feat(backtest): add TWAPExecution + VWAPExecution

tests/unit/test_backtest_execution.py

@@ -5,7 +5,12 @@ from __future__ import annotations
 import pandas as pd
 import pytest
 
-from easy_tdx.backtest.execution import ExecutionModel, ImmediateExecution
+from easy_tdx.backtest.execution import (
+    ExecutionModel,
+    ImmediateExecution,
+    TWAPExecution,
+    VWAPExecution,
+)
 from easy_tdx.backtest.types import Signal
 
 
@@ -167,3 +172,150 @@ class TestImmediateExecution:
         )
         assert len(trades) == 1
         assert trades[0].size == 100
+
+
+class TestTWAPExecution:
+    """时间加权平均价格执行。"""
+
+    def test_split_buy_into_3_bars(self) -> None:
+        df = _make_df(20)
+        model = TWAPExecution(n_bars=3)
+        signal = Signal(datetime=20240101, direction="BUY", size=300)
+        trades = model.execute(
+            signal=signal,
+            df=df,
+            bar_idx=0,
+            cash=100000,
+            position=0,
+            position_mode="fixed",
+            commission=0.0003,
+            min_commission=5.0,
+            stamp_tax=0.001,
+            slippage_model=None,
+        )
+        assert len(trades) == 3
+        total_size = sum(t.size for t in trades)
+        assert total_size <= 300
+        prices = [t.price for t in trades]
+        assert prices[0] != prices[1]
+
+    def test_split_sell_into_2_bars(self) -> None:
+        df = _make_df(20)
+        model = TWAPExecution(n_bars=2)
+        signal = Signal(datetime=20240101, direction="SELL", size=200)
+        trades = model.execute(
+            signal=signal,
+            df=df,
+            bar_idx=0,
+            cash=0,
+            position=500,
+            position_mode="fixed",
+            commission=0.0003,
+            min_commission=5.0,
+            stamp_tax=0.001,
+            slippage_model=None,
+        )
+        assert len(trades) == 2
+        assert sum(t.size for t in trades) == 200.0
+
+    def test_truncates_at_data_end(self) -> None:
+        df = _make_df(5)
+        model = TWAPExecution(n_bars=10)
+        signal = Signal(datetime=20240101, direction="BUY", size=1000)
+        trades = model.execute(
+            signal=signal,
+            df=df,
+            bar_idx=0,
+            cash=100000,
+            position=0,
+            position_mode="fixed",
+            commission=0.0003,
+            min_commission=5.0,
+            stamp_tax=0.001,
+            slippage_model=None,
+        )
+        assert len(trades) <= 4
+
+    def test_full_position_mode(self) -> None:
+        df = _make_df(20)
+        model = TWAPExecution(n_bars=3)
+        signal = Signal(datetime=20240101, direction="BUY", size=0)
+        trades = model.execute(
+            signal=signal,
+            df=df,
+            bar_idx=0,
+            cash=60000,
+            position=0,
+            position_mode="full",
+            commission=0.0003,
+            min_commission=5.0,
+            stamp_tax=0.001,
+            slippage_model=None,
+        )
+        assert len(trades) == 3
+        assert all(t.size > 0 for t in trades)
+
+
+class TestVWAPExecution:
+    """成交量加权平均价格执行。"""
+
+    def test_basic_buy(self) -> None:
+        df = _make_df(20)
+        model = VWAPExecution(n_bars=3, volume_lookback=10)
+        signal = Signal(datetime=20240101, direction="BUY", size=300)
+        trades = model.execute(
+            signal=signal,
+            df=df,
+            bar_idx=5,
+            cash=100000,
+            position=0,
+            position_mode="fixed",
+            commission=0.0003,
+            min_commission=5.0,
+            stamp_tax=0.001,
+            slippage_model=None,
+        )
+        assert len(trades) == 3
+        total_size = sum(t.size for t in trades)
+        assert total_size <= 300
+
+    def test_volume_weighted_split(self) -> None:
+        df = _make_df(20)
+        df.loc[6, "volume"] = 50000
+        df.loc[7, "volume"] = 50000
+        df.loc[8, "volume"] = 50000
+        model = VWAPExecution(n_bars=3, volume_lookback=5)
+        signal = Signal(datetime=20240105, direction="BUY", size=300)
+        trades = model.execute(
+            signal=signal,
+            df=df,
+            bar_idx=5,
+            cash=100000,
+            position=0,
+            position_mode="fixed",
+            commission=0.0003,
+            min_commission=5.0,
+            stamp_tax=0.001,
+            slippage_model=None,
+        )
+        assert len(trades) == 3
+        sizes = [t.size for t in trades]
+        assert sum(sizes) <= 300
+
+    def test_truncates_at_data_end(self) -> None:
+        df = _make_df(5)
+        model = VWAPExecution(n_bars=10, volume_lookback=3)
+        signal = Signal(datetime=20240101, direction="BUY", size=1000)
+        trades = model.execute(
+            signal=signal,
+            df=df,
+            bar_idx=0,
+            cash=100000,
+            position=0,
+            position_mode="fixed",
+            commission=0.0003,
+            min_commission=5.0,
+            stamp_tax=0.001,
+            slippage_model=None,
+        )
+        assert len(trades) <= 4