Support dividend reinvestment

crates/fidc-core/src/engine.rs

@@ -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,