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Expose futures account runtime view

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This commit is contained in:
boris
2026-04-23 20:35:32 -07:00
parent 2669350154
commit db4e385308
7 changed files with 191 additions and 9 deletions
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77
crates/fidc-core/src/engine.rs
View File

@@ -12,6 +12,7 @@ use crate::events::{
AccountEvent, FillEvent, OrderEvent, OrderSide, OrderStatus, PositionEvent, ProcessEvent,
ProcessEventKind,
};
use crate::futures::FuturesAccountState;
use crate::metrics::{BacktestMetrics, compute_backtest_metrics};
use crate::portfolio::{CashReceivable, HoldingSummary, PortfolioState};
use crate::rules::EquityRuleHooks;
@@ -101,6 +102,7 @@ pub struct BacktestEngine<S, C, R> {
process_event_bus: ProcessEventBus,
dynamic_universe: Option<BTreeSet<String>>,
subscriptions: BTreeSet<String>,
futures_account: Option<FuturesAccountState>,
}
impl<S, C, R> BacktestEngine<S, C, R> {
@@ -119,6 +121,7 @@ impl<S, C, R> BacktestEngine<S, C, R> {
process_event_bus: ProcessEventBus::new(),
dynamic_universe: None,
subscriptions: BTreeSet::new(),
futures_account: None,
}
}
@@ -127,6 +130,23 @@ impl<S, C, R> BacktestEngine<S, C, R> {
self
}
pub fn with_futures_account(mut self, account: FuturesAccountState) -> Self {
self.futures_account = Some(account);
self
}
pub fn with_futures_initial_cash(self, initial_cash: f64) -> Self {
self.with_futures_account(FuturesAccountState::new(initial_cash))
}
pub fn futures_account(&self) -> Option<&FuturesAccountState> {
self.futures_account.as_ref()
}
pub fn futures_account_mut(&mut self) -> Option<&mut FuturesAccountState> {
self.futures_account.as_mut()
}
pub fn process_event_bus_mut(&mut self) -> &mut ProcessEventBus {
&mut self.process_event_bus
}
@@ -184,6 +204,7 @@ where
decision_index,
&self.data,
portfolio,
self.futures_account.as_ref(),
open_orders,
self.dynamic_universe.as_ref(),
&self.subscriptions,
@@ -224,6 +245,7 @@ where
decision_index,
&self.data,
portfolio,
self.futures_account.as_ref(),
open_orders,
self.dynamic_universe.as_ref(),
&self.subscriptions,
@@ -264,6 +286,7 @@ where
decision_index,
&self.data,
portfolio,
self.futures_account.as_ref(),
open_orders,
self.dynamic_universe.as_ref(),
&self.subscriptions,
@@ -333,6 +356,7 @@ where
decision_index,
&self.data,
&*portfolio,
self.futures_account.as_ref(),
open_orders,
self.dynamic_universe.as_ref(),
&self.subscriptions,
@@ -378,6 +402,7 @@ where
decision_index,
&self.data,
&*portfolio,
self.futures_account.as_ref(),
open_orders,
self.dynamic_universe.as_ref(),
&self.subscriptions,
@@ -411,6 +436,7 @@ where
decision_index,
&self.data,
&*portfolio,
self.futures_account.as_ref(),
open_orders,
self.dynamic_universe.as_ref(),
&self.subscriptions,
@@ -540,6 +566,7 @@ where
decision_index,
&self.data,
&portfolio,
self.futures_account.as_ref(),
&pre_open_orders,
self.dynamic_universe.as_ref(),
&self.subscriptions,
@@ -554,6 +581,7 @@ where
decision_index,
data: &self.data,
portfolio: &portfolio,
futures_account: self.futures_account.as_ref(),
open_orders: &pre_open_orders,
dynamic_universe: self.dynamic_universe.as_ref(),
