509 lines
16 KiB
Rust
509 lines
16 KiB
Rust
use chrono::NaiveDate;
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use fidc_core::{
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BacktestConfig, BacktestEngine, BenchmarkSnapshot, BrokerSimulator, CandidateEligibility,
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ChinaAShareCostModel, ChinaEquityRuleHooks, CorporateAction, DailyFactorSnapshot,
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DailyMarketSnapshot, DataSet, Instrument, OrderIntent, PriceField, Strategy, StrategyContext,
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StrategyDecision,
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};
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use std::collections::{BTreeMap, BTreeSet};
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fn d(year: i32, month: u32, day: u32) -> NaiveDate {
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NaiveDate::from_ymd_opt(year, month, day).expect("valid date")
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}
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struct BuyThenHoldStrategy;
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impl Strategy for BuyThenHoldStrategy {
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fn name(&self) -> &str {
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"buy-then-hold"
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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.decision_date == d(2025, 1, 2) && ctx.portfolio.position("000001.SZ").is_none() {
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return Ok(StrategyDecision {
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rebalance: false,
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target_weights: BTreeMap::new(),
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exit_symbols: BTreeSet::new(),
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order_intents: vec![OrderIntent::Value {
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symbol: "000001.SZ".to_string(),
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value: 10_000.0,
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reason: "seed_position".to_string(),
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}],
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notes: Vec::new(),
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diagnostics: Vec::new(),
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});
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}
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Ok(StrategyDecision::default())
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}
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}
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#[test]
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fn engine_settles_delisted_position_before_missing_market_snapshot_breaks_run() {
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let date1 = d(2025, 1, 2);
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let date2 = d(2025, 1, 3);
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let data = DataSet::from_components(
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vec![
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Instrument {
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symbol: "000001.SZ".to_string(),
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name: "Delisted".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: Some(date1),
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status: "delisted".to_string(),
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},
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Instrument {
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symbol: "000002.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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],
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vec![
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DailyMarketSnapshot {
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date: date1,
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symbol: "000001.SZ".to_string(),
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timestamp: Some("2025-01-02 10:18:00".to_string()),
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day_open: 10.0,
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open: 10.0,
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high: 10.0,
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low: 10.0,
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close: 10.0,
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last_price: 10.0,
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bid1: 10.0,
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ask1: 10.0,
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prev_close: 10.0,
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volume: 100_000,
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tick_volume: 100_000,
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bid1_volume: 100_000,
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ask1_volume: 100_000,
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trading_phase: Some("continuous".to_string()),
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paused: false,
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upper_limit: 11.0,
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lower_limit: 9.0,
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price_tick: 0.01,
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},
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DailyMarketSnapshot {
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date: date1,
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symbol: "000002.SZ".to_string(),
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timestamp: Some("2025-01-02 10:18:00".to_string()),
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day_open: 5.0,
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open: 5.0,
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high: 5.1,
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low: 4.9,
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close: 5.0,
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last_price: 5.0,
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bid1: 4.99,
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ask1: 5.01,
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prev_close: 5.0,
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volume: 100_000,
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tick_volume: 100_000,
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bid1_volume: 100_000,
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ask1_volume: 100_000,
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trading_phase: Some("continuous".to_string()),
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paused: false,
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upper_limit: 5.5,
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lower_limit: 4.5,
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price_tick: 0.01,
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},
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DailyMarketSnapshot {
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date: date2,
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symbol: "000002.SZ".to_string(),
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timestamp: Some("2025-01-03 10:18:00".to_string()),
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day_open: 5.1,
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open: 5.1,
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high: 5.2,
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low: 5.0,
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close: 5.1,
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last_price: 5.1,
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bid1: 5.09,
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ask1: 5.11,
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prev_close: 5.0,
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volume: 120_000,
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tick_volume: 120_000,
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bid1_volume: 120_000,
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ask1_volume: 120_000,
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trading_phase: Some("continuous".to_string()),
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paused: false,
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upper_limit: 5.5,
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lower_limit: 4.5,
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price_tick: 0.01,
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},
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],
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vec![
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DailyFactorSnapshot {
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date: date1,
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symbol: "000001.SZ".to_string(),
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market_cap_bn: 20.0,
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free_float_cap_bn: 18.0,
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pe_ttm: 10.0,
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turnover_ratio: Some(1.0),
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effective_turnover_ratio: Some(1.0),
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extra_factors: BTreeMap::new(),
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},
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DailyFactorSnapshot {
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date: date1,
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symbol: "000002.SZ".to_string(),
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market_cap_bn: 30.0,
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free_float_cap_bn: 28.0,
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pe_ttm: 10.0,
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turnover_ratio: Some(1.0),
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effective_turnover_ratio: Some(1.0),
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extra_factors: BTreeMap::new(),
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},
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DailyFactorSnapshot {
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date: date2,
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symbol: "000002.SZ".to_string(),
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market_cap_bn: 31.0,
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free_float_cap_bn: 29.0,
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pe_ttm: 10.0,
