Add get price data helper

2026-04-23 19:41:01 -07:00
parent bb8f40f33c
commit ca49b6dbb3
6 changed files with 123 additions and 7 deletions
--- a/crates/fidc-core/src/data.rs
+++ b/crates/fidc-core/src/data.rs
@@ -325,6 +325,26 @@ pub struct DailySnapshotBundle {
    pub corporate_actions: Vec<CorporateAction>,
 }

+#[derive(Debug, Clone, Serialize)]
+pub struct PriceBar {
+    #[serde(with = "date_format")]
+    pub date: NaiveDate,
+    pub timestamp: Option<String>,
+    pub symbol: String,
+    pub frequency: String,
+    pub open: f64,
+    pub high: f64,
+    pub low: f64,
+    pub close: f64,
+    pub last_price: f64,
+    pub volume: u64,
+    pub amount: f64,
+    pub bid1: f64,
+    pub ask1: f64,
+    pub bid1_volume: u64,
+    pub ask1_volume: u64,
+}
+
 #[derive(Debug, Clone)]
 pub struct EligibleUniverseSnapshot {
    pub symbol: String,
@@ -959,6 +979,45 @@ impl DataSet {
        })
    }

+    pub fn get_price(
+        &self,
+        symbol: &str,
+        start: NaiveDate,
+        end: NaiveDate,
+        frequency: &str,
+    ) -> Vec<PriceBar> {
+        if start > end {
+            return Vec::new();
+        }
+        match normalize_history_frequency(frequency).as_deref() {
+            Some("1d") => self
+                .market_by_date
+                .range(start..=end)
+                .flat_map(|(_, rows)| rows.iter())
+                .filter(|row| row.symbol == symbol)
+                .map(daily_market_price_bar)
+                .collect(),
+            Some("1m") | Some("tick") => {
+                let mut bars = self
+                    .execution_quotes_index
+                    .iter()
+                    .filter(|((date, quote_symbol), _)| {
+                        quote_symbol == symbol && *date >= start && *date <= end
+                    })
+                    .flat_map(|(_, rows)| rows.iter())
+                    .map(intraday_quote_price_bar)
+                    .collect::<Vec<_>>();
+                bars.sort_by(|left, right| {
+                    left.date
+                        .cmp(&right.date)
+                        .then_with(|| left.timestamp.cmp(&right.timestamp))
+                });
+                bars
+            }
+            _ => Vec::new(),
+        }
+    }
+
    pub fn price(&self, date: NaiveDate, symbol: &str, field: PriceField) -> Option<f64> {
        let snapshot = self.market(date, symbol)?;
        Some(snapshot.price(field))
@@ -1416,6 +1475,46 @@ fn intraday_quote_visible(
    }
 }

+fn daily_market_price_bar(snapshot: &DailyMarketSnapshot) -> PriceBar {
+    PriceBar {
+        date: snapshot.date,
+        timestamp: snapshot.timestamp.clone(),
+        symbol: snapshot.symbol.clone(),
+        frequency: "1d".to_string(),
+        open: snapshot.open,
+        high: snapshot.high,
+        low: snapshot.low,
+        close: snapshot.close,
+        last_price: snapshot.last_price,
+        volume: snapshot.volume,
+        amount: 0.0,
+        bid1: snapshot.bid1,
+        ask1: snapshot.ask1,
+        bid1_volume: snapshot.bid1_volume,
+        ask1_volume: snapshot.ask1_volume,
+    }
+}
+
+fn intraday_quote_price_bar(snapshot: &IntradayExecutionQuote) -> PriceBar {
+    PriceBar {
+        date: snapshot.date,
+        timestamp: Some(snapshot.timestamp.format("%Y-%m-%d %H:%M:%S").to_string()),
+        symbol: snapshot.symbol.clone(),
+        frequency: "tick".to_string(),
+        open: snapshot.last_price,
+        high: snapshot.last_price,
+        low: snapshot.last_price,
+        close: snapshot.last_price,
+        last_price: snapshot.last_price,
+        volume: snapshot.volume_delta,
+        amount: snapshot.amount_delta,
+        bid1: snapshot.bid1,
+        ask1: snapshot.ask1,
+        bid1_volume: snapshot.bid1_volume,
+        ask1_volume: snapshot.ask1_volume,
+    }
+}
+
 fn normalize_field(field: &str) -> String {
    field
        .trim()
--- a/crates/fidc-core/src/lib.rs
+++ b/crates/fidc-core/src/lib.rs
@@ -21,7 +21,7 @@ pub use cost::{ChinaAShareCostModel, CostModel, TradingCost};
 pub use data::{
    BenchmarkSnapshot, CandidateEligibility, CorporateAction, DailyFactorSnapshot,
    DailyMarketSnapshot, DailySnapshotBundle, DataSet, DataSetError, EligibleUniverseSnapshot,
-    IntradayExecutionQuote, PriceField,
+    IntradayExecutionQuote, PriceBar, PriceField,
 };
 pub use engine::{
    BacktestConfig, BacktestDayProgress, BacktestEngine, BacktestError, BacktestResult,
--- a/crates/fidc-core/src/strategy.rs
+++ b/crates/fidc-core/src/strategy.rs
@@ -7,7 +7,7 @@ use std::sync::OnceLock;
 use chrono::{Datelike, Duration, NaiveDate, NaiveDateTime, NaiveTime};

 use crate::cost::ChinaAShareCostModel;
-use crate::data::{DailyMarketSnapshot, DataSet, IntradayExecutionQuote, PriceField};
+use crate::data::{DailyMarketSnapshot, DataSet, IntradayExecutionQuote, PriceBar, PriceField};
 use crate::engine::BacktestError;
 use crate::events::{OrderSide, ProcessEvent};
 use crate::instrument::Instrument;
@@ -295,6 +295,16 @@ impl StrategyContext<'_> {
            .is_st_stock_flags(self.execution_date, symbol, count)
    }

+    pub fn get_price(
+        &self,
+        symbol: &str,
+        start: NaiveDate,
+        end: NaiveDate,
+        frequency: &str,
+    ) -> Vec<PriceBar> {
+        self.data.get_price(symbol, start, end, frequency)
+    }
+
    pub fn has_subscriptions(&self) -> bool {
        !self.subscriptions.is_empty()
    }
--- a/crates/fidc-core/src/strategy_ai.rs
+++ b/crates/fidc-core/src/strategy_ai.rs
@@ -200,6 +200,7 @@ pub fn built_in_strategy_manual() -> StrategyAiManual {
            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: "get_price".to_string(), signature: "ctx.get_price(symbol, start_date, end_date, \"1d\" | \"1m\" | \"tick\")".to_string(), detail: "按日期区间读取统一 PriceBar 序列。日线返回 open/high/low/close/last/volume/盘口字段；分钟或 tick 返回按 timestamp 排序的 last/bid1/ask1/volume_delta/amount_delta 映射，便于服务层转成表格或前端明细。".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() },