fidc-backtest-engine/crates/fidc-core/src/cost.rs

use std::collections::BTreeMap;

use chrono::NaiveDate;

use crate::events::OrderSide;

pub const STOCK_PIT_TAX_CHANGE_DATE: (i32, u32, u32) = (2023, 8, 28);

#[derive(Debug, Clone, Copy)]
pub struct TradingCost {
    pub commission: f64,
    pub stamp_tax: f64,
}

impl TradingCost {
    pub fn total(self) -> f64 {
        self.commission + self.stamp_tax
    }
}

pub trait CostModel {
    fn calculate(&self, date: NaiveDate, side: OrderSide, gross_amount: f64) -> TradingCost;

    fn calculate_with_order_state(
        &self,
        date: NaiveDate,
        side: OrderSide,
        gross_amount: f64,
        _order_id: Option<u64>,
        _commission_state: &mut BTreeMap<u64, f64>,
    ) -> TradingCost {
        self.calculate(date, side, gross_amount)
    }
}

#[derive(Debug, Clone, Copy)]
pub struct ChinaAShareCostModel {
    pub commission_rate: f64,
    pub stamp_tax_rate_before_change: f64,
    pub stamp_tax_rate_after_change: f64,
    pub minimum_commission: f64,
}

impl Default for ChinaAShareCostModel {
    fn default() -> Self {
        Self {
            commission_rate: 0.0003,
            stamp_tax_rate_before_change: 0.001,
            stamp_tax_rate_after_change: 0.0005,
            minimum_commission: 5.0,
        }
    }
}

impl ChinaAShareCostModel {
    pub fn commission_for(&self, gross_amount: f64) -> f64 {
        if gross_amount <= 0.0 {
            return 0.0;
        }
        (gross_amount * self.commission_rate).max(self.minimum_commission)
    }

    pub fn stamp_tax_rate_for(&self, date: NaiveDate) -> f64 {
        let change_date = NaiveDate::from_ymd_opt(
            STOCK_PIT_TAX_CHANGE_DATE.0,
            STOCK_PIT_TAX_CHANGE_DATE.1,
            STOCK_PIT_TAX_CHANGE_DATE.2,
        )
        .expect("valid pit tax change date");
        if date < change_date {
            self.stamp_tax_rate_before_change
        } else {
            self.stamp_tax_rate_after_change
        }
    }

    pub fn stamp_tax_for(&self, date: NaiveDate, side: OrderSide, gross_amount: f64) -> f64 {
        if gross_amount <= 0.0 || side == OrderSide::Buy {
            return 0.0;
        }
        gross_amount * self.stamp_tax_rate_for(date)
    }

    pub fn commission_for_order_fill(
        &self,
        gross_amount: f64,
        order_id: Option<u64>,
        commission_state: &mut BTreeMap<u64, f64>,
    ) -> f64 {
        if gross_amount <= 0.0 {
            return 0.0;
        }

        let raw_commission = gross_amount * self.commission_rate;
        let Some(order_id) = order_id else {
            return raw_commission.max(self.minimum_commission);
        };

        let remaining_minimum = commission_state
            .entry(order_id)
            .or_insert(self.minimum_commission);
        if raw_commission > *remaining_minimum {
            let charged = if (*remaining_minimum - self.minimum_commission).abs() < 1e-12 {
                raw_commission
            } else {
                raw_commission - *remaining_minimum
            };
            *remaining_minimum = 0.0;
            charged
        } else {
            let charged = if (*remaining_minimum - self.minimum_commission).abs() < 1e-12 {
                self.minimum_commission
            } else {
                0.0
            };
            *remaining_minimum -= raw_commission;
            charged
        }
    }
}

impl CostModel for ChinaAShareCostModel {
    fn calculate(&self, date: NaiveDate, side: OrderSide, gross_amount: f64) -> TradingCost {
        if gross_amount <= 0.0 {
            return TradingCost {
                commission: 0.0,
                stamp_tax: 0.0,
            };
        }

        let commission = self.commission_for(gross_amount);
        let stamp_tax = self.stamp_tax_for(date, side, gross_amount);

        TradingCost {
            commission,
            stamp_tax,
        }
    }

    fn calculate_with_order_state(
        &self,
        date: NaiveDate,
        side: OrderSide,
        gross_amount: f64,
        order_id: Option<u64>,
        commission_state: &mut BTreeMap<u64, f64>,
    ) -> TradingCost {
        if gross_amount <= 0.0 {
            return TradingCost {
                commission: 0.0,
                stamp_tax: 0.0,
            };
        }

        let commission = self.commission_for_order_fill(gross_amount, order_id, commission_state);
        let stamp_tax = self.stamp_tax_for(date, side, gross_amount);

        TradingCost {
            commission,
            stamp_tax,
        }
    }
}