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turnover_ratio: Some(1.0),
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effective_turnover_ratio: Some(1.0),
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extra_factors: BTreeMap::new(),
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},
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],
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vec![
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CandidateEligibility {
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date: date1,
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symbol: "000001.SZ".to_string(),
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is_st: false,
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is_new_listing: false,
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is_paused: false,
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allow_buy: true,
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allow_sell: true,
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is_kcb: false,
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is_one_yuan: false,
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},
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CandidateEligibility {
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date: date1,
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symbol: "000002.SZ".to_string(),
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is_st: false,
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is_new_listing: false,
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is_paused: false,
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allow_buy: true,
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allow_sell: true,
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is_kcb: false,
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is_one_yuan: false,
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},
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CandidateEligibility {
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date: date2,
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symbol: "000002.SZ".to_string(),
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is_st: false,
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is_new_listing: false,
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is_paused: false,
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allow_buy: true,
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allow_sell: true,
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is_kcb: false,
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is_one_yuan: false,
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},
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],
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vec![
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BenchmarkSnapshot {
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date: date1,
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benchmark: "000300.SH".to_string(),
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open: 100.0,
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close: 100.0,
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prev_close: 99.0,
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volume: 1_000_000,
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},
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BenchmarkSnapshot {
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date: date2,
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benchmark: "000300.SH".to_string(),
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open: 101.0,
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close: 101.0,
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prev_close: 100.0,
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volume: 1_100_000,
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},
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],
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)
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.expect("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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BuyThenHoldStrategy,
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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(date1),
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end_date: Some(date2),
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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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let result = engine.run().expect("backtest succeeds");
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assert_eq!(result.fills.len(), 2);
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assert!(
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result
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.fills
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.iter()
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.any(|fill| fill.reason.contains("delisted_cash_settlement")
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&& fill.symbol == "000001.SZ")
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);
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assert!(
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result
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.holdings_summary
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.iter()
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.all(|holding| holding.symbol != "000001.SZ")
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);
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}
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#[test]
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fn engine_applies_successor_conversion_before_delisted_cash_settlement() {
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let date1 = d(2025, 1, 2);
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let date2 = d(2025, 1, 3);
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let data = DataSet::from_components_with_actions(
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vec![
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Instrument {
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symbol: "000001.SZ".to_string(),
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name: "Legacy".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: Some(date2),
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status: "delisted".to_string(),
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},
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Instrument {
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symbol: "000002.SZ".to_string(),
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name: "Successor".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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],
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vec![
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DailyMarketSnapshot {
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date: date1,
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symbol: "000001.SZ".to_string(),
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timestamp: Some("2025-01-02 10:18:00".to_string()),
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day_open: 10.0,
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open: 10.0,
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high: 10.0,
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low: 10.0,
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close: 10.0,
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last_price: 10.0,
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bid1: 10.0,
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ask1: 10.0,
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prev_close: 10.0,
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volume: 100_000,
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tick_volume: 100_000,
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bid1_volume: 100_000,
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ask1_volume: 100_000,
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trading_phase: Some("continuous".to_string()),
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paused: false,
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upper_limit: 11.0,
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lower_limit: 9.0,
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price_tick: 0.01,
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},
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DailyMarketSnapshot {
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date: date1,
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symbol: "000002.SZ".to_string(),
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timestamp: Some("2025-01-02 10:18:00".to_string()),
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day_open: 20.0,
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open: 20.0,
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high: 20.0,
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low: 20.0,
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close: 20.0,
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last_price: 20.0,
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bid1: 20.0,
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ask1: 20.0,
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prev_close: 20.0,
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volume: 100_000,
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tick_volume: 100_000,
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bid1_volume: 100_000,
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ask1_volume: 100_000,
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trading_phase: Some("continuous".to_string()),
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paused: false,
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upper_limit: 22.0,
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lower_limit: 18.0,
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price_tick: 0.01,
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},
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DailyMarketSnapshot {
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date: date2,
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symbol: "000002.SZ".to_string(),
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timestamp: Some("2025-01-03 10:18:00".to_string()),
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day_open: 21.0,
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open: 21.0,
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high: 21.0,
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low: 21.0,
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close: 21.0,
