104 lines
3.6 KiB
Markdown
104 lines
3.6 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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- [x] 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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- [x] 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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- [x] 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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- [x] `order_target_portfolio_smart(..., order_prices=AlgoOrder, valuation_prices=...)`
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### Phase 5: Position accounting parity
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- [x] `trading_pnl`
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- [x] `position_pnl`
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- [x] `dividend_receivable`
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- [x] richer position lifecycle fields exposed to strategy runtime
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### Phase 6: Strategy data API parity
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- [x] `history_bars` numeric helper for daily, intraday, and tick fields
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- [x] `current_snapshot`
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- [x] `instrument` / `instruments` / `all_instruments`
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- [x] `get_trading_dates` / `get_previous_trading_date` /
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`get_next_trading_date`
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- [x] phase-aware minute/tick history cursor semantics matching the active
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bar or tick callback
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### Phase 7: Remaining stock data-source API parity
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- [x] `is_suspended`
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- [x] `is_st_stock`
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- [x] `get_price` style date-range tabular API
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- [x] `active_instruments`
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- [x] `instruments_history`
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### Phase 8: Order object API parity
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- [x] open-order status and unfilled quantity exposed to strategy runtime
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- [x] final order object lookup by order id
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- [x] order average fill price and transaction cost aggregation
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### Phase 9: Account / portfolio API parity
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- [x] stock-account runtime view (`ctx.account()` / `ctx.portfolio_view()`)
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- [x] `cash`, `available_cash`, `frozen_cash`, `market_value`, `total_value`
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exposed to strategy runtime and DSL
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- [x] `unit_net_value`, `static_unit_net_value`, `daily_pnl`,
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`daily_returns`, `total_returns`, `transaction_cost`, `trading_pnl`,
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and `position_pnl` exposed to strategy runtime and DSL
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- [x] explicit deposit / withdraw API
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- [x] financing liability / repay API
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- [x] management-fee rate and callback parity
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- [ ] multi-account stock/future segregation
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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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7. Continue stock data-source API parity.
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8. Continue order object API parity.
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9. Continue account / portfolio API parity.
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## Current Step
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Active implementation target: continue account parity after exposing the stock
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account runtime view, core Portfolio fields, deposit/withdraw, financing
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liability APIs, and management-fee callbacks; next gap is multi-account
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stock/future segregation.
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