61 lines
1.9 KiB
Markdown
61 lines
1.9 KiB
Markdown
# RQAlpha Gap Roadmap
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This document tracks the remaining RQAlpha backtest capabilities that are not
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yet fully aligned in `fidc-backtest-engine`, and the implementation order we
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are following.
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## Scope
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This roadmap focuses on the China A-share stock backtest path first. Multi-asset
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coverage such as futures/options is tracked separately and is not part of the
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current alignment pass.
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## Remaining Gaps
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### Phase 1: Strategy API parity
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- [x] `order_to` / target-shares style explicit order primitive
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- [x] `order_target_portfolio(_smart)` style public API surface
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- [ ] richer explicit order styles exposed to platform scripts
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### Phase 2: Scheduling and execution surface
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- [x] minute-level `time_rule` semantics like `market_open`, `market_close`,
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`physical_time`
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- [ ] finer `1m` / `tick` strategy execution entrypoints beyond `open_auction`
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and `on_day`
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- [x] scheduled actions evaluated against explicit intraday times
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### Phase 3: Universe and subscription model
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- [x] `update_universe`
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- [x] `subscribe`
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- [x] `unsubscribe`
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- [ ] tick-frequency subscription guards exposed at strategy API level
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### Phase 4: Algo order parity
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- [x] `VWAPOrder` first-class explicit action parity (`order.vwap_value/percent`)
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- [x] `TWAPOrder` first-class explicit action parity (`order.twap_value/percent`)
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- [ ] `order_target_portfolio_smart(..., order_prices=AlgoOrder, valuation_prices=...)`
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### Phase 5: Position accounting parity
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- [ ] `trading_pnl`
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- [ ] `position_pnl`
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- [ ] `dividend_receivable`
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- [ ] richer position lifecycle fields exposed to strategy runtime
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## Execution Order
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1. Close the explicit order API gap with target-shares / `order_to` parity.
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2. Add public batch target-portfolio semantics.
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3. Expand scheduler to intraday time rules.
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4. Add dynamic universe APIs.
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5. Add algo-order styles.
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6. Finish position accounting parity.
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## Current Step
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Active implementation target: Phase 4, algo-order styles.
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