fidc-backtest-engine/docs/rqalpha-gap-roadmap.md

RQAlpha Gap Roadmap

This document tracks the remaining RQAlpha backtest capabilities that are not yet fully aligned in fidc-backtest-engine, and the implementation order we are following.

Scope

This roadmap focuses on the China A-share stock backtest path first. Multi-asset coverage such as futures/options is tracked separately and is not part of the current alignment pass.

Remaining Gaps

Phase 1: Strategy API parity

• order_to / target-shares style explicit order primitive
• order_target_portfolio(_smart) style public API surface
• richer explicit order styles exposed to platform scripts

Phase 2: Scheduling and execution surface

• minute-level time_rule semantics like market_open, market_close, physical_time
• finer 1m / tick strategy execution entrypoints beyond open_auction and on_day
• scheduled actions evaluated against explicit intraday times

Phase 3: Universe and subscription model

• update_universe
• subscribe
• unsubscribe
• tick-frequency subscription guards exposed at strategy API level

Phase 4: Algo order parity

• VWAPOrder first-class explicit action parity (order.vwap_value/percent)
• TWAPOrder first-class explicit action parity (order.twap_value/percent)
• order_target_portfolio_smart(..., order_prices=AlgoOrder, valuation_prices=...)

Phase 5: Position accounting parity

• trading_pnl
• position_pnl
• dividend_receivable
• richer position lifecycle fields exposed to strategy runtime
• RQAlpha-style stock position aliases (order_book_id, avg_price, sellable, closable, equity, position_prev_close)

Phase 6: Strategy data API parity

• history_bars numeric helper for daily, intraday, and tick fields
• current_snapshot
• instrument / instruments / all_instruments
• get_trading_dates / get_previous_trading_date / get_next_trading_date
• phase-aware minute/tick history cursor semantics matching the active bar or tick callback

Phase 7: Remaining stock data-source API parity

• is_suspended
• is_st_stock
• get_price style date-range tabular API
• active_instruments
• instruments_history

Phase 8: Order object API parity

• open-order status and unfilled quantity exposed to strategy runtime
• final order object lookup by order id
• order average fill price and transaction cost aggregation

Phase 9: Account / portfolio API parity

• stock-account runtime view (ctx.account() / ctx.portfolio_view())
• cash, available_cash, frozen_cash, market_value, total_value exposed to strategy runtime and DSL
• unit_net_value, static_unit_net_value, daily_pnl, daily_returns, total_returns, transaction_cost, trading_pnl, and position_pnl exposed to strategy runtime and DSL
• explicit deposit / withdraw API
• financing liability / repay API
• management-fee rate and callback parity
• stock account map/accessor surface (accounts, stock_account, account_by_type("STOCK"))
• full futures account, margin, and short-position execution model

Execution Order

1. Close the explicit order API gap with target-shares / order_to parity.
2. Add public batch target-portfolio semantics.
3. Expand scheduler to intraday time rules.
4. Add dynamic universe APIs.
5. Add algo-order styles.
6. Finish position accounting parity.
7. Continue stock data-source API parity.
8. Continue order object API parity.
9. Continue account / portfolio API parity.

Current Step

Active implementation target: continue account parity after exposing the stock account runtime view, core Portfolio fields, deposit/withdraw, financing liability APIs, management-fee callbacks, and stock account accessors; next gap is the full futures account, margin, and short-position execution model.