Add target-shares parity and rqalpha roadmap

2026-04-23 05:49:17 -07:00
parent 2857f72d84
commit f805a4b26d
6 changed files with 526 additions and 1 deletions
--- a/crates/fidc-core/tests/explicit_order_flow.rs
+++ b/crates/fidc-core/tests/explicit_order_flow.rs
@@ -219,6 +219,110 @@ fn broker_executes_order_shares_and_order_lots() {
    );
 }

+#[test]
+fn broker_executes_target_shares_like_order_to() {
+    let date = NaiveDate::from_ymd_opt(2024, 1, 10).unwrap();
+    let data = DataSet::from_components(
+        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 10:18:00".to_string()),
+            day_open: 10.0,
+            open: 10.0,
+            high: 10.1,
+            low: 9.9,
+            close: 10.0,
+            last_price: 10.0,
+            bid1: 9.99,
+            ask1: 10.01,
+            prev_close: 10.0,
+            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: 11.0,
+            lower_limit: 9.0,
+            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_kcb: false,
+            is_paused: false,
+            allow_buy: true,
+            allow_sell: true,
+            is_one_yuan: false,
+        }],
+        vec![BenchmarkSnapshot {
+            date,
+            benchmark: "000852.SH".to_string(),
+            open: 1000.0,
+            close: 1002.0,
+            prev_close: 998.0,
+            volume: 1_000_000,
+        }],
+    )
+    .expect("dataset");
+
+    let mut portfolio = PortfolioState::new(1_000_000.0);
+    portfolio
+        .position_mut("000002.SZ")
+        .buy(date.pred_opt().expect("previous day"), 300, 9.0);
+
+    let broker = BrokerSimulator::new(
+        ChinaAShareCostModel::default(),
+        ChinaEquityRuleHooks::default(),
+    );
+
+    let report = broker
+        .execute(
+            date,
+            &mut portfolio,
+            &data,
+            &StrategyDecision {
+                rebalance: false,
+                target_weights: BTreeMap::new(),
+                exit_symbols: BTreeSet::new(),
+                order_intents: vec![OrderIntent::TargetShares {
+                    symbol: "000002.SZ".to_string(),
+                    target_quantity: 150,
+                    reason: "test_target_shares".to_string(),
+                }],
+                notes: Vec::new(),
+                diagnostics: Vec::new(),
+            },
+        )
+        .expect("broker execution");
+
+    assert_eq!(portfolio.position("000002.SZ").map(|pos| pos.quantity), Some(200));
+    assert_eq!(report.fill_events.len(), 1);
+    assert_eq!(report.fill_events[0].side, fidc_core::OrderSide::Sell);
+    assert_eq!(report.fill_events[0].quantity, 100);
+}
+
 #[test]
 fn broker_executes_order_percent_and_target_percent() {
    let date = NaiveDate::from_ymd_opt(2024, 1, 10).unwrap();