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feat(backtest): add OrderSimulator with 5 execution modes and reject policy

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- Implement OrderSimulator class for order matching simulation
- Support 5 execution modes: next_open, next_close, this_close, worst, best
- Support 3 position modes: full, fixed, percent
- Support 2 reject policies: reduce (partial fill), skip (reject)
- Implement fee model: commission (min 5 CNY), stamp tax (0.1% sell only), slippage
- Add future_leak_warning flag for this_close mode
- Handle both int and datetime column types in DataFrame
- Add comprehensive test suite with 24 test cases covering all modes

Co-Authored-By: Claude Opus 4.8 <noreply@anthropic.com>
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2026-06-09 17:52:31 +08:00
co-authored by Claude Opus 4.8
parent 687851fc67
commit 16dc2e7da9
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src/easy_tdx/backtest/orders.py
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"""订单撮合模拟器。
将策略信号转换为成交记录，支持多种执行模式、仓位管理和拒绝策略。
"""
from __future__ import annotations
from dataclasses import dataclass
import pandas as pd
from easy_tdx.backtest.types import Signal, Trade
@dataclass
class OrderSimulator:
"""订单撮合模拟器。
将策略信号（Signal）转换为成交记录（Trade），支持多种执行模式、
仓位管理和拒绝策略。
Attributes:
df: K线数据 DataFrame
execution: 成交价规则 (next_open/next_close/this_close/worst/best)
position_mode: 仓位模式 (full/fixed/percent)
reject_policy: 拒绝策略 (reduce/skip)
commission: 佣金费率
min_commission: 最低佣金
stamp_tax: 印花税率（仅卖出）
slippage: 滑点（每股）
future_leak_warning: 是否使用了未来数据（this_close 模式）
"""
df: pd.DataFrame
execution: str = "next_open"
position_mode: str = "full"
reject_policy: str = "reduce"
commission: float = 0.0003
min_commission: float = 5.0
stamp_tax: float = 0.001
slippage: float = 0.0
future_leak_warning: bool = False
def simulate(
self,
signals: list[Signal],
cash: float,
position: float,
position_mode: str | None = None,
) -> list[Trade]:
"""模拟订单撮合过程。
Args:
signals: 交易信号列表
cash: 初始现金
position: 初始持仓（股数）
position_mode: 仓位模式（覆盖初始化参数）
Returns:
成交记录列表
"""
if position_mode is None:
position_mode = self.position_mode
trades: list[Trade] = []
current_cash = cash
current_position = position
for signal in signals:
# 找到信号对应的 K 线
bar_idx = self._find_bar_index(signal.datetime)
if bar_idx is None:
continue
# 确定成交的 K 线索引
exec_idx = self._resolve_exec_index(bar_idx)
if exec_idx is None or exec_idx >= len(self.df):
continue
# 获取成交价
price = self._get_price(exec_idx, signal.direction)
if price is None:
continue
# 执行交易
if signal.direction == "BUY":
trade = self._execute_buy(
signal=signal,
bar_idx=bar_idx,
exec_idx=exec_idx,
price=price,
cash=current_cash,
position=current_position,
position_mode=position_mode,
)
if trade is not None:
trades.append(trade)
if not trade.rejected:
current_cash -= trade.size * trade.price + trade.commission + trade.slippage
current_position += trade.size
elif signal.direction == "SELL":
trade = self._execute_sell(
signal=signal,
bar_idx=bar_idx,
exec_idx=exec_idx,
price=price,
cash=current_cash,
position=current_position,
position_mode=position_mode,
)
if trade is not None:
trades.append(trade)
if not trade.rejected:
current_cash += trade.size * trade.price - trade.commission - trade.slippage
current_position -= trade.size
return trades
def _find_bar_index(self, datetime_val: int) -> int | None:
"""查找 datetime 对应的 K 线索引。
Args:
datetime_val: 信号时间（int 格式 YYYYMMDD）
Returns:
K 线索引，未找到返回 None
"""
# 检查 df 中的 datetime 列类型
dt_col = self.df["datetime"]
# 尝试直接比较（如果是 int 类型）
try:
idx = (dt_col == datetime_val).idxmax() if (dt_col == datetime_val).any() else None
if idx is not None:
return int(idx)
except (TypeError, ValueError):
pass
# 如果是 datetime 对象，转为 int 比较
if pd.api.types.is_datetime64_any_dtype(dt_col):
dt_ints = dt_col.dt.strftime("%Y%m%d").astype(int)
mask = dt_ints == datetime_val
if mask.any():
return int(mask.idxmax())
return None
return None
def _resolve_exec_index(self, bar_idx: int) -> int | None:
"""根据执行模式确定成交的 K 线索引。
Args:
bar_idx: 信号对应的 K 线索引
Returns:
成交 K 线索引
"""
if self.execution == "this_close":
# 当信号 K 线收盘时成交
self.future_leak_warning = True
return bar_idx
else:
# 其他模式在下一根 K 线成交
return bar_idx + 1
def _get_price(self, exec_idx: int, direction: str) -> float | None:
"""根据执行模式和方向获取成交价。
Args:
exec_idx: 成交 K 线索引
direction: 交易方向
Returns:
成交价格
"""
if exec_idx >= len(self.df):
return None
row = self.df.iloc[exec_idx]
if self.execution == "next_open":
return float(row["open"])
elif self.execution == "next_close":
return float(row["close"])
elif self.execution == "this_close":
return float(row["close"])
elif self.execution == "worst":
# 买入取最高价，卖出取最低价
return float(row["high"]) if direction == "BUY" else float(row["low"])
