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Add rqalpha-style position pnl runtime fields

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boris
2026-04-23 06:12:25 -07:00
parent f17aabc9d3
commit fae09afb86
5 changed files with 305 additions and 1 deletions
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285
crates/fidc-core/src/portfolio.rs
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@@ -1,6 +1,7 @@
use chrono::NaiveDate;
use indexmap::IndexMap;
use serde::Serialize;
use std::collections::BTreeMap;
use crate::data::{DataSet, DataSetError, PriceField};
@@ -18,6 +19,15 @@ pub struct Position {
pub average_cost: f64,
pub last_price: f64,
pub realized_pnl: f64,
pub trading_pnl: f64,
pub position_pnl: f64,
pub dividend_receivable: f64,
day_start_quantity: u32,
day_start_price: f64,
day_split_ratio: f64,
day_dividend_cash: f64,
day_trade_quantity_delta: i32,
day_trade_cost: f64,
lots: Vec<PositionLot>,
}
@@ -29,6 +39,15 @@ impl Position {
average_cost: 0.0,
last_price: 0.0,
realized_pnl: 0.0,
trading_pnl: 0.0,
position_pnl: 0.0,
dividend_receivable: 0.0,
day_start_quantity: 0,
day_start_price: 0.0,
day_split_ratio: 1.0,
day_dividend_cash: 0.0,
day_trade_quantity_delta: 0,
day_trade_cost: 0.0,
lots: Vec::new(),
}
}
@@ -49,7 +68,9 @@ impl Position {
});
self.quantity += quantity;
self.last_price = price;
self.day_trade_quantity_delta += quantity as i32;
self.recalculate_average_cost();
self.refresh_day_pnl();
}
pub fn sell(&mut self, quantity: u32, price: f64) -> Result<f64, String> {
@@ -81,7 +102,9 @@ impl Position {
self.quantity -= quantity;
self.last_price = price;
self.realized_pnl += realized;
self.day_trade_quantity_delta -= quantity as i32;
self.recalculate_average_cost();
self.refresh_day_pnl();
Ok(realized)
}
@@ -101,6 +124,27 @@ impl Position {
(self.last_price - self.average_cost) * self.quantity as f64
}
pub fn begin_trading_day(&mut self) {
self.day_start_quantity = self.quantity;
self.day_start_price = self.last_price;
self.day_split_ratio = 1.0;
self.day_dividend_cash = 0.0;
self.day_trade_quantity_delta = 0;
self.day_trade_cost = 0.0;
self.refresh_day_pnl();
}
pub fn record_trade_cost(&mut self, value: f64) {
if value.is_finite() {
self.day_trade_cost += value.max(0.0);
self.refresh_day_pnl();
}
}
pub fn set_dividend_receivable(&mut self, value: f64) {
self.dividend_receivable = if value.is_finite() { value.max(0.0) } else { 0.0 };
}
pub fn holding_return(&self, price: f64) -> Option<f64> {
if self.quantity == 0 || self.average_cost <= 0.0 {
None
@@ -134,7 +178,10 @@ impl Position {
}
self.average_cost -= dividend_per_share;
self.last_price -= dividend_per_share;
self.quantity as f64 * dividend_per_share
let cash_delta = self.quantity as f64 * dividend_per_share;
self.day_dividend_cash += cash_delta;
self.refresh_day_pnl();
cash_delta
}
pub fn apply_split_ratio(&mut self, ratio: f64) -> i32 {
@@ -170,8 +217,22 @@ impl Position {
self.quantity = self.lots.iter().map(|lot| lot.quantity).sum();
self.last_price /= ratio;
self.recalculate_average_cost();
self.day_split_ratio *= ratio;
self.refresh_day_pnl();
self.quantity as i32 - old_quantity as i32
}
fn refresh_day_pnl(&mut self) {
let adjusted_old_quantity = self.day_start_quantity as f64 * self.day_split_ratio;
self.position_pnl = if self.day_start_quantity == 0 || self.day_start_price <= 0.0 {
0.0
} else {
adjusted_old_quantity * (self.last_price - (self.day_start_price / self.day_split_ratio))
+ self.day_dividend_cash
};
self.trading_pnl = (self.day_trade_quantity_delta as f64 * self.last_price)
- self.day_trade_cost;
}
}
#[derive(Debug, Clone)]
@@ -233,6 +294,7 @@ impl PortfolioState {
pub fn add_cash_receivable(&mut self, receivable: CashReceivable) {
self.cash_receivables.push(receivable);
self.refresh_dividend_receivables();
}
pub fn settle_cash_receivables(&mut self, date: NaiveDate) -> Vec<CashReceivable> {
@@ -247,6 +309,7 @@ impl PortfolioState {
}
}
self.cash_receivables = pending;
self.refresh_dividend_receivables();
settled
}
@@ -254,6 +317,13 @@ impl PortfolioState {
&self.cash_receivables
}
pub fn begin_trading_day(&mut self) {
for position in self.positions.values_mut() {
position.begin_trading_day();
}
self.refresh_dividend_receivables();
}
pub fn update_prices(
&mut self,
date: NaiveDate,
@@ -274,6 +344,7 @@ impl PortfolioState {
}
})?;
position.last_price = price;
position.refresh_day_pnl();
}
Ok(())
}
@@ -299,6 +370,9 @@ impl PortfolioState {
market_value: position.market_value(),
unrealized_pnl: position.unrealized_pnl(),
realized_pnl: position.realized_pnl,
trading_pnl: position.trading_pnl,
