修复 AiQuant 微盘回测撮合语义
This commit is contained in:
boris
@@ -7,6 +7,108 @@ use fidc_core::{
|
||||
};
|
||||
use std::collections::{BTreeMap, BTreeSet};
|
||||
|
||||
fn order_value_rounding_data(date: NaiveDate, symbol: &str, price: f64) -> DataSet {
|
||||
DataSet::from_components(
|
||||
vec![Instrument {
|
||||
symbol: symbol.to_string(),
|
||||
name: "Test".to_string(),
|
||||
board: "SZ".to_string(),
|
||||
round_lot: 100,
|
||||
listed_at: None,
|
||||
delisted_at: None,
|
||||
status: "active".to_string(),
|
||||
}],
|
||||
vec![DailyMarketSnapshot {
|
||||
date,
|
||||
symbol: symbol.to_string(),
|
||||
timestamp: Some(format!("{date} 09:33:00")),
|
||||
day_open: price,
|
||||
open: price,
|
||||
high: price,
|
||||
low: price,
|
||||
close: price,
|
||||
last_price: price,
|
||||
bid1: price,
|
||||
ask1: price,
|
||||
prev_close: price,
|
||||
volume: 100_000,
|
||||
tick_volume: 100_000,
|
||||
bid1_volume: 80_000,
|
||||
ask1_volume: 80_000,
|
||||
trading_phase: Some("continuous".to_string()),
|
||||
paused: false,
|
||||
upper_limit: price * 1.1,
|
||||
lower_limit: price * 0.9,
|
||||
price_tick: 0.01,
|
||||
}],
|
||||
vec![DailyFactorSnapshot {
|
||||
date,
|
||||
symbol: symbol.to_string(),
|
||||
market_cap_bn: 50.0,
|
||||
free_float_cap_bn: 45.0,
|
||||
pe_ttm: 15.0,
|
||||
turnover_ratio: Some(2.0),
|
||||
effective_turnover_ratio: Some(1.8),
|
||||
extra_factors: BTreeMap::new(),
|
||||
}],
|
||||
vec![CandidateEligibility {
|
||||
date,
|
||||
symbol: symbol.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: "000300.SH".to_string(),
|
||||
open: 100.0,
|
||||
close: 100.0,
|
||||
prev_close: 99.0,
|
||||
volume: 1_000_000,
|
||||
}],
|
||||
)
|
||||
.expect("dataset")
|
||||
}
|
||||
|
||||
fn execute_single_value_order(
|
||||
date: NaiveDate,
|
||||
data: &DataSet,
|
||||
symbol: &str,
|
||||
value: f64,
|
||||
) -> (PortfolioState, fidc_core::BrokerExecutionReport) {
|
||||
let mut portfolio = PortfolioState::new(20_000.0);
|
||||
let broker = BrokerSimulator::new_with_execution_price(
|
||||
ChinaAShareCostModel::default(),
|
||||
ChinaEquityRuleHooks::default(),
|
||||
PriceField::Open,
|
||||
)
|
||||
.with_strict_value_budget(true);
|
||||
let report = broker
|
||||
.execute(
|
||||
date,
|
||||
&mut portfolio,
|
||||
data,
|
||||
&StrategyDecision {
|
||||
rebalance: false,
|
||||
target_weights: BTreeMap::new(),
|
||||
exit_symbols: BTreeSet::new(),
|
||||
order_intents: vec![OrderIntent::Value {
|
||||
symbol: symbol.to_string(),
|
||||
value,
|
||||
reason: "test_order_value_rounding".to_string(),
|
||||
}],
|
||||
notes: Vec::new(),
|
||||
diagnostics: Vec::new(),
|
||||
},
|
||||
)
|
||||
.expect("broker execution");
|
||||
(portfolio, report)
|
||||
}
|
||||
|
||||
#[test]
|
||||
fn broker_executes_explicit_order_value_buy() {
|
||||
let date = NaiveDate::from_ymd_opt(2024, 1, 10).unwrap();
|
||||
@@ -122,6 +224,31 @@ fn broker_executes_explicit_order_value_buy() {
|
||||
assert!(portfolio.cash() < 1_000_000.0);
|
||||
}
|
||||
|
||||
#[test]
|
||||
fn broker_order_value_rounds_to_nearest_lot_when_min_lot_is_affordable() {
|
||||
let date = NaiveDate::from_ymd_opt(2025, 1, 24).unwrap();
|
||||
let symbol = "003017.SZ";
|
||||
let data = order_value_rounding_data(date, symbol, 19.97);
|
||||
|
||||
let (portfolio, report) = execute_single_value_order(date, &data, symbol, 3_938.13);
|
||||
|
||||
assert_eq!(report.fill_events.len(), 1);
|
||||
assert_eq!(report.fill_events[0].quantity, 200);
|
||||
assert_eq!(portfolio.position(symbol).expect("position").quantity, 200);
|
||||
}
|
||||
|
||||
#[test]
|
||||
fn broker_order_value_skips_when_one_lot_exceeds_budget() {
|
||||
let date = NaiveDate::from_ymd_opt(2025, 1, 2).unwrap();
|
||||
let symbol = "300321.SZ";
|
||||
let data = order_value_rounding_data(date, symbol, 20.38);
|
||||
|
||||