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last_price: 21.0,
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bid1: 21.0,
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ask1: 21.0,
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prev_close: 20.0,
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volume: 120_000,
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tick_volume: 120_000,
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bid1_volume: 120_000,
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ask1_volume: 120_000,
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trading_phase: Some("continuous".to_string()),
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paused: false,
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upper_limit: 22.0,
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lower_limit: 18.0,
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price_tick: 0.01,
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},
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],
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vec![
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DailyFactorSnapshot {
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date: date1,
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symbol: "000001.SZ".to_string(),
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market_cap_bn: 20.0,
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free_float_cap_bn: 18.0,
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pe_ttm: 10.0,
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turnover_ratio: Some(1.0),
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effective_turnover_ratio: Some(1.0),
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extra_factors: BTreeMap::new(),
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},
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DailyFactorSnapshot {
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date: date1,
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symbol: "000002.SZ".to_string(),
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market_cap_bn: 30.0,
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free_float_cap_bn: 28.0,
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pe_ttm: 10.0,
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turnover_ratio: Some(1.0),
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effective_turnover_ratio: Some(1.0),
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extra_factors: BTreeMap::new(),
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},
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DailyFactorSnapshot {
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date: date2,
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symbol: "000002.SZ".to_string(),
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market_cap_bn: 31.0,
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free_float_cap_bn: 29.0,
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pe_ttm: 10.0,
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turnover_ratio: Some(1.0),
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effective_turnover_ratio: Some(1.0),
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extra_factors: BTreeMap::new(),
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},
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],
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vec![
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CandidateEligibility {
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date: date1,
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symbol: "000001.SZ".to_string(),
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is_st: false,
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is_new_listing: false,
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is_paused: false,
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allow_buy: true,
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allow_sell: true,
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is_kcb: false,
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is_one_yuan: false,
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},
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CandidateEligibility {
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date: date1,
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symbol: "000002.SZ".to_string(),
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is_st: false,
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is_new_listing: false,
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is_paused: false,
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allow_buy: true,
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allow_sell: true,
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is_kcb: false,
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is_one_yuan: false,
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},
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CandidateEligibility {
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date: date2,
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symbol: "000002.SZ".to_string(),
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is_st: false,
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is_new_listing: false,
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is_paused: false,
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allow_buy: true,
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allow_sell: true,
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is_kcb: false,
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is_one_yuan: false,
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},
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],
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vec![
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BenchmarkSnapshot {
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date: date1,
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benchmark: "000300.SH".to_string(),
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open: 100.0,
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close: 100.0,
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prev_close: 99.0,
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volume: 1_000_000,
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},
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BenchmarkSnapshot {
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date: date2,
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benchmark: "000300.SH".to_string(),
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open: 101.0,
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close: 101.0,
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prev_close: 100.0,
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volume: 1_100_000,
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},
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],
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vec![CorporateAction {
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date: date2,
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symbol: "000001.SZ".to_string(),
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payable_date: None,
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share_cash: 0.0,
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share_bonus: 0.0,
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share_gift: 0.0,
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issue_quantity: 0.0,
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issue_price: 0.0,
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reform: false,
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adjust_factor: None,
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successor_symbol: Some("000002.SZ".to_string()),
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successor_ratio: Some(0.5),
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successor_cash: Some(1.0),
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}],
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)
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.expect("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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BuyThenHoldStrategy,
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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(date1),
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end_date: Some(date2),
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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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let result = engine.run().expect("backtest succeeds");
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assert!(result.equity_curve.iter().any(|point| {
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point
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.notes
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.contains("successor_conversion 000001.SZ->000002.SZ")
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}));
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assert!(result.fills.iter().all(
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|fill| !fill.reason.contains("delisted_cash_settlement") || fill.symbol != "000001.SZ"
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));
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let successor_holding = result
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.holdings_summary
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.iter()
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.find(|holding| holding.symbol == "000002.SZ")
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.expect("successor holding exists");
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assert_eq!(successor_holding.quantity, 500);
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assert!(
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result
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.holdings_summary
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.iter()
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.all(|holding| holding.symbol != "000001.SZ")
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);
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assert!(result.account_events.iter().any(|event| {
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event
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.note
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.contains("successor_conversion 000001.SZ->000002.SZ")
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&& event.note.contains("cash=1000.00")
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}));
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}
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