elif self.execution == "best":
# 买入取最低价，卖出取最高价
return float(row["low"]) if direction == "BUY" else float(row["high"])
else:
return None
def _calculate_buy_size(
self,
signal_size: float,
price: float,
cash: float,
position_mode: str,
) -> float:
"""计算买入数量。
Args:
signal_size: 信号指定的数量
price: 成交价格
cash: 可用现金
position_mode: 仓位模式
Returns:
买入数量（股）
"""
if position_mode == "full" or signal_size == 0:
# 全仓：计算可用现金能买多少（100股整手）
# 先计算最大股数，然后向下取整到100的倍数
max_cost_per_share = price * (1 + self.commission) + self.slippage
max_shares_raw = cash / max_cost_per_share
max_shares = int(max_shares_raw / 100) * 100
return float(max_shares)
elif position_mode == "fixed":
# 固定股数
return signal_size
elif position_mode == "percent":
# 总资产的百分比
total_value = cash # 简化：假设现金=总资产
target_value = total_value * signal_size
max_shares = int(target_value / price / 100) * 100
return float(max_shares)
else:
return signal_size
def _calculate_sell_size(
self,
signal_size: float,
position: float,
position_mode: str,
) -> float:
"""计算卖出数量。
Args:
signal_size: 信号指定的数量
position: 当前持仓
position_mode: 仓位模式
Returns:
卖出数量（股）
"""
if position_mode == "full" or signal_size == 0:
# 全部卖出
return position
elif position_mode == "fixed":
# 固定股数
return signal_size
elif position_mode == "percent":
# 持仓的百分比
return position * signal_size
else:
return signal_size
def _calculate_commission(self, size: float, price: float, is_sell: bool = False) -> float:
"""计算手续费。
Args:
size: 成交数量
price: 成交价格
is_sell: 是否为卖出
Returns:
手续费总额
"""
# 佣金
commission = max(size * price * self.commission, self.min_commission)
# 印花税（仅卖出）
if is_sell:
stamp = size * price * self.stamp_tax
commission += stamp
return commission
def _execute_buy(
self,
signal: Signal,
bar_idx: int,
exec_idx: int,
price: float,
cash: float,
position: float,
position_mode: str,
) -> Trade | None:
"""执行买入。
Args:
signal: 交易信号
bar_idx: 信号 K 线索引
exec_idx: 成交 K 线索引
price: 成交价格
cash: 可用现金
position: 当前持仓
position_mode: 仓位模式
Returns:
成交记录
"""
# 保存原始信号数量
original_size = signal.size
# 计算买入数量
size = self._calculate_buy_size(signal.size, price, cash, position_mode)
if size <= 0:
# 资金不足或计算结果为0
if self.reject_policy == "skip":
# 对于 percent 模式，original_size 是百分比（如 0.5），不是股数
# 对于 fixed/full 模式，original_size 就是股数
display_size = original_size if position_mode == "fixed" else 100
return Trade(
datetime=self.df.iloc[exec_idx]["datetime"],
direction="BUY",
size=display_size,
price=price,
commission=0.0,
slippage=0.0,
pnl=0.0,
rejected=True,
)
return None
# 计算费用
commission = self._calculate_commission(size, price, is_sell=False)
slippage = size * self.slippage
# 检查资金是否足够
total_cost = size * price + commission + slippage
if total_cost > cash:
if self.reject_policy == "skip":
return Trade(
datetime=self.df.iloc[exec_idx]["datetime"],
direction="BUY",
size=original_size,
price=price,
commission=commission,
slippage=slippage,
pnl=0.0,
rejected=True,
)
elif self.reject_policy == "reduce":
# reduce 模式：重新计算可买数量
available_cash = cash - self.min_commission - slippage
if available_cash > price:
reduced_size = int(available_cash / price / 100) * 100
if reduced_size > 0:
commission = self._calculate_commission(reduced_size, price, is_sell=False)
slippage = reduced_size * self.slippage
return Trade(
datetime=self.df.iloc[exec_idx]["datetime"],
direction="BUY",
size=reduced_size,
price=price,
commission=commission,
slippage=slippage,
pnl=0.0,
rejected=False,
)
# 无法买任何数量
return None
return Trade(
datetime=self.df.iloc[exec_idx]["datetime"],
direction="BUY",
size=size,
price=price,
commission=commission,
slippage=slippage,
pnl=0.0,
rejected=False,
)
def _execute_sell(
self,
signal: Signal,
bar_idx: int,
exec_idx: int,
price: float,
cash: float,
position: float,
position_mode: str,
) -> Trade | None:
"""执行卖出。
Args:
signal: 交易信号
bar_idx: 信号 K 线索引
exec_idx: 成交 K 线索引
price: 成交价格
cash: 可用现金
position: 当前持仓
position_mode: 仓位模式
Returns:
成交记录
"""
# 计算卖出数量
size = self._calculate_sell_size(signal.size, position, position_mode)
if size <= 0:
# 无持仓
if self.reject_policy == "skip":
return Trade(
datetime=self.df.iloc[exec_idx]["datetime"],
direction="SELL",
size=0,
price=price,
commission=0.0,
slippage=0.0,
pnl=0.0,
rejected=True,
)
return None
# 检查持仓是否足够
if size > position:
if self.reject_policy == "skip":
return Trade(
datetime=self.df.iloc[exec_idx]["datetime"],
direction="SELL",
size=size,
price=price,
commission=0.0,
slippage=0.0,
pnl=0.0,
rejected=True,
)
# reduce 模式：减少到实际持仓
size = position
# 计算费用
commission = self._calculate_commission(size, price, is_sell=True)
slippage = size * self.slippage
return Trade(
datetime=self.df.iloc[exec_idx]["datetime"],
direction="SELL",
size=size,
price=price,
commission=commission,
slippage=slippage,
pnl=0.0,
rejected=False,
)