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Support dividend reinvestment

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This commit is contained in:
boris
2026-04-23 02:11:06 -07:00
parent 0bc224f703
commit b6ddd14d94
2 changed files with 377 additions and 3 deletions
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103
crates/fidc-core/src/engine.rs
View File

@@ -94,6 +94,7 @@ pub struct BacktestEngine<S, C, R> {
strategy: S,
broker: BrokerSimulator<C, R>,
config: BacktestConfig,
dividend_reinvestment: bool,
}
impl<S, C, R> BacktestEngine<S, C, R> {
@@ -108,8 +109,14 @@ impl<S, C, R> BacktestEngine<S, C, R> {
strategy,
broker,
config,
dividend_reinvestment: false,
}
}
pub fn with_dividend_reinvestment(mut self, enabled: bool) -> Self {
self.dividend_reinvestment = enabled;
self
}
}
impl<S, C, R> BacktestEngine<S, C, R>
@@ -633,14 +640,106 @@ where
let mut report = BrokerExecutionReport::default();
let settled = portfolio.settle_cash_receivables(date);
for receivable in settled {
let note = format!(
let mut note = format!(
"cash_receivable_settled {} ex_date={} payable_date={} cash={:.2}",
receivable.symbol, receivable.ex_date, receivable.payable_date, receivable.amount
);
let cash_before = portfolio.cash() - receivable.amount;
if self.dividend_reinvestment
&& receivable.reason.starts_with("cash_dividend")
&& receivable.amount > 0.0
{
let reinvest_price = portfolio
.position(&receivable.symbol)
.map(|position| position.last_price)
.filter(|price| price.is_finite() && *price > 0.0)
.or_else(|| {
self.data
.calendar()
.previous_day(date)
.and_then(|prev_date| {
self.data.price_on_or_before(
prev_date,
&receivable.symbol,
PriceField::Close,
)
})
});
let round_lot = self
.data
.instrument(&receivable.symbol)
.map(|instrument| instrument.round_lot.max(1))
.unwrap_or(100);
if let Some(price) = reinvest_price {
let raw_quantity = (receivable.amount / price).floor() as u32;
let reinvest_quantity = (raw_quantity / round_lot) * round_lot;
if reinvest_quantity > 0 {
let reinvest_cash = reinvest_quantity as f64 * price;
let residual_cash = receivable.amount - reinvest_cash;
portfolio.apply_cash_delta(-reinvest_cash);
portfolio.position_mut(&receivable.symbol).buy(
date,
reinvest_quantity,
price,
);
note = format!(
"cash_receivable_reinvested {} ex_date={} payable_date={} cash={:.2} reinvest_qty={} reinvest_price={:.4} residual_cash={:.2}",
receivable.symbol,
receivable.ex_date,
receivable.payable_date,
receivable.amount,
reinvest_quantity,
price,
residual_cash
);
report.fill_events.push(FillEvent {
date,
order_id: None,
symbol: receivable.symbol.clone(),
side: OrderSide::Buy,
quantity: reinvest_quantity,
price,
gross_amount: reinvest_cash,
commission: 0.0,
stamp_tax: 0.0,
net_cash_flow: -reinvest_cash,
reason: "dividend_reinvestment".to_string(),
});
report.position_events.push(PositionEvent {
date,
symbol: receivable.symbol.clone(),
delta_quantity: reinvest_quantity as i32,
quantity_after: portfolio
.position(&receivable.symbol)
.map(|position| position.quantity)
.unwrap_or(0),
average_cost: portfolio
.position(&receivable.symbol)
.map(|position| position.average_cost)
.unwrap_or(0.0),
realized_pnl_delta: 0.0,
reason: "dividend_reinvestment".to_string(),
});
report.process_events.push(ProcessEvent {
date,
kind: ProcessEventKind::Trade,
order_id: None,
symbol: Some(receivable.symbol.clone()),
side: Some(OrderSide::Buy),
detail: format!(
"dividend_reinvestment quantity={} price={}",
reinvest_quantity, price
),
});
}
}
}
notes.push(note.clone());
report.account_events.push(AccountEvent {
date,
cash_before: portfolio.cash() - receivable.amount,
cash_before,
cash_after: portfolio.cash(),
total_equity: portfolio.total_equity(),
note,