subscriptions: &self.subscriptions,
@@ -574,6 +602,7 @@ where
decision_index,
&self.data,
&portfolio,
self.futures_account.as_ref(),
&pre_open_orders,
self.dynamic_universe.as_ref(),
&self.subscriptions,
@@ -592,6 +621,7 @@ where
decision_index,
&self.data,
&portfolio,
self.futures_account.as_ref(),
&pre_open_orders,
self.dynamic_universe.as_ref(),
&self.subscriptions,
@@ -619,6 +649,7 @@ where
decision_index,
&self.data,
&portfolio,
self.futures_account.as_ref(),
&pre_open_orders,
self.dynamic_universe.as_ref(),
&self.subscriptions,
@@ -635,6 +666,7 @@ where
decision_index,
&self.data,
&portfolio,
self.futures_account.as_ref(),
&pre_open_orders,
self.dynamic_universe.as_ref(),
&self.subscriptions,
@@ -653,6 +685,7 @@ where
decision_index,
&self.data,
&portfolio,
self.futures_account.as_ref(),
&pre_open_orders,
self.dynamic_universe.as_ref(),
&self.subscriptions,
@@ -668,6 +701,7 @@ where
decision_index,
data: &self.data,
portfolio: &portfolio,
futures_account: self.futures_account.as_ref(),
open_orders: &pre_open_orders,
dynamic_universe: self.dynamic_universe.as_ref(),
subscriptions: &self.subscriptions,
@@ -688,6 +722,7 @@ where
decision_index,
&self.data,
&portfolio,
self.futures_account.as_ref(),
&pre_open_orders,
self.dynamic_universe.as_ref(),
&self.subscriptions,
@@ -721,6 +756,7 @@ where
decision_index,
&self.data,
&portfolio,
self.futures_account.as_ref(),
&post_auction_open_orders,
self.dynamic_universe.as_ref(),
&self.subscriptions,
@@ -735,6 +771,7 @@ where
decision_index,
&self.data,
&portfolio,
self.futures_account.as_ref(),
&post_auction_open_orders,
self.dynamic_universe.as_ref(),
&self.subscriptions,
@@ -752,6 +789,7 @@ where
decision_index,
&self.data,
&portfolio,
self.futures_account.as_ref(),
&post_auction_open_orders,
self.dynamic_universe.as_ref(),
&self.subscriptions,
@@ -769,6 +807,7 @@ where
decision_index: decision_idx,
data: &self.data,
portfolio: &portfolio,
futures_account: self.futures_account.as_ref(),
open_orders: &on_day_open_orders,
dynamic_universe: self.dynamic_universe.as_ref(),
subscriptions: &self.subscriptions,
@@ -794,6 +833,7 @@ where
decision_index,
&self.data,
&portfolio,
self.futures_account.as_ref(),
&on_day_open_orders,
self.dynamic_universe.as_ref(),
&self.subscriptions,
@@ -811,6 +851,7 @@ where
decision_index,
&self.data,
&portfolio,
self.futures_account.as_ref(),
&on_day_open_orders,
self.dynamic_universe.as_ref(),
&self.subscriptions,
@@ -828,6 +869,7 @@ where
decision_index,
&self.data,
&portfolio,
self.futures_account.as_ref(),
&bar_open_orders,
self.dynamic_universe.as_ref(),
&self.subscriptions,
@@ -846,6 +888,7 @@ where
decision_index,
&self.data,
&portfolio,
self.futures_account.as_ref(),
&bar_open_orders,
self.dynamic_universe.as_ref(),
&self.subscriptions,
@@ -861,6 +904,7 @@ where
decision_index,
data: &self.data,
portfolio: &portfolio,
futures_account: self.futures_account.as_ref(),
open_orders: &bar_open_orders,
dynamic_universe: self.dynamic_universe.as_ref(),
subscriptions: &self.subscriptions,
@@ -881,6 +925,7 @@ where
decision_index,
&self.data,
&portfolio,
self.futures_account.as_ref(),
&bar_open_orders,
self.dynamic_universe.as_ref(),
