From f4030f26071a934c790b0d1fcf63cf114ae93743 Mon Sep 17 00:00:00 2001 From: boris Date: Thu, 23 Apr 2026 19:43:36 -0700 Subject: [PATCH] Add instrument history helpers --- crates/fidc-core/src/data.rs | 15 ++++++++++ crates/fidc-core/src/instrument.rs | 6 ++++ crates/fidc-core/src/strategy.rs | 8 ++++++ crates/fidc-core/src/strategy_ai.rs | 1 + crates/fidc-core/tests/engine_hooks.rs | 38 ++++++++++++++++++-------- docs/rqalpha-gap-roadmap.md | 8 +++--- 6 files changed, 60 insertions(+), 16 deletions(-) diff --git a/crates/fidc-core/src/data.rs b/crates/fidc-core/src/data.rs index 46fe15e..477d469 100644 --- a/crates/fidc-core/src/data.rs +++ b/crates/fidc-core/src/data.rs @@ -802,6 +802,21 @@ impl DataSet { instruments } + pub fn instruments_history(&self, symbols: &[&str]) -> Vec<&Instrument> { + symbols + .iter() + .filter_map(|symbol| self.instruments.get(*symbol)) + .collect() + } + + pub fn active_instruments(&self, date: NaiveDate, symbols: &[&str]) -> Vec<&Instrument> { + symbols + .iter() + .filter_map(|symbol| self.instruments.get(*symbol)) + .filter(|instrument| instrument.is_active_on(date)) + .collect() + } + pub fn instrument(&self, symbol: &str) -> Option<&Instrument> { self.instruments.get(symbol) } diff --git a/crates/fidc-core/src/instrument.rs b/crates/fidc-core/src/instrument.rs index 05a64b4..e5c8372 100644 --- a/crates/fidc-core/src/instrument.rs +++ b/crates/fidc-core/src/instrument.rs @@ -39,6 +39,12 @@ impl Instrument { self.delisted_at .is_some_and(|delisted_at| delisted_at < date) } + + pub fn is_active_on(&self, date: NaiveDate) -> bool { + self.listed_at.is_none_or(|listed_at| listed_at <= date) + && !self.is_delisted_before(date) + && !self.status.eq_ignore_ascii_case("inactive") + } } fn default_status() -> String { diff --git a/crates/fidc-core/src/strategy.rs b/crates/fidc-core/src/strategy.rs index 4f8a020..b361125 100644 --- a/crates/fidc-core/src/strategy.rs +++ b/crates/fidc-core/src/strategy.rs @@ -269,6 +269,14 @@ impl StrategyContext<'_> { .collect() } + pub fn instruments_history(&self, symbols: &[&str]) -> Vec<&Instrument> { + self.data.instruments_history(symbols) + } + + pub fn active_instruments(&self, symbols: &[&str]) -> Vec<&Instrument> { + self.data.active_instruments(self.execution_date, symbols) + } + pub fn all_instruments(&self) -> Vec<&Instrument> { self.data.all_instruments() } diff --git a/crates/fidc-core/src/strategy_ai.rs b/crates/fidc-core/src/strategy_ai.rs index ff440c6..f4debe7 100644 --- a/crates/fidc-core/src/strategy_ai.rs +++ b/crates/fidc-core/src/strategy_ai.rs @@ -198,6 +198,7 @@ pub fn built_in_strategy_manual() -> StrategyAiManual { ManualFunction { name: "history_bars".to_string(), signature: "ctx.history_bars(symbol, count, \"1d\" | \"1m\" | \"tick\", \"close\", include_now)".to_string(), detail: "回测内核策略上下文数据 API，返回指定证券最近 N 条数值序列。日线字段支持 open/high/low/close/last/prev_close/volume/upper_limit/lower_limit；分钟或 tick 字段支持 last/bid1/ask1/volume_delta/amount_delta。日线 include_now=false 排除当前交易日；分钟/tick 会按当前 on_bar、on_tick 或调度时刻截断，include_now=false 排除当前 bar/tick，避免未来函数。".to_string() }, ManualFunction { name: "current_snapshot".to_string(), signature: "ctx.current_snapshot(symbol)".to_string(), detail: "读取当前交易日指定证券的日级快照，可用于获得当日 open/close/last/upper_limit/lower_limit 等字段。".to_string() }, ManualFunction { name: "instrument/instruments/all_instruments".to_string(), signature: "ctx.instrument(symbol)".to_string(), detail: "读取证券元数据，包括名称、板块、上市日期、退市日期、最小下单量、整手、最小价位等；all_instruments 按证券代码稳定排序返回全量证券。".to_string() }, + ManualFunction { name: "active_instruments/instruments_history".to_string(), signature: "ctx.active_instruments(&[symbol])".to_string(), detail: "active_instruments 返回当前交易日已上市且未退市的证券；instruments_history 返回给定代码的历史证券记录，包含当前已退市标的，对齐 RQAlpha 的 active_instruments/instruments_history 能力。".to_string() }, ManualFunction { name: "get_trading_dates/get_previous_trading_date/get_next_trading_date".to_string(), signature: "ctx.get_previous_trading_date(date, n)".to_string(), detail: "交易日历 API。