Minute execution scenarios
portfolio_backtester.minute_execution is an opt-in long-only mechanism using raw prices and caller-verified corporate actions. Existing daily APIs are unchanged. Execution uses historical amount divided by share volume, bounded to bar OHLC. This proxy neither proves executable fills nor identifies own-order impact.
Use MinuteExecutionConfig and simulate_minute_execution(targets, bars, config, corporate_actions=()). Results expose daily, orders, fills, holdings, and summary. The holdings ledger contains positive closing inventory only. An absent symbol means zero ownership only when the corresponding date exists in daily.
Targets are complete snapshots with timezone-aware pandas decision_time, entry_time, symbol, and weight. Entry must follow decision. Omitted holdings receive zero target weight; a new snapshot cancels pending earlier orders. Quantities use reference marks available before entry, and release schedules do not depend on future volume.
Bars require symbol,time,open,high,low,close,volume,amount,up_limit,down_limit,tradable. Prices and amount use CNY; volume uses shares. time is observation availability. Optional interval_start identifies the earliest trade time represented by its volume; the default is conservatively time-1 minute. The entire interval must start strictly after slice release plus latency. Delayed availability cannot authorize pre-activation liquidity.
release_slices and execution_minutes determine a fixed schedule. Durations are wall-clock minutes, including lunch. Sibling orders share per-symbol bar participation. Sells fund buys, fees constrain affordability, and rules enforce T+1, configured buy lots, and directional limit touches. Whole-position integer odd lots can be liquidated when capacity permits; fractional entitlements remain separately disclosed.
Existing CorporateAction events capture record-date closing ownership, create cash/share receivables on ex-date, and release them on payment/listing dates. Unlisted stock rights count toward target exposure but cannot be sold. Before a fresh ex-date observation, known ordinary distributions adjust reference marks and label them synthetic_ex_reference; these are derived references, not observed quotes. Reorganization capitalization and rights issues require separate caller verification.
Missing daily marks for holdings or pending stock rights invalidate NAV and retain symbol diagnostics. Callers must additionally verify terminal marks, the authoritative calendar, historical eligibility, all corporate actions, and versioned inputs. Optional commission_minimum_cny defaults to zero and applies once per parent across partial fills. sell_tax_bp separates tax from the combined sell rate. Zero fills incur no fee, and both buy affordability and sell proceeds respect available cash. Parent aggregation is an explicit assumption; actual brokers may bill child orders differently. Queues, hidden liquidity, and permanent impact remain unmodeled.
Explicit ValuationEvent(event_id, symbol, effective_time, available_time, value_per_share, basis, source) declarations are separate from executable bars. Pass them through valuation_events=(); prices may be zero, and both timestamps must be timezone aware with availability no later than effectiveness. Identifiers and symbol/effective-time keys are unique. An event establishes permanent nontrading eligibility, cancels affected pending orders, and blocks later targets. It changes neither cash nor legal share ownership and preserves corporate entitlements. Later events may update the valuation but cannot reopen trading. Nontradable bars do not override declared marks; any tradable bar at or after the declaration is rejected.
Events within the bars/targets window apply at their own instant before sizing. Earlier declarations establish state at the first base instant, retaining their original timestamps. Future declarations are ignored and listed in summary.ignored_future_event_ids; they never extend the end date. Persistent declared valuations remain explicit assumptions: opt-in daily.valuation_marks retains source, basis, effective/available time, and source/event age, and does not classify them as observed fresh quotes. valuation_ledger records each application, actual shares, stock rights, prior/new mark, value change, and unchanged cash. Zero is a valuation declaration, never a zero OHLC bar or assumed disposal.
With valuation events enabled, bar times, interval starts, and target decision/entry times must share one declared market timezone. Event timestamps may use other timezones and are converted to that market timezone without changing their instants, so calendar-day accounting follows the market.