&self.subscriptions,
@@ -912,6 +957,7 @@ where
decision_index,
&self.data,
&portfolio,
self.futures_account.as_ref(),
&post_intraday_open_orders,
self.dynamic_universe.as_ref(),
&self.subscriptions,
@@ -933,6 +979,7 @@ where
decision_index,
&self.data,
&portfolio,
self.futures_account.as_ref(),
&post_intraday_open_orders,
self.dynamic_universe.as_ref(),
&self.subscriptions,
@@ -949,6 +996,7 @@ where
decision_index,
&self.data,
&portfolio,
self.futures_account.as_ref(),
&post_intraday_open_orders,
self.dynamic_universe.as_ref(),
&self.subscriptions,
@@ -979,6 +1027,7 @@ where
decision_index,
&self.data,
&portfolio,
self.futures_account.as_ref(),
&tick_open_orders,
self.dynamic_universe.as_ref(),
&self.subscriptions,
@@ -997,6 +1046,7 @@ where
decision_index,
&self.data,
&portfolio,
self.futures_account.as_ref(),
&tick_open_orders,
self.dynamic_universe.as_ref(),
&self.subscriptions,
@@ -1013,6 +1063,7 @@ where
decision_index,
data: &self.data,
portfolio: &portfolio,
futures_account: self.futures_account.as_ref(),
open_orders: &tick_open_orders,
dynamic_universe: self.dynamic_universe.as_ref(),
subscriptions: &self.subscriptions,
@@ -1032,6 +1083,7 @@ where
decision_index,
&self.data,
&portfolio,
self.futures_account.as_ref(),
&tick_open_orders,
self.dynamic_universe.as_ref(),
&self.subscriptions,
@@ -1067,6 +1119,7 @@ where
decision_index,
&self.data,
&portfolio,
self.futures_account.as_ref(),
&post_tick_open_orders,
self.dynamic_universe.as_ref(),
&self.subscriptions,
@@ -1082,6 +1135,7 @@ where
decision_index,
&self.data,
&portfolio,
self.futures_account.as_ref(),
&post_tick_open_orders,
self.dynamic_universe.as_ref(),
&self.subscriptions,
@@ -1116,6 +1170,7 @@ where
decision_index,
&self.data,
&portfolio,
self.futures_account.as_ref(),
&post_trade_open_orders,
self.dynamic_universe.as_ref(),
&self.subscriptions,
@@ -1130,6 +1185,7 @@ where
decision_index,
data: &self.data,
portfolio: &portfolio,
futures_account: self.futures_account.as_ref(),
open_orders: &post_trade_open_orders,
dynamic_universe: self.dynamic_universe.as_ref(),
subscriptions: &self.subscriptions,
@@ -1150,6 +1206,7 @@ where
decision_index,
&self.data,
&portfolio,
self.futures_account.as_ref(),
&post_trade_open_orders,
self.dynamic_universe.as_ref(),
&self.subscriptions,
@@ -1168,6 +1225,7 @@ where
decision_index,
&self.data,
&portfolio,
self.futures_account.as_ref(),
&post_trade_open_orders,
self.dynamic_universe.as_ref(),
&self.subscriptions,
@@ -1196,6 +1254,7 @@ where
decision_index,
&self.data,
&portfolio,
self.futures_account.as_ref(),
&post_trade_open_orders,
self.dynamic_universe.as_ref(),
&self.subscriptions,
@@ -1228,6 +1287,7 @@ where
decision_index,
&self.data,
&portfolio,
self.futures_account.as_ref(),
&post_close_open_orders,
self.dynamic_universe.as_ref(),
&self.subscriptions,
@@ -1244,6 +1304,7 @@ where
decision_index,
&self.data,
&portfolio,
self.futures_account.as_ref(),
&post_close_open_orders,
self.dynamic_universe.as_ref(),
&self.subscriptions,
@@ -1258,6 +1319,7 @@ where
decision_index,
data: &self.data,
portfolio: &portfolio,
futures_account: self.futures_account.as_ref(),
open_orders: &post_close_open_orders,
