Add futures exchange validators
This commit is contained in:
boris
@@ -8,10 +8,10 @@ use fidc_core::{
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BenchmarkSnapshot, BrokerSimulator, CandidateEligibility, ChinaAShareCostModel,
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ChinaEquityRuleHooks, DailyFactorSnapshot, DailyMarketSnapshot, DataSet, FuturesAccountState,
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FuturesCommissionType, FuturesContractSpec, FuturesDirection, FuturesOrderIntent,
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FuturesTradingParameter, Instrument, IntradayExecutionQuote, IntradayOrderBookDepthLevel,
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MatchingType, OpenOrderView, OrderIntent, OrderSide, OrderStatus, PortfolioState, PriceField,
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ProcessEvent, ProcessEventBus, ProcessEventKind, ScheduleRule, ScheduleStage, ScheduleTimeRule,
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Strategy, StrategyContext, StrategyDecision,
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FuturesTradingParameter, FuturesValidationConfig, Instrument, IntradayExecutionQuote,
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IntradayOrderBookDepthLevel, MatchingType, OpenOrderView, OrderIntent, OrderSide, OrderStatus,
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PortfolioState, PriceField, ProcessEvent, ProcessEventBus, ProcessEventKind, ScheduleRule,
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ScheduleStage, ScheduleTimeRule, Strategy, StrategyContext, StrategyDecision,
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};
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fn d(year: i32, month: u32, day: u32) -> NaiveDate {
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@@ -408,6 +408,99 @@ impl Strategy for FuturesLimitOrderStrategy {
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}
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}
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struct FuturesInvalidTickLimitStrategy;
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impl Strategy for FuturesInvalidTickLimitStrategy {
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fn name(&self) -> &str {
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"futures-invalid-tick-limit"
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}
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fn on_day(
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&mut self,
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ctx: &StrategyContext<'_>,
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) -> Result<StrategyDecision, fidc_core::BacktestError> {
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if ctx.execution_date != d(2025, 1, 2) {
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return Ok(StrategyDecision::default());
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}
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Ok(StrategyDecision {
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order_intents: vec![OrderIntent::Futures {
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intent: FuturesOrderIntent::limit_open(
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"IF2501",
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FuturesDirection::Long,
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FuturesContractSpec::new(1.0, 0.0, 0.0),
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1,
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3988.13,
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0.0,
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"bad tick limit",
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),
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}],
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..StrategyDecision::default()
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})
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}
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}
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struct FuturesClosedPhaseOrderStrategy;
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impl Strategy for FuturesClosedPhaseOrderStrategy {
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fn name(&self) -> &str {
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"futures-closed-phase-order"
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}
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fn on_day(
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&mut self,
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ctx: &StrategyContext<'_>,
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) -> Result<StrategyDecision, fidc_core::BacktestError> {
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if ctx.execution_date != d(2025, 1, 2) {
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return Ok(StrategyDecision::default());
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}
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Ok(StrategyDecision {
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order_intents: vec![OrderIntent::Futures {
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intent: FuturesOrderIntent::open(
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"IF2501",
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FuturesDirection::Long,
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FuturesContractSpec::new(1.0, 0.0, 0.0),
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1,
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4000.0,
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0.0,
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"closed phase order",
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),
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}],
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..StrategyDecision::default()
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})
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}
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}
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struct FuturesAboveUpperLimitStrategy;
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impl Strategy for FuturesAboveUpperLimitStrategy {
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fn name(&self) -> &str {
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"futures-above-upper-limit"
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}
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fn on_day(
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&mut self,
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ctx: &StrategyContext<'_>,
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) -> Result<StrategyDecision, fidc_core::BacktestError> {
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if ctx.execution_date != d(2025, 1, 2) {
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return Ok(StrategyDecision::default());
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}
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Ok(StrategyDecision {
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order_intents: vec![OrderIntent::Futures {
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intent: FuturesOrderIntent::limit_open(
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"IF2501",
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FuturesDirection::Long,
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FuturesContractSpec::new(1.0, 0.0, 0.0),
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1,
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5000.0,
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0.0,
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"outside upper limit",
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),
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}],
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..StrategyDecision::default()
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})
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}
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}
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struct FuturesDepthLimitOrderStrategy;
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impl Strategy for FuturesDepthLimitOrderStrategy {
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@@ -1431,6 +1524,190 @@ fn engine_matches_pending_futures_limit_order_with_data_driven_costs() {
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assert!((position.contract_multiplier - 300.0).abs() < 1e-6);
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}
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#[test]
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fn engine_rejects_futures_limit_orders_not_aligned_to_tick() {
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let broker = BrokerSimulator::new_with_execution_price(
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ChinaAShareCostModel::default(),
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ChinaEquityRuleHooks::default(),
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PriceField::Open,
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);
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let mut engine = BacktestEngine::new(
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two_day_futures_data(),
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FuturesInvalidTickLimitStrategy,
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broker,
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BacktestConfig {
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initial_cash: 100_000.0,
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benchmark_code: "000300.SH".to_string(),
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start_date: Some(d(2025, 1, 2)),
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end_date: Some(d(2025, 1, 2)),
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decision_lag_trading_days: 0,
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execution_price_field: PriceField::Open,
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},
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)
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.with_futures_initial_cash(1_000_000.0);
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let result = engine.run().expect("backtest succeeds");
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assert!(result.order_events.iter().any(|event| {
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event.symbol == "IF2501"
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&& event.status == OrderStatus::Rejected
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&& event.reason.contains("not aligned to tick")
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}));
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}
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#[test]
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fn engine_allows_disabling_futures_limit_tick_validation() {
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let broker = BrokerSimulator::new_with_execution_price(
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ChinaAShareCostModel::default(),
