Add rqalpha-style scheduler primitives
This commit is contained in:
boris
@@ -6,7 +6,8 @@ use chrono::NaiveDate;
|
||||
use fidc_core::{
|
||||
BacktestConfig, BacktestEngine, BenchmarkSnapshot, BrokerSimulator, CandidateEligibility,
|
||||
ChinaAShareCostModel, ChinaEquityRuleHooks, DailyFactorSnapshot, DailyMarketSnapshot, DataSet,
|
||||
Instrument, PriceField, Strategy, StrategyContext, StrategyDecision,
|
||||
Instrument, PriceField, ScheduleRule, ScheduleStage, Strategy, StrategyContext,
|
||||
StrategyDecision,
|
||||
};
|
||||
|
||||
fn d(year: i32, month: u32, day: u32) -> NaiveDate {
|
||||
@@ -115,6 +116,42 @@ impl Strategy for AuctionOrderStrategy {
|
||||
}
|
||||
}
|
||||
|
||||
struct ScheduledProbeStrategy {
|
||||
log: Rc<RefCell<Vec<String>>>,
|
||||
}
|
||||
|
||||
impl Strategy for ScheduledProbeStrategy {
|
||||
fn name(&self) -> &str {
|
||||
"scheduled-probe"
|
||||
}
|
||||
|
||||
fn schedule_rules(&self) -> Vec<ScheduleRule> {
|
||||
vec![
|
||||
ScheduleRule::daily("daily_auction", ScheduleStage::OpenAuction),
|
||||
ScheduleRule::weekly_by_weekday("friday_on_day", 5, ScheduleStage::OnDay),
|
||||
ScheduleRule::monthly("first_trading_day_on_day", 1, ScheduleStage::OnDay),
|
||||
]
|
||||
}
|
||||
|
||||
fn on_scheduled(
|
||||
&mut self,
|
||||
ctx: &StrategyContext<'_>,
|
||||
rule: &ScheduleRule,
|
||||
) -> Result<StrategyDecision, fidc_core::BacktestError> {
|
||||
self.log
|
||||
.borrow_mut()
|
||||
.push(format!("scheduled:{}:{}", rule.name, ctx.execution_date));
|
||||
Ok(StrategyDecision::default())
|
||||
}
|
||||
|
||||
fn on_day(
|
||||
&mut self,
|
||||
_ctx: &StrategyContext<'_>,
|
||||
) -> Result<StrategyDecision, fidc_core::BacktestError> {
|
||||
Ok(StrategyDecision::default())
|
||||
}
|
||||
}
|
||||
|
||||
#[test]
|
||||
fn engine_runs_strategy_hooks_in_daily_order() {
|
||||
let date1 = d(2025, 1, 2);
|
||||
@@ -381,3 +418,221 @@ fn engine_executes_open_auction_decisions_before_on_day() {
|
||||
assert_eq!(result.fills[0].reason, "auction_buy");
|
||||
assert_eq!(result.fills[0].quantity, 100);
|
||||
}
|
||||
|
||||
#[test]
|
||||
fn engine_runs_scheduled_rules_for_daily_weekly_and_monthly_triggers() {
|
||||
let date1 = d(2025, 1, 30);
|
||||
let date2 = d(2025, 1, 31);
|
||||
let date3 = d(2025, 2, 3);
|
||||
let data = DataSet::from_components(
|
||||
vec![Instrument {
|
||||
symbol: "000001.SZ".to_string(),
|
||||
name: "Anchor".to_string(),
|
||||
board: "SZ".to_string(),
|
||||
round_lot: 100,
|
||||
listed_at: Some(d(2020, 1, 1)),
|
||||
delisted_at: None,
|
||||
status: "active".to_string(),
|
||||
}],
|
||||
vec![
|
||||
DailyMarketSnapshot {
|
||||
date: date1,
|
||||
symbol: "000001.SZ".to_string(),
|
||||
timestamp: Some("2025-01-30 09:25:00".to_string()),
|
||||
day_open: 10.0,
|
||||
open: 10.0,
|
||||
high: 10.1,
|
||||
low: 9.9,
|
||||
close: 10.0,
|
||||
last_price: 10.0,
|
||||
bid1: 10.0,
|
||||
ask1: 10.0,
|
||||
prev_close: 9.9,
|
||||
volume: 100_000,
|
||||
tick_volume: 100_000,
|
||||
bid1_volume: 100_000,
|
||||
ask1_volume: 100_000,
|
||||
trading_phase: Some("open_auction".to_string()),
|
||||
paused: false,
|
||||
upper_limit: 11.0,
|
||||
lower_limit: 9.0,
|
||||
price_tick: 0.01,
|
||||
},
|
||||
DailyMarketSnapshot {
|
||||
date: date2,
|
||||
symbol: "000001.SZ".to_string(),
|
||||
timestamp: Some("2025-01-31 09:25:00".to_string()),
|
||||
day_open: 10.1,
|
||||
open: 10.1,
|
||||
high: 10.2,
|
||||
low: 10.0,
|
||||
close: 10.1,
|
||||
last_price: 10.1,
|
||||
bid1: 10.1,
|
||||
ask1: 10.1,
|
||||
prev_close: 10.0,
|
||||
volume: 110_000,
|
||||
tick_volume: 110_000,
|
||||
bid1_volume: 110_000,
|
||||
ask1_volume: 110_000,
|
||||
trading_phase: Some("open_auction".to_string()),
|
||||