dynamic_universe: self.dynamic_universe.as_ref(),
subscriptions: &self.subscriptions,
@@ -1278,6 +1340,7 @@ where
decision_index,
&self.data,
&portfolio,
self.futures_account.as_ref(),
&post_close_open_orders,
self.dynamic_universe.as_ref(),
&self.subscriptions,
@@ -1296,6 +1359,7 @@ where
decision_index,
&self.data,
&portfolio,
self.futures_account.as_ref(),
&post_close_open_orders,
self.dynamic_universe.as_ref(),
&self.subscriptions,
@@ -1338,6 +1402,7 @@ where
decision_index,
&self.data,
&portfolio,
self.futures_account.as_ref(),
&post_close_open_orders,
self.dynamic_universe.as_ref(),
&self.subscriptions,
@@ -1769,6 +1834,7 @@ where
decision_index,
data: &self.data,
portfolio,
futures_account: self.futures_account.as_ref(),
open_orders,
dynamic_universe,
subscriptions,
@@ -1808,6 +1874,7 @@ where
decision_index,
&self.data,
&*portfolio,
self.futures_account.as_ref(),
open_orders,
dynamic_universe,
subscriptions,
@@ -1952,6 +2019,7 @@ fn collect_scheduled_decisions<S: Strategy>(
decision_index: usize,
data: &crate::data::DataSet,
portfolio: &PortfolioState,
futures_account: Option<&FuturesAccountState>,
open_orders: &[crate::strategy::OpenOrderView],
dynamic_universe: Option<&BTreeSet<String>>,
subscriptions: &BTreeSet<String>,
@@ -1971,6 +2039,7 @@ fn collect_scheduled_decisions<S: Strategy>(
decision_index,
data,
portfolio,
futures_account,
open_orders,
dynamic_universe,
subscriptions,
@@ -1986,6 +2055,7 @@ fn collect_scheduled_decisions<S: Strategy>(
decision_index,
data,
portfolio,
futures_account,
open_orders,
dynamic_universe,
subscriptions,
@@ -2005,6 +2075,7 @@ fn collect_scheduled_decisions<S: Strategy>(
decision_index,
data,
portfolio,
futures_account,
open_orders,
dynamic_universe,
subscriptions,
@@ -2025,6 +2096,7 @@ fn publish_phase_event<S: Strategy>(
decision_index: usize,
data: &crate::data::DataSet,
portfolio: &PortfolioState,
futures_account: Option<&FuturesAccountState>,
open_orders: &[crate::strategy::OpenOrderView],
dynamic_universe: Option<&BTreeSet<String>>,
subscriptions: &BTreeSet<String>,
@@ -2049,6 +2121,7 @@ fn publish_phase_event<S: Strategy>(
decision_index,
data,
portfolio,
futures_account,
open_orders,
dynamic_universe,
subscriptions,
@@ -2071,6 +2144,7 @@ fn publish_process_events<S: Strategy>(
decision_index: usize,
data: &crate::data::DataSet,
portfolio: &PortfolioState,
futures_account: Option<&FuturesAccountState>,
open_orders: &[crate::strategy::OpenOrderView],
dynamic_universe: Option<&BTreeSet<String>>,
subscriptions: &BTreeSet<String>,
@@ -2086,6 +2160,7 @@ fn publish_process_events<S: Strategy>(
decision_index,
data,
portfolio,
futures_account,
open_orders,
dynamic_universe,
subscriptions,
@@ -2109,6 +2184,7 @@ fn publish_custom_process_event<S: Strategy>(
decision_index: usize,
data: &crate::data::DataSet,
portfolio: &PortfolioState,
futures_account: Option<&FuturesAccountState>,
open_orders: &[crate::strategy::OpenOrderView],
dynamic_universe: Option<&BTreeSet<String>>,
subscriptions: &BTreeSet<String>,
@@ -2123,6 +2199,7 @@ fn publish_custom_process_event<S: Strategy>(
decision_index,
data,
portfolio,
futures_account,
open_orders,
dynamic_universe,
subscriptions,

