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Add platform explicit action stages

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This commit is contained in:
boris
2026-04-23 04:33:00 -07:00
parent 6e5d4cca3b
commit cbb6af3f29
2 changed files with 162 additions and 7 deletions
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6
crates/fidc-core/src/lib.rs
View File

@@ -35,9 +35,9 @@ pub use events::{
pub use instrument::Instrument;
pub use metrics::{BacktestMetrics, compute_backtest_metrics};
pub use platform_expr_strategy::{
PlatformExplicitCancelKind, PlatformExplicitOrderKind, PlatformExprStrategy,
PlatformExprStrategyConfig, PlatformRebalanceSchedule, PlatformScheduleFrequency,
PlatformTradeAction,
PlatformExplicitActionStage, PlatformExplicitCancelKind, PlatformExplicitOrderKind,
PlatformExprStrategy, PlatformExprStrategyConfig, PlatformRebalanceSchedule,
PlatformScheduleFrequency, PlatformTradeAction,
};
pub use portfolio::{CashReceivable, HoldingSummary, PortfolioState, Position};
pub use rules::{ChinaEquityRuleHooks, EquityRuleHooks, RuleCheck};

163
crates/fidc-core/src/platform_expr_strategy.rs
View File

@@ -115,6 +115,12 @@ pub enum PlatformTradeAction {
},
}
#[derive(Debug, Clone, Copy, PartialEq, Eq)]
pub enum PlatformExplicitActionStage {
OpenAuction,
OnDay,
}
#[derive(Debug, Clone)]
pub struct PlatformExprStrategyConfig {
pub strategy_name: String,
@@ -145,6 +151,7 @@ pub struct PlatformExprStrategyConfig {
pub skip_month_day_ranges: Vec<(u32, u32, u32)>,
pub rebalance_schedule: Option<PlatformRebalanceSchedule>,
pub rotation_enabled: bool,
pub explicit_action_stage: PlatformExplicitActionStage,
pub explicit_actions: Vec<PlatformTradeAction>,
}
@@ -192,6 +199,7 @@ fn band_low(index_close) {
skip_month_day_ranges: Vec::new(),
rebalance_schedule: None,
rotation_enabled: true,
explicit_action_stage: PlatformExplicitActionStage::OnDay,
explicit_actions: Vec::new(),
}
}
@@ -2231,6 +2239,32 @@ impl PlatformExprStrategy {
Ok(intents)
}
fn explicit_action_decision(
&self,
ctx: &StrategyContext<'_>,
) -> Result<StrategyDecision, BacktestError> {
let day = self.day_state(ctx, ctx.execution_date)?;
let order_intents = self.explicit_action_intents(ctx, ctx.execution_date, &day)?;
let diagnostics = vec![format!(
"platform_expr signal={} last={:.2} explicit_actions={} stage={}",
self.config.signal_symbol,
day.signal_close,
self.config.explicit_actions.len(),
match self.config.explicit_action_stage {
PlatformExplicitActionStage::OpenAuction => "open_auction",
PlatformExplicitActionStage::OnDay => "on_day",
}
)];
Ok(StrategyDecision {
rebalance: false,
target_weights: BTreeMap::new(),
exit_symbols: BTreeSet::new(),
order_intents,
notes: Vec::new(),
diagnostics,
})
}
fn stock_passes_expr(
&self,
ctx: &StrategyContext<'_>,
@@ -2546,6 +2580,18 @@ impl Strategy for PlatformExprStrategy {
self.config.strategy_name.as_str()
}
fn open_auction(
&mut self,
ctx: &StrategyContext<'_>,
) -> Result<StrategyDecision, BacktestError> {
if self.config.explicit_action_stage == PlatformExplicitActionStage::OpenAuction
&& !self.config.explicit_actions.is_empty()
{
return self.explicit_action_decision(ctx);
}
Ok(StrategyDecision::default())
}
fn on_day(&mut self, ctx: &StrategyContext<'_>) -> Result<StrategyDecision, BacktestError> {
let date = ctx.execution_date;
if self.config.in_skip_window(date) {
@@ -2570,7 +2616,12 @@ impl Strategy for PlatformExprStrategy {
}
