211 lines
12 KiB
Markdown
211 lines
12 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 closing RQAlpha parity gaps in the production backtest
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engine. The China A-share stock path is mostly aligned now; the remaining gaps
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are concentrated in multi-account aggregation, futures matching/data/cost
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integration, and advanced RQData-style helper APIs.
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## Re-Audit Findings (2026-04-24)
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The re-audit compared `fidc-backtest-engine` with the local RQAlpha source under
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`/Users/boris/WorkSpace/rqalpha`, especially:
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- `rqalpha/mod/rqalpha_mod_sys_simulation/matcher.py`
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- `rqalpha/mod/rqalpha_mod_sys_simulation/simulation_broker.py`
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- `rqalpha/mod/rqalpha_mod_sys_transaction_cost/deciders.py`
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- `rqalpha/mod/rqalpha_mod_sys_accounts/position_model.py`
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- `rqalpha/mod/rqalpha_mod_sys_risk/validators/*.py`
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- `rqalpha/apis/api_base.py`
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- `rqalpha/apis/api_rqdatac.py`
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Confirmed aligned areas:
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- Stock explicit order APIs, target order APIs, lot sizing, algo order styles,
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pending limit orders, cancellation, open order views, and final order lookup.
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- Stock account and portfolio runtime fields including cash, frozen cash, total
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value, transaction cost, trading/position PnL, management fees, financing
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liability, deposit/withdraw, and position aliases.
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- Scheduler, dynamic universe, subscription guard, `history_bars`,
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`current_snapshot`, `get_price`, instruments, trading-date APIs, suspension
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and ST helpers.
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- Stock matching modes, slippage models, price/volume/liquidity limits, open
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auction handling, and partial fill handling in the stock broker path.
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- Standalone futures account, long/short position model, open/close,
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close-today/close-yesterday, daily mark-to-market settlement, expiration
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settlement, and runtime account views.
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Parity gaps found by this pass and current closure state:
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| Priority | Gap | RQAlpha capability | Current engine state | Next implementation |
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| --- | --- | --- | --- | --- |
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| P0 | Futures intraday matching | Bar/tick matchers support futures orders through the same broker lifecycle, matching type, slippage, price limit, liquidity limit, volume limit, partial fill, and market-close rejection semantics. | Closed for daily/open/close, tick-price futures fills, and true multi-level order-book sweeping when optional `order_book_depth` data exists. L1-only data still uses the existing L1 matcher and is not inflated into fake depth. | Extend depth fields only if production vendors expose more levels or exchange-specific fields. |
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| P0 | Futures open-order lifecycle | `SimulationBroker` keeps pending orders, supports `get_open_orders`, cancellation, before-trading activation, tick/bar rematching, and after-trading rejection. | Closed for futures pending limit orders, cross-day rematching, cancellation by id/symbol/all, and merged open-order runtime views. | Add more order status transitions only if UI requires RQAlpha's exact intermediate event names. |
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| P0 | Combined multi-account NAV | RQAlpha portfolio aggregates account values across stock/future accounts. | Closed. `DailyEquityPoint`, progress events, and metrics now use aggregate stock + futures initial cash and total equity. | None. |
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| P1 | Futures trading parameter data source | RQAlpha loads contract multiplier, margin ratios, commission type, open/close/close-today commission ratios, settlement/prev-settlement, tick size, listed/de-listed dates, and dominant contracts from data proxy. | Closed for engine-side trading-parameter ingestion/resolution via `futures_trading_parameters.csv` or component data. | Add more exchange metadata columns only when source data exposes them. |
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| P1 | Futures transaction cost decider | RQAlpha supports by-money/by-volume futures commission with separate open, close, and close-today rates and a commission multiplier. | Closed. `FuturesTransactionCostModel` calculates by-money/by-volume open/close/close-today costs from trading parameters. | None. |
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| P1 | Futures settlement price mode | RQAlpha can settle futures by `settlement` or `close`, including previous-settlement fields. | Closed. Engine supports configurable settlement price mode and resolves settlement/prev-settlement from factor fields with close/prev_close fallback. | Add dedicated settlement columns if the storage layer later separates them from factors. |
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| P1 | Frontend risk validators for futures | RQAlpha applies cash/margin, position closable, price-limit, trading-status, and self-trade validators before order submission. | Closed for zero quantity, invalid limit price, active-contract, trading-phase, tick-aligned limit price, price-limit, self-trade crossing risk, paused/no executable price, margin, and close-position rejection diagnostics. These submission validators are controlled by `FuturesValidationConfig` so service-level callers can relax individual checks for compatibility tests or vendor-specific rules. | Add more exchange metadata columns only when source data exposes them. |
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| P2 | RQData helper APIs | RQAlpha exposes `get_dividend`, `get_split`, `get_yield_curve`, `get_factor`, `get_margin_stocks`, `get_securities_margin`, `get_dominant_future`, and dominant futures price APIs. | Closed. These APIs are available through `DataSet` and `StrategyContext`; platform expressions also expose focused helpers such as `dividend_cash`, `factor_value`, `yield_curve`, `is_margin_stock`, `dominant_future`, and `dominant_future_price`. | Add more DSL aliases only when users need specific names. |