6
crates/fidc-core/src/futures.rs
View File

@@ -353,6 +353,7 @@ impl FuturesPosition {
#[derive(Debug, Clone)]
pub struct FuturesAccountState {
starting_cash: f64,
total_cash: f64,
frozen_cash: f64,
positions: BTreeMap<(String, FuturesDirection), FuturesPosition>,
@@ -361,12 +362,17 @@ pub struct FuturesAccountState {
impl FuturesAccountState {
pub fn new(total_cash: f64) -> Self {
Self {
starting_cash: total_cash,
total_cash,
frozen_cash: 0.0,
positions: BTreeMap::new(),
}
}
pub fn starting_cash(&self) -> f64 {
self.starting_cash
}
pub fn total_cash(&self) -> f64 {
self.total_cash
}

13
crates/fidc-core/src/platform_expr_strategy.rs
View File

@@ -4072,6 +4072,7 @@ mod tests {
decision_index: 0,
data: &data,
portfolio: &portfolio,
futures_account: None,
open_orders: &[],
dynamic_universe: None,
subscriptions: &subscriptions,
@@ -4231,6 +4232,7 @@ mod tests {
decision_index: 0,
data: &data,
portfolio: &portfolio,
futures_account: None,
open_orders: &[],
dynamic_universe: None,
subscriptions: &subscriptions,
@@ -4349,6 +4351,7 @@ mod tests {
decision_index: 0,
data: &data,
portfolio: &portfolio,
futures_account: None,
open_orders: &[],
dynamic_universe: None,
subscriptions: &subscriptions,
@@ -4472,6 +4475,7 @@ mod tests {
decision_index: 0,
data: &data,
portfolio: &portfolio,
futures_account: None,
open_orders: &[],
dynamic_universe: None,
subscriptions: &subscriptions,
@@ -4578,6 +4582,7 @@ mod tests {
decision_index: 0,
data: &data,
portfolio: &portfolio,
futures_account: None,
open_orders: &[],
dynamic_universe: None,
subscriptions: &subscriptions,
@@ -4679,6 +4684,7 @@ mod tests {
decision_index: 0,
data: &data,
portfolio: &portfolio,
futures_account: None,
open_orders: &[],
dynamic_universe: None,
subscriptions: &subscriptions,
@@ -4798,6 +4804,7 @@ mod tests {
decision_index: 0,
data: &data,
portfolio: &portfolio,
futures_account: None,
open_orders: &[],
dynamic_universe: None,
subscriptions: &subscriptions,
@@ -4920,6 +4927,7 @@ mod tests {
decision_index: 0,
data: &data,
portfolio: &portfolio,
futures_account: None,
open_orders: &[],
dynamic_universe: None,
subscriptions: &subscriptions,
@@ -5047,6 +5055,7 @@ mod tests {
decision_index: 0,
data: &data,
portfolio: &portfolio,
futures_account: None,
open_orders: &open_orders,
dynamic_universe: None,
subscriptions: &subscriptions,
@@ -5184,6 +5193,7 @@ mod tests {
decision_index: 0,
data: &data,
portfolio: &portfolio,
futures_account: None,
open_orders: &open_orders,
dynamic_universe: None,
subscriptions: &subscriptions,
@@ -5293,6 +5303,7 @@ mod tests {
decision_index: 0,
data: &data,
portfolio: &portfolio,
futures_account: None,
open_orders: &[],
dynamic_universe: None,
subscriptions: &subscriptions,
@@ -5430,6 +5441,7 @@ mod tests {
decision_index: 0,
data: &data,
portfolio: &portfolio,
futures_account: None,
open_orders: &[],
dynamic_universe: None,
subscriptions: &subscriptions,
@@ -5548,6 +5560,7 @@ mod tests {
decision_index: 0,
data: &data,
portfolio: &portfolio,
futures_account: None,
open_orders: &[],
dynamic_universe: None,
subscriptions: &subscriptions,

