wbt 0.1.7

Weight-based backtesting engine for quantitative trading
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
53
54
55
56
57
58
59
60
61
62
63
64
65
66
67
68
69
70
71
72
73
74
75
76
77
78
79
80
81
82
83
84
85
86
87
88
89
90
91
92
93
94
95
96
97
98
99
100
101
102
103
104
105
106
107
108
109
110
111
112
113
114
115
116
117
118
119
120
121
122
123
124
125
126
127
128
129
130
131
132
133
134
135
136
137
138
139
140
141
142
143
144
145
146
147
148
149
150
151
152
153
154
155

use serde::Serialize;
use strum_macros::{AsRefStr, Display, EnumString};

pub static OP_OPEN_LONG_CLOSE_SHORT: &str = "开多 -> 平空";
pub static OP_OPEN_LONG_CLOSE_LONG: &str = "开多 -> 平多";
pub static OP_OPEN_SHORT_CLOSE_SHORT: &str = "开空 -> 平空";
pub static OP_OPEN_SHORT_CLOSE_LONG: &str = "开空 -> 平多";
pub static OP_UNKNOWN: &str = "未知操作";

#[derive(Debug, Clone, Copy, PartialEq, EnumString, AsRefStr, Display, Serialize)]
pub enum TradeDir {
    #[strum(serialize = "多头")]
    Long,
    #[strum(serialize = "空头")]
    Short,
    #[strum(serialize = "多空")]
    LongShort,
}

#[derive(Debug, Clone, Copy, PartialEq, EnumString, AsRefStr, Display)]
pub enum TradeAction {
    #[strum(serialize = "开空")]
    OpenShort,
    #[strum(serialize = "开多")]
    OpenLong,
    #[strum(serialize = "平空")]
    CloseShort,
    #[strum(serialize = "平多")]
    CloseLong,
}

impl TradeAction {
    pub fn first_create(vol: i64) -> Option<Self> {
        match vol {
            vol if vol > 0 => Some(Self::OpenLong),
            vol if vol < 0 => Some(Self::OpenShort),
            _ => None,
        }
    }

    pub fn get_event_seq(&self, op: Self) -> &'static str {
        match (*self, op) {
            (TradeAction::OpenLong, TradeAction::CloseShort) => OP_OPEN_LONG_CLOSE_SHORT,
            (TradeAction::OpenLong, TradeAction::CloseLong) => OP_OPEN_LONG_CLOSE_LONG,
            (TradeAction::OpenShort, TradeAction::CloseShort) => OP_OPEN_SHORT_CLOSE_SHORT,
            (TradeAction::OpenShort, TradeAction::CloseLong) => OP_OPEN_SHORT_CLOSE_LONG,
            _ => OP_UNKNOWN,
        }
    }
}

#[cfg(test)]
mod tests {
    use super::*;

    #[test]
    fn test_first_create_positive_volume() {
        let action = TradeAction::first_create(5);
        assert_eq!(action, Some(TradeAction::OpenLong));
    }

    #[test]
    fn test_first_create_negative_volume() {
        let action = TradeAction::first_create(-3);
        assert_eq!(action, Some(TradeAction::OpenShort));
    }

    #[test]
    fn test_first_create_zero_volume() {
        let action = TradeAction::first_create(0);
        assert_eq!(action, None);
    }

    // --- TradeDir Display/FromStr ---
    #[test]
    fn trade_dir_display_from_str() {
        assert_eq!(TradeDir::Long.to_string(), "多头");
        assert_eq!(TradeDir::Short.to_string(), "空头");
        assert_eq!(TradeDir::LongShort.to_string(), "多空");
        assert_eq!("多头".parse::<TradeDir>().unwrap(), TradeDir::Long);
        assert_eq!("空头".parse::<TradeDir>().unwrap(), TradeDir::Short);
        assert_eq!("多空".parse::<TradeDir>().unwrap(), TradeDir::LongShort);
    }

    // --- TradeAction Display/FromStr ---
    #[test]
    fn trade_action_display_from_str() {
        assert_eq!(TradeAction::OpenLong.to_string(), "开多");
        assert_eq!(TradeAction::OpenShort.to_string(), "开空");
        assert_eq!(TradeAction::CloseLong.to_string(), "平多");
        assert_eq!(TradeAction::CloseShort.to_string(), "平空");
        assert_eq!(
            "开多".parse::<TradeAction>().unwrap(),
            TradeAction::OpenLong
        );
        assert_eq!(
            "开空".parse::<TradeAction>().unwrap(),
            TradeAction::OpenShort
        );
        assert_eq!(
            "平多".parse::<TradeAction>().unwrap(),
            TradeAction::CloseLong
        );
        assert_eq!(
            "平空".parse::<TradeAction>().unwrap(),
            TradeAction::CloseShort
        );
    }

    // --- first_create edge cases ---
    #[test]
    fn first_create_large_volumes() {
        assert_eq!(
            TradeAction::first_create(i64::MAX),
            Some(TradeAction::OpenLong)
        );
        assert_eq!(
            TradeAction::first_create(i64::MIN),
            Some(TradeAction::OpenShort)
        );
    }

    // --- get_event_seq ---
    #[test]
    fn get_event_seq_valid_combos() {
        assert_eq!(
            TradeAction::OpenLong.get_event_seq(TradeAction::CloseShort),
            OP_OPEN_LONG_CLOSE_SHORT
        );
        assert_eq!(
            TradeAction::OpenLong.get_event_seq(TradeAction::CloseLong),
            OP_OPEN_LONG_CLOSE_LONG
        );
        assert_eq!(
            TradeAction::OpenShort.get_event_seq(TradeAction::CloseShort),
            OP_OPEN_SHORT_CLOSE_SHORT
        );
        assert_eq!(
            TradeAction::OpenShort.get_event_seq(TradeAction::CloseLong),
            OP_OPEN_SHORT_CLOSE_LONG
        );
    }

    #[test]
    fn get_event_seq_invalid_combos() {
        assert_eq!(
            TradeAction::CloseLong.get_event_seq(TradeAction::OpenLong),
            OP_UNKNOWN
        );
        assert_eq!(
            TradeAction::OpenLong.get_event_seq(TradeAction::OpenLong),
            OP_UNKNOWN
        );
    }
}