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Add suspended and ST data helpers

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This commit is contained in:
boris
2026-04-23 19:37:50 -07:00
parent 6106297a97
commit bb8f40f33c
5 changed files with 95 additions and 20 deletions
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42
crates/fidc-core/src/data.rs
View File

@@ -947,6 +947,18 @@ impl DataSet {
self.calendar.next_trading_date(date, n)
}
pub fn is_suspended_flags(&self, date: NaiveDate, symbol: &str, count: usize) -> Vec<bool> {
self.historical_daily_flags(date, symbol, count, |candidate, market| {
candidate.is_some_and(|row| row.is_paused) || market.is_some_and(|row| row.paused)
})
}
pub fn is_st_stock_flags(&self, date: NaiveDate, symbol: &str, count: usize) -> Vec<bool> {
self.historical_daily_flags(date, symbol, count, |candidate, _| {
candidate.is_some_and(|row| row.is_st)
})
}
pub fn price(&self, date: NaiveDate, symbol: &str, field: PriceField) -> Option<f64> {
let snapshot = self.market(date, symbol)?;
Some(snapshot.price(field))
@@ -1047,6 +1059,36 @@ impl DataSet {
.collect()
}
fn historical_daily_flags<F>(
&self,
date: NaiveDate,
symbol: &str,
count: usize,
evaluator: F,
) -> Vec<bool>
where
F: Fn(Option<&CandidateEligibility>, Option<&DailyMarketSnapshot>) -> bool,
{
if count == 0 {
return Vec::new();
}
let days = self
.calendar
.iter()
.filter(|day| *day <= date)
.collect::<Vec<_>>();
let start = days.len().saturating_sub(count);
days[start..]
.iter()
.map(|day| {
evaluator(
self.candidate_index.get(&(*day, symbol.to_string())),
self.market_index.get(&(*day, symbol.to_string())),
)
})
.collect()
}
pub fn market_decision_close(&self, date: NaiveDate, symbol: &str) -> Option<f64> {
self.market_series_by_symbol
.get(symbol)

10
crates/fidc-core/src/strategy.rs
View File

@@ -285,6 +285,16 @@ impl StrategyContext<'_> {
self.data.next_trading_date(date, n)
}
pub fn is_suspended(&self, symbol: &str, count: usize) -> Vec<bool> {
self.data
.is_suspended_flags(self.execution_date, symbol, count)
}
pub fn is_st_stock(&self, symbol: &str, count: usize) -> Vec<bool> {
self.data
.is_st_stock_flags(self.execution_date, symbol, count)
}
pub fn has_subscriptions(&self) -> bool {
!self.subscriptions.is_empty()
}

1
crates/fidc-core/src/strategy_ai.rs
View File

@@ -199,6 +199,7 @@ pub fn built_in_strategy_manual() -> StrategyAiManual {
ManualFunction { name: "current_snapshot".to_string(), signature: "ctx.current_snapshot(symbol)".to_string(), detail: "读取当前交易日指定证券的日级快照，可用于获得当日 open/close/last/upper_limit/lower_limit 等字段。".to_string() },
ManualFunction { name: "instrument/instruments/all_instruments".to_string(), signature: "ctx.instrument(symbol)".to_string(), detail: "读取证券元数据，包括名称、板块、上市日期、退市日期、最小下单量、整手、最小价位等；all_instruments 按证券代码稳定排序返回全量证券。".to_string() },
ManualFunction { name: "get_trading_dates/get_previous_trading_date/get_next_trading_date".to_string(), signature: "ctx.get_previous_trading_date(date, n)".to_string(), detail: "交易日历 API。get_trading_dates 返回闭区间交易日；previous/next 返回相对某日向前或向后的第 n 个交易日，当前日自身不计入。".to_string() },
ManualFunction { name: "is_suspended/is_st_stock".to_string(), signature: "ctx.is_suspended(symbol, count)".to_string(), detail: "读取指定证券截至当前交易日最近 count 个交易日的停牌或 ST 标记，返回 bool 序列，顺序从旧到新；对应 RQAlpha 的 is_suspended/is_st_stock 数据源能力。".to_string() },
ManualFunction { name: "rolling_mean".to_string(), signature: "rolling_mean(\"field\", lookback)".to_string(), detail: "任意字段滚动均值，支持 volume/amount/turnover_ratio、signal_open/signal_close、benchmark_open/benchmark_close 等。任意成交量窗口推荐用它，比如 rolling_mean(\"volume\", 15)。".to_string() },
ManualFunction { name: "sma".to_string(), signature: "sma(\"field\", lookback)".to_string(), detail: "rolling_mean 的别名。任意价格均线窗口推荐用它，比如 sma(\"close\", 15)。".to_string() },
ManualFunction { name: "round/floor/ceil/abs/min/max/clamp".to_string(), signature: "round(x)".to_string(), detail: "常用数值函数。".to_string() },