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| P2 | Analyzer/report parity | RQAlpha analyser can export richer trades, positions, benchmark, monthly returns, risk, and summary artifacts. | Closed for normalized trades, positions, monthly returns, risk summary, equity curve, benchmark series, metrics, and JSON report bundle via `BacktestResult::analyzer_report(_json)`. | UI/service download endpoints can serialize this report directly. |
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| P3 | Mod/config/plugin architecture | RQAlpha has pluggable mods, event bus extension points, and many config toggles. | Closed for a lightweight engine-native model: `BacktestProcessMod`, `BacktestProcessModLoader`, enabled-name installation, and event-bus lifecycle hooks. It intentionally avoids RQAlpha's Python global mod loader. | Add concrete production mods/toggles as requirements appear. |
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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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- [x] RQAlpha-style stock position aliases (`order_book_id`, `avg_price`,
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`sellable`, `closable`, `equity`, `position_prev_close`)
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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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- [x] stock account map/accessor surface (`accounts`, `stock_account`,
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`account_by_type("STOCK")`)
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- [x] standalone futures account model with contract multiplier, long/short
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margin, daily mark-to-market settlement, and short close cashflow
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- [x] standalone futures order execution model with open, close, close-today,
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close-yesterday, margin rejection, order/fill/position/account events
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- [x] wire futures account runtime view into `BacktestEngine` and
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`StrategyContext` (`future_account`, `account_by_type("FUTURE")`,
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`accounts`)
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- [x] wire futures order intents into the generic `BacktestEngine` execution
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loop for account-level open/close execution
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- [x] standalone futures expiration settlement closes all long/short contract
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positions at settlement price
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- [x] data-driven futures expiration schedule in `BacktestEngine` settlement
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phase
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- [x] futures intraday matching integration
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- [x] futures pending/open-order lifecycle and cancellation parity
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- [x] aggregate multi-account NAV/metrics/progress across stock and futures
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- [x] futures trading-parameter data source and automatic cost/margin resolver
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- [x] futures settlement/prev-settlement data integration and settlement mode
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- [x] futures-aware submission validators and self-trade checks
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- [x] configurable futures active-contract, trading-phase, price-tick, and
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price-limit submission validators
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- [x] optional true multi-level futures order-book depth data and sweep matching
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### Phase 10: Advanced data API parity
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- [x] `get_dividend`
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- [x] `get_split`
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- [x] `get_yield_curve`
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- [x] `get_factor`
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- [x] `get_margin_stocks`
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- [x] `get_securities_margin`
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- [x] `get_dominant_future`
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- [x] futures dominant price helpers
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- [x] platform DSL helper aliases for advanced RQData-style APIs
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### Phase 11: Analyzer / report parity
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- [x] RQAlpha-style normalized trades report
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- [x] RQAlpha-style normalized positions report
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- [x] benchmark / monthly returns / risk summary artifacts
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- [x] downloadable analyser output bundle
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### Phase 12: Lightweight mod / extension parity
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- [x] event-bus process listeners
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- [x] installable `BacktestProcessMod` extension hook
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- [x] `BacktestProcessModLoader` with enabled-name installation
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- [ ] Python RQAlpha-style global mod loader, intentionally out of scope unless
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we need Python plugin compatibility
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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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10. Add aggregate multi-account NAV and metrics so futures affects reported
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performance.
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11. Add futures intraday matcher and pending-order lifecycle.
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12. Add futures trading-parameter resolver, transaction-cost decider, and
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settlement-price integration.
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13. Add advanced RQData helper APIs where source data exists.
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14. Add analyser/report artifact parity.
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15. Add lightweight process-mod extension hooks; only add concrete mods when
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production needs them.
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## Current Step
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Active implementation target: P0-P2 parity items are implemented in the engine
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core, and P3 now has a lightweight event-driven extension loader. Remaining
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future work should be driven by concrete production strategy or UI requirements,
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especially optional vendor-specific depth fields, additional exchange metadata
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columns, or exact UI-required RQAlpha intermediate event names.
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