paused: false,
|
||||
upper_limit: 11.1,
|
||||
lower_limit: 9.1,
|
||||
price_tick: 0.01,
|
||||
},
|
||||
DailyMarketSnapshot {
|
||||
date: date3,
|
||||
symbol: "000001.SZ".to_string(),
|
||||
timestamp: Some("2025-02-03 09:25:00".to_string()),
|
||||
day_open: 10.2,
|
||||
open: 10.2,
|
||||
high: 10.3,
|
||||
low: 10.1,
|
||||
close: 10.2,
|
||||
last_price: 10.2,
|
||||
bid1: 10.2,
|
||||
ask1: 10.2,
|
||||
prev_close: 10.1,
|
||||
volume: 120_000,
|
||||
tick_volume: 120_000,
|
||||
bid1_volume: 120_000,
|
||||
ask1_volume: 120_000,
|
||||
trading_phase: Some("open_auction".to_string()),
|
||||
paused: false,
|
||||
upper_limit: 11.2,
|
||||
lower_limit: 9.2,
|
||||
price_tick: 0.01,
|
||||
},
|
||||
],
|
||||
vec![
|
||||
DailyFactorSnapshot {
|
||||
date: date1,
|
||||
symbol: "000001.SZ".to_string(),
|
||||
market_cap_bn: 20.0,
|
||||
free_float_cap_bn: 18.0,
|
||||
pe_ttm: 10.0,
|
||||
turnover_ratio: Some(1.0),
|
||||
effective_turnover_ratio: Some(1.0),
|
||||
extra_factors: BTreeMap::new(),
|
||||
},
|
||||
DailyFactorSnapshot {
|
||||
date: date2,
|
||||
symbol: "000001.SZ".to_string(),
|
||||
market_cap_bn: 21.0,
|
||||
free_float_cap_bn: 19.0,
|
||||
pe_ttm: 10.0,
|
||||
turnover_ratio: Some(1.0),
|
||||
effective_turnover_ratio: Some(1.0),
|
||||
extra_factors: BTreeMap::new(),
|
||||
},
|
||||
DailyFactorSnapshot {
|
||||
date: date3,
|
||||
symbol: "000001.SZ".to_string(),
|
||||
market_cap_bn: 22.0,
|
||||
free_float_cap_bn: 20.0,
|
||||
pe_ttm: 10.0,
|
||||
turnover_ratio: Some(1.0),
|
||||
effective_turnover_ratio: Some(1.0),
|
||||
extra_factors: BTreeMap::new(),
|
||||
},
|
||||
],
|
||||
vec![
|
||||
CandidateEligibility {
|
||||
date: date1,
|
||||
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,
|
||||
},
|
||||
CandidateEligibility {
|
||||
date: date2,
|
||||
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,
|
||||
},
|
||||
CandidateEligibility {
|
||||
date: date3,
|
||||
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: date1,
|
||||
benchmark: "000300.SH".to_string(),
|
||||
open: 100.0,
|
||||
close: 100.0,
|
||||
prev_close: 99.0,
|
||||
volume: 1_000_000,
|
||||
},
|
||||
BenchmarkSnapshot {
|
||||
date: date2,
|
||||
benchmark: "000300.SH".to_string(),
|
||||
open: 101.0,
|
||||
close: 101.0,
|
||||
prev_close: 100.0,
|
||||
volume: 1_100_000,
|
||||
},
|
||||
BenchmarkSnapshot {
|
||||
date: date3,
|
||||
benchmark: "000300.SH".to_string(),
|
||||
open: 102.0,
|
||||
close: 102.0,
|
||||
prev_close: 101.0,
|
||||
volume: 1_200_000,
|
||||
},
|
||||
],
|
||||
)
|
||||
.expect("dataset");
|
||||
|
||||
let log = Rc::new(RefCell::new(Vec::new()));
|
||||
let strategy = ScheduledProbeStrategy { log: log.clone() };
|
||||
let broker = BrokerSimulator::new_with_execution_price(
|
||||
ChinaAShareCostModel::default(),
|
||||
ChinaEquityRuleHooks::default(),
|
||||
PriceField::DayOpen,
|
||||
);
|
||||
let mut engine = BacktestEngine::new(
|
||||
data,
|
||||
strategy,
|
||||
broker,
|
||||
BacktestConfig {
|
||||
initial_cash: 100_000.0,
|
||||
benchmark_code: "000300.SH".to_string(),
|
||||
start_date: Some(date1),
|
||||
end_date: Some(date3),
|
||||
decision_lag_trading_days: 0,
|
||||
execution_price_field: PriceField::DayOpen,
|
||||
},
|
||||
);
|
||||
|
||||
engine.run().expect("backtest run");
|
||||
|
||||
assert_eq!(
|
||||
log.borrow().as_slice(),
|
||||
[
|
||||
"scheduled:daily_auction:2025-01-30",
|
||||
"scheduled:first_trading_day_on_day:2025-01-30",
|
||||
"scheduled:daily_auction:2025-01-31",
|
||||
"scheduled:friday_on_day:2025-01-31",
|
||||
"scheduled:daily_auction:2025-02-03",
|
||||
"scheduled:first_trading_day_on_day:2025-02-03",
|
||||
]
|
||||
);
|
||||
}
|
||||
|
||||
Reference in New Issue
Block a user