidc-core/tests/explicit_order_flow.rs
View File

@@ -2740,7 +2740,7 @@ fn two_day_limit_order_data(day1_open: f64, day2_open: f64) -> DataSet {
}
#[test]
fn broker_keeps_limit_buy_open_until_price_becomes_marketable() {
fn broker_rejects_open_limit_buy_at_market_close() {
let day1 = NaiveDate::from_ymd_opt(2024, 1, 10).unwrap();
let day2 = NaiveDate::from_ymd_opt(2024, 1, 11).unwrap();
let data = two_day_limit_order_data(10.0, 9.7);
@@ -2776,6 +2776,20 @@ fn broker_keeps_limit_buy_open_until_price_becomes_marketable() {
assert_eq!(day1_report.order_events[0].status, OrderStatus::Pending);
let order_id = day1_report.order_events[0].order_id.expect("order id");
let close_report = broker.after_trading(day1);
assert!(close_report.fill_events.is_empty());
assert_eq!(close_report.order_events.len(), 1);
assert_eq!(close_report.order_events[0].order_id, Some(order_id));
assert_eq!(close_report.order_events[0].status, OrderStatus::Rejected);
assert!(
close_report.order_events[0]
.reason
.contains("Order Rejected: 000002.SZ can not match. Market close.")
);
assert!(close_report.process_events.iter().any(|event| {
event.kind == ProcessEventKind::OrderUnsolicitedUpdate && event.order_id == Some(order_id)
}));
let day2_report = broker
.execute(
day2,
@@ -2791,15 +2805,9 @@ fn broker_keeps_limit_buy_open_until_price_becomes_marketable() {
},
)
.expect("day2 execution");
assert_eq!(day2_report.fill_events.len(), 1);
assert_eq!(day2_report.fill_events[0].order_id, Some(order_id));
assert_eq!(day2_report.order_events.len(), 1);
assert_eq!(day2_report.order_events[0].status, OrderStatus::Filled);
assert_eq!(day2_report.order_events[0].order_id, Some(order_id));
assert_eq!(
portfolio.position("000002.SZ").expect("position").quantity,
200
);
assert!(day2_report.fill_events.is_empty());
assert!(day2_report.order_events.is_empty());
assert!(portfolio.position("000002.SZ").is_none());
}
#[test]
@@ -2901,7 +2909,6 @@ fn broker_executes_limit_value_and_limit_percent_intents() {
#[test]
fn broker_cancels_open_order_by_order_id() {
let day1 = NaiveDate::from_ymd_opt(2024, 1, 10).unwrap();
let day2 = NaiveDate::from_ymd_opt(2024, 1, 11).unwrap();
let data = two_day_limit_order_data(10.0, 10.1);
let broker = BrokerSimulator::new_with_execution_price(
ChinaAShareCostModel::default(),
@@ -2934,7 +2941,7 @@ fn broker_cancels_open_order_by_order_id() {
let day2_report = broker
.execute(
day2,
day1,
&mut portfolio,
&data,
&StrategyDecision {
@@ -2958,6 +2965,12 @@ fn broker_cancels_open_order_by_order_id() {
.iter()
.any(|event| event.order_id == Some(order_id) && event.status == OrderStatus::Canceled)
);
assert!(day2_report.process_events.iter().any(|event| {
event.kind == ProcessEventKind::OrderPendingCancel && event.order_id == Some(order_id)
}));
assert!(day2_report.process_events.iter().any(|event| {
event.kind == ProcessEventKind::OrderCancellationPass && event.order_id == Some(order_id)
}));
assert!(portfolio.position("000002.SZ").is_none());
}