let (portfolio, report) = execute_single_value_order(date, &data, symbol, 2_000.0);
|
||||
|
||||
assert!(report.fill_events.is_empty());
|
||||
assert!(portfolio.position(symbol).is_none());
|
||||
}
|
||||
|
||||
#[test]
|
||||
fn broker_executes_order_shares_and_order_lots() {
|
||||
let date = NaiveDate::from_ymd_opt(2024, 1, 10).unwrap();
|
||||
@@ -1438,6 +1565,121 @@ fn broker_rejects_intraday_last_order_without_execution_quotes() {
|
||||
assert!(portfolio.position("000002.SZ").is_none());
|
||||
}
|
||||
|
||||
#[test]
|
||||
fn broker_executes_intraday_last_on_start_quote_without_trade_delta() {
|
||||
let date = NaiveDate::from_ymd_opt(2024, 1, 10).unwrap();
|
||||
let data = DataSet::from_components_with_actions_and_quotes(
|
||||
vec![Instrument {
|
||||
symbol: "000002.SZ".to_string(),
|
||||
name: "Test".to_string(),
|
||||
board: "SZ".to_string(),
|
||||
round_lot: 100,
|
||||
listed_at: None,
|
||||
delisted_at: None,
|
||||
status: "active".to_string(),
|
||||
}],
|
||||
vec![DailyMarketSnapshot {
|
||||
date,
|
||||
symbol: "000002.SZ".to_string(),
|
||||
timestamp: Some("2024-01-10 09:33:00".to_string()),
|
||||
day_open: 15.0,
|
||||
open: 15.0,
|
||||
high: 15.5,
|
||||
low: 14.8,
|
||||
close: 15.2,
|
||||
last_price: 15.2,
|
||||
bid1: 15.19,
|
||||
ask1: 15.21,
|
||||
prev_close: 15.0,
|
||||
volume: 100_000,
|
||||
tick_volume: 100_000,
|
||||
bid1_volume: 80_000,
|
||||
ask1_volume: 80_000,
|
||||
trading_phase: Some("continuous".to_string()),
|
||||
paused: false,
|
||||
upper_limit: 16.5,
|
||||
lower_limit: 13.5,
|
||||
price_tick: 0.01,
|
||||
}],
|
||||
vec![DailyFactorSnapshot {
|
||||
date,
|
||||
symbol: "000002.SZ".to_string(),
|
||||
market_cap_bn: 50.0,
|
||||
free_float_cap_bn: 45.0,
|
||||
pe_ttm: 15.0,
|
||||
turnover_ratio: Some(2.0),
|
||||
effective_turnover_ratio: Some(1.8),
|
||||
extra_factors: BTreeMap::new(),
|
||||
}],
|
||||
vec![CandidateEligibility {
|
||||
date,
|
||||
symbol: "000002.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: "000300.SH".to_string(),
|
||||
open: 100.0,
|
||||
close: 100.0,
|
||||
prev_close: 99.0,
|
||||
volume: 1_000_000,
|
||||
}],
|
||||
Vec::new(),
|
||||
vec![IntradayExecutionQuote {
|
||||
date,
|
||||
symbol: "000002.SZ".to_string(),
|
||||
timestamp: date.and_hms_opt(9, 33, 0).unwrap(),
|
||||
last_price: 15.2,
|
||||
bid1: 15.19,
|
||||
ask1: 15.21,
|
||||
bid1_volume: 8,
|
||||
ask1_volume: 8,
|
||||
volume_delta: 0,
|
||||
amount_delta: 0.0,
|
||||
trading_phase: Some("continuous".to_string()),
|
||||
}],
|
||||
)
|
||||
.expect("dataset");
|
||||
let mut portfolio = PortfolioState::new(1_000_000.0);
|
||||
let broker = BrokerSimulator::new_with_execution_price(
|
||||
ChinaAShareCostModel::default(),
|
||||
ChinaEquityRuleHooks::default(),
|
||||
PriceField::Last,
|
||||
)
|
||||
.with_intraday_execution_start_time(chrono::NaiveTime::from_hms_opt(9, 33, 0).unwrap());
|
||||
|
||||
let report = broker
|
||||
.execute(
|
||||
date,
|
||||
&mut portfolio,
|
||||
&data,
|
||||
&StrategyDecision {
|
||||
rebalance: false,
|
||||
target_weights: BTreeMap::new(),
|
||||
exit_symbols: BTreeSet::new(),
|
||||
order_intents: vec![OrderIntent::Value {
|
||||
symbol: "000002.SZ".to_string(),
|
||||
value: 4_000.0,
|
||||
reason: "start_quote".to_string(),
|
||||
}],
|
||||
notes: Vec::new(),
|
||||
diagnostics: Vec::new(),
|
||||
},
|
||||
)
|
||||
.expect("broker execution");
|
||||
|
||||
assert_eq!(report.fill_events.len(), 1);
|
||||
assert_eq!(report.fill_events[0].quantity, 200);
|
||||
assert!((report.fill_events[0].price - 15.2).abs() < 1e-9);
|
||||
assert_eq!(report.order_events[0].status, OrderStatus::Filled);
|
||||
}
|
||||
|
||||
#[test]
|
||||
fn broker_cancels_market_order_remainder_when_intraday_quote_liquidity_exhausted() {
|
||||
let date = NaiveDate::from_ymd_opt(2024, 1, 10).unwrap();
|
||||
|
||||
Reference in New Issue
Block a user