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ChinaEquityRuleHooks::default(),
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PriceField::Open,
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);
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let mut engine = BacktestEngine::new(
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two_day_futures_data(),
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FuturesInvalidTickLimitStrategy,
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broker,
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BacktestConfig {
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initial_cash: 100_000.0,
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benchmark_code: "000300.SH".to_string(),
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start_date: Some(d(2025, 1, 2)),
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end_date: Some(d(2025, 1, 3)),
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decision_lag_trading_days: 0,
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execution_price_field: PriceField::Open,
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},
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)
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.with_futures_initial_cash(1_000_000.0)
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.with_futures_validation_config(FuturesValidationConfig {
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enforce_limit_price_tick: false,
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..FuturesValidationConfig::default()
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});
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let result = engine.run().expect("backtest succeeds");
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assert!(
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result
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.order_events
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.iter()
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.any(|event| event.symbol == "IF2501" && event.status == OrderStatus::Pending)
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);
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assert!(result.order_events.iter().any(|event| {
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event.symbol == "IF2501"
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&& event.status == OrderStatus::Filled
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&& event.filled_quantity == 1
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}));
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let fill = result
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.fills
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.iter()
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.find(|fill| fill.symbol == "IF2501")
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.expect("futures fill");
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assert!((fill.price - 3988.0).abs() < 1e-6);
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}
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#[test]
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fn engine_rejects_futures_limit_orders_outside_price_limits() {
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let broker = BrokerSimulator::new_with_execution_price(
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ChinaAShareCostModel::default(),
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ChinaEquityRuleHooks::default(),
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PriceField::Open,
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);
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let mut engine = BacktestEngine::new(
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two_day_futures_data(),
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FuturesAboveUpperLimitStrategy,
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broker,
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BacktestConfig {
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initial_cash: 100_000.0,
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benchmark_code: "000300.SH".to_string(),
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start_date: Some(d(2025, 1, 2)),
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end_date: Some(d(2025, 1, 2)),
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decision_lag_trading_days: 0,
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execution_price_field: PriceField::Open,
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},
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)
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.with_futures_initial_cash(1_000_000.0);
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let result = engine.run().expect("backtest succeeds");
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assert!(result.order_events.iter().any(|event| {
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event.symbol == "IF2501"
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&& event.status == OrderStatus::Rejected
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&& event.reason.contains("above upper limit")
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}));
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}
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#[test]
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fn engine_rejects_futures_orders_when_trading_phase_is_closed() {
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let date = d(2025, 1, 2);
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let mut future_market = market_row(date, "IF2501", 4000.0, 4000.0);
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future_market.trading_phase = Some("closed".to_string());
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let data = DataSet::from_components_with_actions_quotes_and_futures(
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vec![
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Instrument {
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symbol: "000001.SZ".to_string(),
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name: "Anchor".to_string(),
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board: "SZ".to_string(),
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round_lot: 100,
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listed_at: Some(d(2020, 1, 1)),
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delisted_at: None,
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status: "active".to_string(),
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},
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Instrument {
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symbol: "IF2501".to_string(),
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name: "IF".to_string(),
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board: "FUTURE".to_string(),
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round_lot: 1,
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listed_at: Some(d(2024, 1, 1)),
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delisted_at: None,
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status: "active".to_string(),
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},
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],
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vec![market_row(date, "000001.SZ", 10.0, 10.0), future_market],
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vec![factor_row(date, "000001.SZ", BTreeMap::new())],
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vec![candidate_row(date, "000001.SZ")],
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vec![benchmark_row(date)],
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Vec::new(),
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Vec::new(),
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vec![FuturesTradingParameter {
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symbol: "IF2501".to_string(),
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effective_date: Some(date),
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contract_multiplier: 300.0,
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long_margin_rate: 0.12,
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short_margin_rate: 0.14,
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commission_type: FuturesCommissionType::ByVolume,
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open_commission_ratio: 2.5,
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close_commission_ratio: 2.0,
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close_today_commission_ratio: 3.0,
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price_tick: 0.2,
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}],
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)
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.expect("futures dataset");
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let broker = BrokerSimulator::new_with_execution_price(
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ChinaAShareCostModel::default(),
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ChinaEquityRuleHooks::default(),
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PriceField::Open,
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);
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let mut engine = BacktestEngine::new(
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data,
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FuturesClosedPhaseOrderStrategy,
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broker,
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BacktestConfig {
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initial_cash: 100_000.0,
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benchmark_code: "000300.SH".to_string(),
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start_date: Some(date),
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end_date: Some(date),
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decision_lag_trading_days: 0,
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execution_price_field: PriceField::Open,
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},
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)
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.with_futures_initial_cash(1_000_000.0);
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let result = engine.run().expect("backtest succeeds");
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assert!(result.order_events.iter().any(|event| {
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event.symbol == "IF2501"
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&& event.status == OrderStatus::Rejected
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&& event.reason.contains("trading phase")
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}));
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}
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#[test]
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fn engine_sweeps_futures_order_book_depth_when_available() {
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let date = d(2025, 1, 2);
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