position_pnl: position.position_pnl,
dividend_receivable: position.dividend_receivable,
})
.collect()
}
@@ -361,6 +435,7 @@ impl PortfolioState {
successor.last_price = converted_last_price;
}
successor.recalculate_average_cost();
successor.refresh_day_pnl();
Some(SuccessorConversionOutcome {
old_symbol: old_symbol_owned,
@@ -376,11 +451,24 @@ impl PortfolioState {
},
})
}
fn refresh_dividend_receivables(&mut self) {
let mut per_symbol = BTreeMap::<String, f64>::new();
for receivable in &self.cash_receivables {
*per_symbol.entry(receivable.symbol.clone()).or_insert(0.0) += receivable.amount;
}
for (symbol, position) in &mut self.positions {
position.set_dividend_receivable(per_symbol.get(symbol).copied().unwrap_or(0.0));
}
}
}
#[cfg(test)]
mod tests {
use super::*;
use crate::data::{BenchmarkSnapshot, CandidateEligibility, DailyFactorSnapshot, DailyMarketSnapshot, DataSet, PriceField};
use crate::Instrument;
use std::collections::BTreeMap;
#[test]
fn positions_preserve_insertion_order() {
@@ -400,6 +488,198 @@ mod tests {
]
);
}
#[test]
fn portfolio_tracks_dividend_receivable_and_day_pnl() {
let prev_date = NaiveDate::from_ymd_opt(2025, 1, 2).unwrap();
let date = NaiveDate::from_ymd_opt(2025, 1, 3).unwrap();
let mut portfolio = PortfolioState::new(10_000.0);
portfolio.position_mut("000001.SZ").buy(prev_date, 100, 10.0);
portfolio.update_prices(
prev_date,
&DataSet::from_components(
vec![Instrument {
symbol: "000001.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: prev_date,
symbol: "000001.SZ".to_string(),
timestamp: None,
day_open: 10.0,
open: 10.0,
high: 10.0,
low: 10.0,
close: 10.0,
last_price: 10.0,
bid1: 9.99,
ask1: 10.01,
prev_close: 9.8,
volume: 1000,
tick_volume: 1000,
bid1_volume: 1000,
ask1_volume: 1000,
trading_phase: None,
paused: false,
upper_limit: 11.0,
lower_limit: 9.0,
price_tick: 0.01,
},
DailyMarketSnapshot {
date,
symbol: "000001.SZ".to_string(),
timestamp: None,
day_open: 10.5,
open: 10.5,
high: 10.5,
low: 10.5,
close: 10.5,
last_price: 10.5,
bid1: 10.49,
ask1: 10.51,
prev_close: 10.0,
volume: 1000,
tick_volume: 1000,
bid1_volume: 1000,
ask1_volume: 1000,
trading_phase: None,
paused: false,
upper_limit: 11.0,
lower_limit: 9.0,
price_tick: 0.01,
},
],
vec![DailyFactorSnapshot {
date,
symbol: "000001.SZ".to_string(),
market_cap_bn: 50.0,
free_float_cap_bn: 45.0,
pe_ttm: 10.0,
turnover_ratio: Some(1.0),
effective_turnover_ratio: Some(1.0),
extra_factors: BTreeMap::new(),
}],
vec![CandidateEligibility {
date,
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,
benchmark: "000852.SH".to_string(),
open: 1000.0,
close: 1000.0,
prev_close: 999.0,
volume: 1000,
}],
)
.expect("dataset"),
PriceField::Close,
)
.expect("prev close");
portfolio.begin_trading_day();
portfolio.add_cash_receivable(CashReceivable {
symbol: "000001.SZ".to_string(),
ex_date: prev_date,
payable_date: date.succ_opt().unwrap(),
amount: 25.0,
reason: "cash_dividend".to_string(),
});
portfolio
.position_mut_if_exists("000001.SZ")
.expect("position")
.apply_cash_dividend(0.2);
portfolio
.position_mut_if_exists("000001.SZ")
.expect("position")
.record_trade_cost(5.0);
portfolio.update_prices(
date,
&DataSet::from_components(
vec![Instrument {
symbol: "000001.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: "000001.SZ".to_string(),
timestamp: None,
day_open: 10.5,
open: 10.5,
high: 10.5,
low: 10.5,
close: 10.5,
last_price: 10.5,
bid1: 10.49,
ask1: 10.51,
prev_close: 10.0,
volume: 1000,
tick_volume: 1000,
bid1_volume: 1000,
ask1_volume: 1000,
trading_phase: None,
paused: false,
upper_limit: 11.0,
lower_limit: 9.0,
price_tick: 0.01,
}],
vec![DailyFactorSnapshot {
date,
symbol: "000001.SZ".to_string(),
market_cap_bn: 50.0,
free_float_cap_bn: 45.0,
pe_ttm: 10.0,
turnover_ratio: Some(1.0),
effective_turnover_ratio: Some(1.0),
extra_factors: BTreeMap::new(),
}],
vec![CandidateEligibility {
date,
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,
benchmark: "000852.SH".to_string(),
open: 1000.0,
close: 1000.0,
prev_close: 999.0,
volume: 1000,
}],
)
.expect("dataset"),
PriceField::Close,
)
.expect("close");
let position = portfolio.position("000001.SZ").expect("position");
assert!((position.dividend_receivable - 25.0).abs() < 1e-6);
assert!((position.position_pnl - 70.0).abs() < 1e-6);
assert!((position.trading_pnl + 5.0).abs() < 1e-6);
}
}
#[derive(Debug, Clone, Serialize)]
@@ -413,6 +693,9 @@ pub struct HoldingSummary {
pub market_value: f64,
pub unrealized_pnl: f64,
pub realized_pnl: f64,
pub trading_pnl: f64,
pub position_pnl: f64,
pub dividend_receivable: f64,
}
#[derive(Debug, Clone)]