Backtest Engine Capability Roadmap

This document tracks the production backtest capabilities implemented in fidc-backtest-engine and the remaining extension points. Names and concepts below use the platform's own engine vocabulary only.

Scope

The roadmap focuses on making the engine complete enough for editable platform strategies, long-range A-share backtests, futures strategies, intraday order simulation, AI-generated strategy code, and service-level result downloads.

Re-Audit Findings (2026-04-24)

The latest re-audit focused on the engine's execution model, account model, order lifecycle, data helper surface, analyzer output, extension hooks, and futures path. Confirmed aligned areas:

Stock explicit order APIs, target order APIs, lot sizing, algo order styles, pending limit orders, cancellation, open order views, and final order lookup.
Stock account and portfolio runtime fields including cash, frozen cash, total value, transaction cost, trading/position PnL, management fees, financing liability, deposit/withdraw, and position aliases.
Scheduler, dynamic universe, subscription guard, history_bars, current_snapshot, get_price, instruments, trading-date APIs, suspension and ST helpers.
Stock matching modes, slippage models, price/volume/liquidity limits, open auction handling, and partial fill handling in the stock broker path.
Standalone futures account, long/short position model, open/close, close-today/close-yesterday, daily mark-to-market settlement, expiration settlement, and runtime account views.

Capability Matrix

Priority	Capability	Current engine state	Next implementation
P0	Futures intraday matching	Closed for daily/open/close, tick-price futures fills, and true multi-level order-book sweeping when optional `order_book_depth` data exists. L1-only data still uses the existing L1 matcher and is not inflated into fake depth.	Extend depth fields only if production vendors expose more levels or exchange-specific fields.
P0	Futures open-order lifecycle	Closed for futures pending limit orders, cross-day rematching, cancellation by id/symbol/all, and merged open-order runtime views.	Add more order status transitions only if UI requires extra intermediate event names.
P0	Combined multi-account NAV	Closed. `DailyEquityPoint`, progress events, and metrics use aggregate stock + futures initial cash and total equity.	None.
P1	Futures trading parameter data source	Closed for engine-side trading-parameter ingestion/resolution via `futures_trading_parameters.csv` or component data.	Add more exchange metadata columns only when source data exposes them.
P1	Futures transaction cost decider	Closed. `FuturesTransactionCostModel` calculates by-money/by-volume open/close/close-today costs from trading parameters.	None.
P1	Futures settlement price mode	Closed. Engine supports configurable settlement price mode and resolves settlement/prev-settlement from factor fields with close/prev_close fallback.	Add dedicated settlement columns if the storage layer later separates them from factors.
P1	Frontend risk validators for futures	Closed for zero quantity, invalid limit price, active-contract, trading-phase, tick-aligned limit price, price-limit, self-trade crossing risk, paused/no executable price, margin, and close-position rejection diagnostics.	Add more exchange metadata columns only when source data exposes them.
P2	Advanced data helper APIs	Closed for the engine-native data model. `DataSet` and `StrategyContext` expose dividends, splits, yield curves, numeric and string generic factors, margin lists, securities margin, shares, turnover, price change, industry code/name, stock-connect, fundamentals, financials, point-in-time financials, current performance, dominant future, and dominant future price helpers.	None.
P2	Analyzer/report output	Closed for normalized trades, positions, monthly returns, risk summary, equity curve, benchmark series, metrics, and JSON report bundle via `BacktestResult::analyzer_report(_json)`.	UI/service download endpoints can serialize this report directly.
P3	Mod/config/plugin architecture	Closed for a lightweight engine-native model: `BacktestProcessMod`, `BacktestProcessModLoader`, enabled-name installation, and event-bus lifecycle hooks.	Add concrete production mods/toggles as requirements appear.

Closed Work Items

Target-shares explicit order primitive.
Batch target-portfolio and smart target-portfolio order semantics.
Rich explicit order styles exposed to platform scripts.
Minute-level time_rule semantics including market-open, market-close, and physical-time style schedules.
Fine-grained daily, minute, and tick strategy execution entrypoints.
Scheduled actions evaluated against explicit intraday times.
update_universe, subscribe, and unsubscribe.
Tick-frequency subscription guards at strategy API level.
VWAP and TWAP explicit action styles.
order_target_portfolio_smart(..., order_prices=AlgoOrder, valuation_prices=...).
Trading PnL, position PnL, dividend receivable, and richer position lifecycle fields.
Stock position aliases including order_book_id, avg_price, sellable, closable, equity, and position_prev_close.
history_bars numeric helper for daily, intraday, and tick fields.
current_snapshot, instrument metadata, all-instrument queries, and active/historical instrument helpers.
Trading-date range, previous-date, and next-date helpers.
Phase-aware minute/tick history cursor semantics matching the active bar or tick callback.
Suspension, ST, date-range price, active instrument, and instrument history helpers.
Open-order status, unfilled quantity, final order lookup, average fill price, and transaction cost aggregation.
Stock-account runtime view and account map/accessor surface.
Deposit/withdraw, financing liability, repay, management-fee rate, and management-fee callback support.
Standalone futures account, futures order execution, futures events, and futures runtime views.
Futures order intents wired into the generic engine loop.
Futures expiration settlement and data-driven expiration schedule.
Futures intraday matching, pending order lifecycle, cancellation, and aggregate multi-account metrics.
Futures trading-parameter resolver, cost resolver, margin resolver, settlement resolver, and submission validators.
Optional true multi-level futures order-book depth data and sweep matching.
Dividends, splits, yield curves, generic factors, margin lists, securities margin, shares, turnover, price change, stock-connect, industry code, fundamentals, financials, point-in-time financials, current performance, dominant future, and dominant future price helpers.
String-valued factor ingestion and expression helpers for category fields such as industry names, concepts, labels, and custom text factors.
Normalized trades, positions, benchmark, monthly returns, risk summary, equity curve, metrics, and downloadable analyzer bundle.
Event-bus process listeners and installable process mods.

Current Step

P0-P2 capability gaps are closed in the engine core. P3 has a lightweight event-driven extension loader. Remaining work should be driven by concrete production strategy or UI requirements: optional vendor-specific depth fields, additional exchange metadata columns, and service/UI download wiring.

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