let day = self.day_state(ctx, date)?;
let explicit_action_intents = self.explicit_action_intents(ctx, date, &day)?;
let explicit_action_intents =
if self.config.explicit_action_stage == PlatformExplicitActionStage::OnDay {
self.explicit_action_intents(ctx, date, &day)?
} else {
Vec::new()
};
let mut selection_notes = Vec::new();
let trading_ratio = if self.config.rotation_enabled {
self.trading_ratio(ctx, &day)?
@@ -2812,9 +2863,9 @@ mod tests {
use chrono::NaiveDate;
use super::{
PlatformExplicitCancelKind, PlatformExplicitOrderKind, PlatformExprStrategy,
PlatformExprStrategyConfig, PlatformRebalanceSchedule, PlatformScheduleFrequency,
PlatformTradeAction,
PlatformExplicitActionStage, PlatformExplicitCancelKind, PlatformExplicitOrderKind,
PlatformExprStrategy, PlatformExprStrategyConfig, PlatformRebalanceSchedule,
PlatformScheduleFrequency, PlatformTradeAction,
};
use crate::{
BenchmarkSnapshot, CandidateEligibility, DailyFactorSnapshot, DailyMarketSnapshot, DataSet,
@@ -2986,4 +3037,108 @@ mod tests {
.any(|item| item.contains("rotation=false"))
);
}
#[test]
fn platform_strategy_emits_explicit_actions_in_open_auction_stage() {
let date = d(2025, 2, 3);
let data = DataSet::from_components(
vec![Instrument {
symbol: "000001.SZ".to_string(),
name: "Ping An Bank".to_string(),
board: "SZSE".to_string(),
round_lot: 100,
listed_at: Some(d(2010, 1, 1)),
delisted_at: None,
status: "active".to_string(),
}],
vec![DailyMarketSnapshot {
date,
symbol: "000001.SZ".to_string(),
timestamp: Some("09:25:00".to_string()),
day_open: 10.0,
open: 10.0,
high: 10.2,
low: 9.9,
close: 10.1,
last_price: 10.0,
bid1: 9.99,
ask1: 10.0,
prev_close: 9.95,
volume: 1_000_000,
tick_volume: 5_000,
bid1_volume: 1_000,
ask1_volume: 1_000,
trading_phase: Some("open_auction".to_string()),
paused: false,
upper_limit: 10.94,
lower_limit: 8.96,
price_tick: 0.01,
}],
vec![DailyFactorSnapshot {
date,
symbol: "000001.SZ".to_string(),
market_cap_bn: 12.0,
free_float_cap_bn: 10.0,
pe_ttm: 8.0,
turnover_ratio: Some(22.0),
effective_turnover_ratio: Some(18.0),
extra_factors: BTreeMap::new(),
}],
vec![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,
}],
vec![BenchmarkSnapshot {
date,
benchmark: "000852.SH".to_string(),
open: 1000.0,
close: 1002.0,
prev_close: 998.0,
volume: 1_000_000,
}],
)
.expect("dataset");
let portfolio = PortfolioState::new(1_000_000.0);
let ctx = StrategyContext {
execution_date: date,
decision_date: date,
decision_index: 0,
data: &data,
portfolio: &portfolio,
};
let mut cfg = PlatformExprStrategyConfig::microcap_rotation();
cfg.signal_symbol = "000001.SZ".to_string();
cfg.rotation_enabled = false;
cfg.explicit_action_stage = PlatformExplicitActionStage::OpenAuction;
cfg.benchmark_short_ma_days = 1;
cfg.benchmark_long_ma_days = 1;
cfg.explicit_actions = vec![PlatformTradeAction::Order {
kind: PlatformExplicitOrderKind::Percent,
symbol: "000001.SZ".to_string(),
amount_expr: "0.25".to_string(),
limit_price_expr: None,
when_expr: Some("allow_buy".to_string()),
reason: "auction_percent_entry".to_string(),
}];
let mut strategy = PlatformExprStrategy::new(cfg);
let auction_decision = strategy.open_auction(&ctx).expect("auction decision");
assert_eq!(auction_decision.order_intents.len(), 1);
assert!(
auction_decision
.diagnostics
.iter()
.any(|item| item.contains("stage=open_auction"))
);
let on_day_decision = strategy.on_day(&ctx).expect("on day decision");
assert!(on_day_decision.order_intents.is_empty());
}
}