get_trading_dates 返回闭区间交易日；previous/next 返回相对某日向前或向后的第 n 个交易日，当前日自身不计入。".to_string() }, ManualFunction { name: "is_suspended/is_st_stock".to_string(), signature: "ctx.is_suspended(symbol, count)".to_string(), detail: "读取指定证券截至当前交易日最近 count 个交易日的停牌或 ST 标记，返回 bool 序列，顺序从旧到新；对应 RQAlpha 的 is_suspended/is_st_stock 数据源能力。".to_string() }, ManualFunction { name: "get_price".to_string(), signature: "ctx.get_price(symbol, start_date, end_date, \"1d\" | \"1m\" | \"tick\")".to_string(), detail: "按日期区间读取统一 PriceBar 序列。日线返回 open/high/low/close/last/volume/盘口字段；分钟或 tick 返回按 timestamp 排序的 last/bid1/ask1/volume_delta/amount_delta 映射，便于服务层转成表格或前端明细。".to_string() }, diff --git a/crates/fidc-core/tests/engine_hooks.rs b/crates/fidc-core/tests/engine_hooks.rs index e91d1e7..4c47610 100644 --- a/crates/fidc-core/tests/engine_hooks.rs +++ b/crates/fidc-core/tests/engine_hooks.rs @@ -436,8 +436,11 @@ impl Strategy for DataApiProbeStrategy { let tick_price_count = ctx .get_price("000001.SZ", d(2025, 1, 3), ctx.execution_date, "tick") .len(); + let instrument_history_count = + ctx.instruments_history(&["000001.SZ", "000002.SZ"]).len(); + let active_instrument_count = ctx.active_instruments(&["000001.SZ", "000002.SZ"]).len(); self.snapshots.borrow_mut().push(format!( - "daily={daily_close};previous={previous_close};tick={tick_last};previous_tick={previous_tick_last};current={current_close};instrument={instrument_name};all={};range={trading_date_count};prev={prev_date};next={next_date};suspended={suspended};st={st_flags};price_daily={daily_price_count};price_tick={tick_price_count}", + "daily={daily_close};previous={previous_close};tick={tick_last};previous_tick={previous_tick_last};current={current_close};instrument={instrument_name};all={};history={instrument_history_count};active={active_instrument_count};range={trading_date_count};prev={prev_date};next={next_date};suspended={suspended};st={st_flags};price_daily={daily_price_count};price_tick={tick_price_count}", ctx.all_instruments().len() )); } @@ -897,15 +900,26 @@ fn strategy_context_exposes_rqalpha_style_data_helpers() { let date1 = d(2025, 1, 2); let date2 = d(2025, 1, 3); let date3 = d(2025, 1, 6); - let instrument = 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(), - }; + let instruments = 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(), + }, + Instrument { + symbol: "000002.SZ".to_string(), + name: "Historical".to_string(), + board: "SZ".to_string(), + round_lot: 100, + listed_at: Some(d(2020, 1, 1)), + delisted_at: Some(date2), + status: "active".to_string(), + }, + ]; let market = [ (date1, 10.0, 10.0, 10.0, 100_000), (date2, 10.1, 10.1, 10.0, 110_000), @@ -1026,7 +1040,7 @@ fn strategy_context_exposes_rqalpha_style_data_helpers() { }, ]; let data = DataSet::from_components_with_actions_and_quotes( - vec![instrument], + instruments, market, factors, candidates, @@ -1065,7 +1079,7 @@ fn strategy_context_exposes_rqalpha_style_data_helpers() { assert_eq!( snapshots.borrow().as_slice(), [ - "daily=10.10,10.20;previous=10.00,10.10;tick=10.15,10.25;previous_tick=10.15;current=10.20;instrument=Anchor;all=1;range=3;prev=2025-01-03;next=2025-01-06;suspended=0,1,0;st=0,1,0;price_daily=2;price_tick=3" + "daily=10.10,10.20;previous=10.00,10.10;tick=10.15,10.25;previous_tick=10.15;current=10.20;instrument=Anchor;all=2;history=2;active=1;range=3;prev=2025-01-03;next=2025-01-06;suspended=0,1,0;st=0,1,0;price_daily=2;price_tick=3" ] ); } diff --git a/docs/rqalpha-gap-roadmap.md b/docs/rqalpha-gap-roadmap.md index 0c5b77c..ea68a0b 100644 --- a/docs/rqalpha-gap-roadmap.md +++ b/docs/rqalpha-gap-roadmap.md @@ -61,7 +61,8 @@ current alignment pass. - [x] `is_suspended` - [x] `is_st_stock` - [x] `get_price` style date-range tabular API -- [ ] `instruments_history` +- [x] `active_instruments` +- [x] `instruments_history` ## Execution Order @@ -76,6 +77,5 @@ current alignment pass. ## Current Step -Active implementation target: continue stock data-source API parity after -covering suspended/ST historical flags and `get_price` style date-range -queries; next larger gap is instruments history. +Active implementation target: continue parity audit for remaining account and +order object APIs after the core stock data-source APIs are covered.