50
crates/fidc-core/src/strategy.rs
View File

@@ -10,6 +10,7 @@ use crate::cost::ChinaAShareCostModel;
use crate::data::{DailyMarketSnapshot, DataSet, IntradayExecutionQuote, PriceBar, PriceField};
use crate::engine::BacktestError;
use crate::events::{FillEvent, OrderEvent, OrderSide, OrderStatus, ProcessEvent};
use crate::futures::FuturesAccountState;
use crate::instrument::Instrument;
use crate::portfolio::PortfolioState;
use crate::scheduler::ScheduleRule;
@@ -133,6 +134,7 @@ pub struct StrategyContext<'a> {
pub decision_index: usize,
pub data: &'a DataSet,
pub portfolio: &'a PortfolioState,
pub futures_account: Option<&'a FuturesAccountState>,
pub open_orders: &'a [OpenOrderView],
pub dynamic_universe: Option<&'a BTreeSet<String>>,
pub subscriptions: &'a BTreeSet<String>,
@@ -393,19 +395,55 @@ impl StrategyContext<'_> {
}
pub fn future_account(&self) -> Option<PortfolioRuntimeView> {
None
self.futures_account.map(|account| {
let starting_cash = account.starting_cash();
let total_value = account.total_value();
let daily_pnl = account.daily_pnl();
let static_base = total_value - daily_pnl;
let unit_net_value = safe_ratio(total_value, starting_cash);
let static_unit_net_value = safe_ratio(static_base, starting_cash);
PortfolioRuntimeView {
account_type: "FUTURE",
starting_cash,
units: 1.0,
cash: account.cash(),
available_cash: account.cash(),
frozen_cash: account.frozen_cash(),
market_value: account.market_value(),
total_value,
portfolio_value: total_value,
total_equity: total_value,
unit_net_value,
static_unit_net_value,
daily_pnl,
daily_returns: safe_ratio(daily_pnl, static_base),
total_returns: safe_ratio(total_value - starting_cash, starting_cash),
transaction_cost: account.transaction_cost(),
trading_pnl: account.trading_pnl(),
position_pnl: account.position_pnl(),
cash_liabilities: 0.0,
management_fee_rate: 0.0,
management_fees: 0.0,
}
})
}
pub fn account_by_type(&self, account_type: &str) -> Option<PortfolioRuntimeView> {
if account_type.eq_ignore_ascii_case("STOCK") {
Some(self.stock_account())
} else if account_type.eq_ignore_ascii_case("FUTURE") {
self.future_account()
} else {
None
}
}
pub fn accounts(&self) -> BTreeMap<String, PortfolioRuntimeView> {
BTreeMap::from([("STOCK".to_string(), self.stock_account())])
let mut accounts = BTreeMap::from([("STOCK".to_string(), self.stock_account())]);
if let Some(future_account) = self.future_account() {
accounts.insert("FUTURE".to_string(), future_account);
}
accounts
}
pub fn frozen_cash(&self) -> f64 {
@@ -673,6 +711,14 @@ impl StrategyContext<'_> {
}
}
fn safe_ratio(numerator: f64, denominator: f64) -> f64 {
if denominator.abs() <= f64::EPSILON {
0.0
} else {
numerator / denominator
}
}
#[derive(Debug, Clone, Default)]
pub struct StrategyDecision {
pub rebalance: bool,