46
crates/fidc-core/tests/engine_hooks.rs
View File

@@ -20,6 +20,14 @@ fn dt(year: i32, month: u32, day: u32, hour: u32, minute: u32, second: u32) -> N
.expect("valid datetime")
}
fn bool_flags(values: Vec<bool>) -> String {
values
.into_iter()
.map(|value| if value { "1" } else { "0" })
.collect::<Vec<_>>()
.join(",")
}
struct HookProbeStrategy {
log: Rc<RefCell<Vec<String>>>,
}
@@ -420,8 +428,10 @@ impl Strategy for DataApiProbeStrategy {
let trading_date_count = ctx
.get_trading_dates(d(2025, 1, 2), ctx.execution_date)
.len();
let suspended = bool_flags(ctx.is_suspended("000001.SZ", 3));
let st_flags = bool_flags(ctx.is_st_stock("000001.SZ", 3));
self.snapshots.borrow_mut().push(format!(
"daily={daily_close};previous={previous_close};tick={tick_last};previous_tick={previous_tick_last};current={current_close};instrument={instrument_name};all={};range={trading_date_count};prev={prev_date};next={next_date}",
"daily={daily_close};previous={previous_close};tick={tick_last};previous_tick={previous_tick_last};current={current_close};instrument={instrument_name};all={};range={trading_date_count};prev={prev_date};next={next_date};suspended={suspended};st={st_flags}",
ctx.all_instruments().len()
));
}
@@ -935,20 +945,24 @@ fn strategy_context_exposes_rqalpha_style_data_helpers() {
extra_factors: BTreeMap::new(),
})
.collect::<Vec<_>>();
let candidates = [date1, date2, date3]
.into_iter()
.map(|date| CandidateEligibility {
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,
})
.collect::<Vec<_>>();
let candidates = [
(date1, false, false),
(date2, true, true),
(date3, false, false),
]
.into_iter()
.map(|(date, is_paused, is_st)| CandidateEligibility {
date,
symbol: "000001.SZ".to_string(),
is_st,
is_new_listing: false,
is_paused,
allow_buy: true,
allow_sell: true,
is_kcb: false,
is_one_yuan: false,
})
.collect::<Vec<_>>();
let benchmarks = [
(date1, 100.0, 99.0),
(date2, 101.0, 100.0),
@@ -1045,7 +1059,7 @@ fn strategy_context_exposes_rqalpha_style_data_helpers() {
assert_eq!(
snapshots.borrow().as_slice(),
[
"daily=10.10,10.20;previous=10.00,10.10;tick=10.15,10.25;previous_tick=10.15;current=10.20;instrument=Anchor;all=1;range=3;prev=2025-01-03;next=2025-01-06"
"daily=10.10,10.20;previous=10.00,10.10;tick=10.15,10.25;previous_tick=10.15;current=10.20;instrument=Anchor;all=1;range=3;prev=2025-01-03;next=2025-01-06;suspended=0,1,0;st=0,1,0"
]
);
}