277
crates/fidc-core/tests/corporate_actions.rs
View File

@@ -1,5 +1,12 @@
use chrono::NaiveDate;
use fidc_core::{CashReceivable, PortfolioState, Position};
use std::collections::{BTreeMap, BTreeSet};
use fidc_core::{
BacktestConfig, BacktestEngine, BenchmarkSnapshot, BrokerSimulator, CandidateEligibility,
CashReceivable, ChinaAShareCostModel, ChinaEquityRuleHooks, CorporateAction,
DailyFactorSnapshot, DailyMarketSnapshot, DataSet, Instrument, PortfolioState, Position,
PriceField, Strategy, StrategyContext, StrategyDecision,
};
fn d(year: i32, month: u32, day: u32) -> NaiveDate {
NaiveDate::from_ymd_opt(year, month, day).expect("valid date")
@@ -52,3 +59,271 @@ fn portfolio_settles_cash_receivable_on_payable_date() {
assert!((portfolio.cash() - 1_000_500.0).abs() < 1e-9);
assert!(portfolio.cash_receivables().is_empty());
}
struct BuyAndHoldStrategy {
first_date: NaiveDate,
}
impl Strategy for BuyAndHoldStrategy {
fn name(&self) -> &str {
"buy-and-hold"
}
fn on_day(
&mut self,
ctx: &StrategyContext<'_>,
) -> Result<StrategyDecision, fidc_core::BacktestError> {
Ok(StrategyDecision {
rebalance: false,
target_weights: BTreeMap::new(),
exit_symbols: BTreeSet::new(),
order_intents: if ctx.execution_date == self.first_date {
vec![fidc_core::OrderIntent::Shares {
symbol: "000001.SZ".to_string(),
quantity: 1_000,
reason: "initial_buy".to_string(),
}]
} else {
Vec::new()
},
notes: Vec::new(),
diagnostics: Vec::new(),
})
}
}
#[test]
fn engine_reinvests_dividend_receivable_in_round_lots() {
let buy_date = d(2025, 1, 1);
let ex_date = d(2025, 1, 2);
let payable_date = d(2025, 1, 3);
let data = DataSet::from_components_with_actions(
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: buy_date,
symbol: "000001.SZ".to_string(),
timestamp: Some("2025-01-01 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: ex_date,
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: payable_date,
symbol: "000001.SZ".to_string(),
timestamp: Some("2025-01-03 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,
},
],
vec![
DailyFactorSnapshot {
date: buy_date,
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: ex_date,
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: payable_date,
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(),
},
],
vec![
CandidateEligibility {
date: buy_date,
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: ex_date,
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: payable_date,
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: buy_date,
benchmark: "000300.SH".to_string(),
open: 100.0,
close: 100.0,
prev_close: 99.0,
volume: 1_000_000,
},
BenchmarkSnapshot {
date: ex_date,
benchmark: "000300.SH".to_string(),
open: 100.0,
close: 100.0,
prev_close: 99.0,
volume: 1_000_000,
},
BenchmarkSnapshot {
date: payable_date,
benchmark: "000300.SH".to_string(),
open: 100.0,
close: 100.0,
prev_close: 100.0,
volume: 1_000_000,
},
],
vec![CorporateAction {
date: ex_date,
symbol: "000001.SZ".to_string(),
payable_date: Some(payable_date),
share_cash: 1.05,
share_bonus: 0.0,
share_gift: 0.0,
issue_quantity: 0.0,
issue_price: 0.0,
reform: false,
adjust_factor: None,
successor_symbol: None,
successor_ratio: None,
successor_cash: None,
}],
)
.expect("dataset");
let mut engine = BacktestEngine::new(
data,
BuyAndHoldStrategy {
first_date: buy_date,
},
BrokerSimulator::new_with_execution_price(
ChinaAShareCostModel::default(),
ChinaEquityRuleHooks::default(),
PriceField::Open,
),
BacktestConfig {
initial_cash: 11_005.0,
benchmark_code: "000300.SH".to_string(),
start_date: Some(buy_date),
end_date: Some(payable_date),
decision_lag_trading_days: 0,
execution_price_field: PriceField::Open,
},
)
.with_dividend_reinvestment(true);
let result = engine.run().expect("backtest run");
let final_holding = result
.holdings_summary
.iter()
.find(|row| row.symbol == "000001.SZ")
.expect("holding");
assert_eq!(final_holding.quantity, 1_100);
assert!((result.equity_curve.last().expect("equity").cash - 1_050.0).abs() < 1e-9);
let reinvest_fill = result
.fills
.iter()
.find(|fill| fill.reason == "dividend_reinvestment")
.expect("reinvestment fill");
assert_eq!(reinvest_fill.quantity, 100);
assert_eq!(reinvest_fill.commission, 0.0);
assert_eq!(reinvest_fill.stamp_tax, 0.0);
}