41
crates/fidc-core/tests/engine_hooks.rs
View File

@@ -6,9 +6,10 @@ use chrono::{NaiveDate, NaiveDateTime};
use fidc_core::{
BacktestConfig, BacktestEngine, BenchmarkSnapshot, BrokerSimulator, CandidateEligibility,
ChinaAShareCostModel, ChinaEquityRuleHooks, DailyFactorSnapshot, DailyMarketSnapshot, DataSet,
Instrument, IntradayExecutionQuote, OpenOrderView, OrderIntent, OrderSide, OrderStatus,
PortfolioState, PriceField, ProcessEventKind, ScheduleRule, ScheduleStage, ScheduleTimeRule,
Strategy, StrategyContext, StrategyDecision,
FuturesAccountState, FuturesContractSpec, FuturesDirection, Instrument, IntradayExecutionQuote,
OpenOrderView, OrderIntent, OrderSide, OrderStatus, PortfolioState, PriceField,
ProcessEventKind, ScheduleRule, ScheduleStage, ScheduleTimeRule, Strategy, StrategyContext,
StrategyDecision,
};
fn d(year: i32, month: u32, day: u32) -> NaiveDate {
@@ -1330,6 +1331,7 @@ fn strategy_context_exposes_rqalpha_style_account_runtime_view() {
decision_index: 0,
data: &data,
portfolio: &portfolio,
futures_account: None,
open_orders: &open_orders,
dynamic_universe: None,
subscriptions: &subscriptions,
@@ -1358,6 +1360,39 @@ fn strategy_context_exposes_rqalpha_style_account_runtime_view() {
ctx.accounts().keys().cloned().collect::<Vec<_>>(),
vec!["STOCK".to_string()]
);
let spec = FuturesContractSpec::new(300.0, 0.12, 0.14);
let mut futures_account = FuturesAccountState::new(500_000.0);
futures_account.open("IF2501", FuturesDirection::Long, spec, 2, 4000.0, 12.0);
futures_account.mark_price("IF2501", FuturesDirection::Long, 4010.0);
let future_ctx = StrategyContext {
execution_date: date,
decision_date: date,
decision_index: 0,
data: &data,
portfolio: &portfolio,
futures_account: Some(&futures_account),
open_orders: &open_orders,
dynamic_universe: None,
subscriptions: &subscriptions,
process_events: &[],
active_process_event: None,
active_datetime: None,
order_events: &[],
fills: &[],
};
let future_account = future_ctx.future_account().expect("future account");
assert_eq!(future_account.account_type, "FUTURE");
assert!((future_account.starting_cash - 500_000.0).abs() < 1e-6);
assert!((future_account.cash - 211_268.0).abs() < 1e-6);
assert!((future_account.market_value - 2_406_000.0).abs() < 1e-6);
assert!((future_account.total_value - 505_988.0).abs() < 1e-6);
assert!((future_ctx.account_by_type("future").unwrap().cash - 211_268.0).abs() < 1e-6);
assert_eq!(
future_ctx.accounts().keys().cloned().collect::<Vec<_>>(),
vec!["FUTURE".to_string(), "STOCK".to_string()]
);
}
#[test]

2
crates/fidc-core/tests/strategy_selection.rs
View File

@@ -27,6 +27,7 @@ fn strategy_emits_target_weights_and_diagnostics() {
decision_index: 0,
data: &data,
portfolio: &portfolio,
futures_account: None,
open_orders: &[],
dynamic_universe: None,
subscriptions: &subscriptions,
@@ -73,6 +74,7 @@ fn jq_strategy_emits_same_day_decision() {
decision_index: 0,
data: &data,
portfolio: &portfolio,
futures_account: None,
open_orders: &[],
dynamic_universe: None,
subscriptions: &subscriptions,

11
docs/rqalpha-gap-roadmap.md
View File

@@ -89,7 +89,10 @@ current alignment pass.
margin, daily mark-to-market settlement, and short close cashflow
- [x] standalone futures order execution model with open, close, close-today,
close-yesterday, margin rejection, order/fill/position/account events
- [ ] wire futures account into the generic backtest engine runtime
- [x] wire futures account runtime view into `BacktestEngine` and
`StrategyContext` (`future_account`, `account_by_type("FUTURE")`,
`accounts`)
- [ ] wire futures order intents into the generic `BacktestEngine` execution loop
- [ ] futures intraday matching integration and expiration settlement
## Execution Order
@@ -109,6 +112,6 @@ current alignment pass.
Active implementation target: continue account parity after exposing the stock
account runtime view, core Portfolio fields, deposit/withdraw, financing
liability APIs, management-fee callbacks, stock account accessors, and the
standalone futures account/order execution model; next gap is wiring futures
into the generic engine runtime and adding futures intraday/expiration
semantics.
standalone futures account/order execution model plus generic engine runtime
account visibility; next gap is wiring futures order intents into the generic
engine execution loop and adding futures intraday/expiration semantics.