diff --git a/crates/fidc-core/src/platform_expr_strategy.rs b/crates/fidc-core/src/platform_expr_strategy.rs index 28e7d3a..17cc4df 100644 --- a/crates/fidc-core/src/platform_expr_strategy.rs +++ b/crates/fidc-core/src/platform_expr_strategy.rs @@ -312,7 +312,7 @@ fn band_low(index_close) { } } -#[derive(Default)] +#[derive(Default, Clone)] struct ProjectedExecutionState { execution_cursors: BTreeMap, intraday_turnover: BTreeMap, @@ -1678,6 +1678,27 @@ impl PlatformExprStrategy { .unwrap_or(true) } + fn projected_target_zero_would_fill( + &self, + ctx: &StrategyContext<'_>, + projected: &PortfolioState, + date: NaiveDate, + symbol: &str, + execution_state: &ProjectedExecutionState, + ) -> bool { + let mut trial_projected = projected.clone(); + let mut trial_execution_state = execution_state.clone(); + self.project_target_zero( + ctx, + &mut trial_projected, + date, + symbol, + &mut trial_execution_state, + ) + .is_some() + && Self::projected_position_is_flat(&trial_projected, symbol) + } + fn projected_position_value_at_execution_price( &self, ctx: &StrategyContext<'_>, @@ -6490,13 +6511,19 @@ impl Strategy for PlatformExprStrategy { } let (stop_hit, profit_hit) = self.stop_take_action_for_position(ctx, execution_date, &day, position)?; - let can_sell = self.can_sell_position(ctx, execution_date, &position.symbol); if stop_hit { - if can_sell { + if self.projected_target_zero_would_fill( + ctx, + &projected, + execution_date, + &position.symbol, + &projected_execution_state, + ) { pending_full_close_symbols.insert(position.symbol.clone()); } continue; } + let can_sell = self.can_sell_position(ctx, execution_date, &position.symbol); if !can_sell { continue; } @@ -6518,7 +6545,15 @@ impl Strategy for PlatformExprStrategy { } } if profit_hit { - pending_full_close_symbols.insert(position.symbol.clone()); + if self.projected_target_zero_would_fill( + ctx, + &projected, + execution_date, + &position.symbol, + &projected_execution_state, + ) { + pending_full_close_symbols.insert(position.symbol.clone()); + } } } } @@ -12502,6 +12537,169 @@ mod tests { ))); } + #[test] + fn platform_weak_market_keeps_positive_adjust_when_intraday_stop_loss_sell_blocked() { + let prev_date = d(2025, 2, 2); + let date = d(2025, 2, 3); + let symbols = ["000001.SZ", "000002.SZ"]; + let data = DataSet::from_components_with_actions_and_quotes( + symbols + .iter() + .map(|symbol| Instrument { + symbol: (*symbol).to_string(), + name: (*symbol).to_string(), + board: "SZ".to_string(), + round_lot: 100, + listed_at: Some(d(2020, 1, 1)), + delisted_at: None, + status: "active".to_string(), + }) + .collect(), + symbols + .iter() + .map(|symbol| DailyMarketSnapshot { + date, + symbol: (*symbol).to_string(), + timestamp: Some("2025-02-03 10:40:00".to_string()), + day_open: 9.6, + open: 9.6, + high: 9.7, + low: 9.0, + close: 9.5, + last_price: 9.5, + bid1: 9.5, + ask1: 9.51, + prev_close: 10.0, + volume: 1_000_000, + tick_volume: 10_000, + bid1_volume: 2_000, + ask1_volume: 2_000, + trading_phase: Some("continuous".to_string()), + paused: false, + upper_limit: 11.0, + lower_limit: 9.0, + price_tick: 0.01, + }) + .collect(), + symbols + .iter() + .enumerate() + .map(|(index, symbol)| DailyFactorSnapshot { + date, + symbol: (*symbol).to_string(), + market_cap_bn: 10.0 + index as f64, + free_float_cap_bn: 10.0 + index as f64, + pe_ttm: 8.0, + turnover_ratio: Some(1.0), + effective_turnover_ratio: Some(1.0), + extra_factors: BTreeMap::new(), + }) + .collect(), + symbols + .iter() + .map(|symbol| CandidateEligibility { + date, + symbol: (*symbol).to_string(), + is_st: false, + is_new_listing: false, + is_paused: false, + allow_buy: true, + allow_sell: true, + is_kcb: false, + is_one_yuan: false, + }) + .collect(), + vec![BenchmarkSnapshot { + date, + benchmark: "000852.SH".to_string(), + open: 1000.0, + close: 1000.0, + prev_close: 1000.0, + volume: 1_000_000, + }], + Vec::new(), + symbols + .iter() + .map(|symbol| IntradayExecutionQuote { + date, + symbol: (*symbol).to_string(), + timestamp: date.and_hms_opt(10, 40, 0).expect("timestamp"), + last_price: 9.0, + bid1: 9.0, + ask1: 9.01, + bid1_volume: 2_000, + ask1_volume: 2_000, + volume_delta: 10_000, + amount_delta: 90_000.0, + trading_phase: Some("continuous".to_string()), + }) + .collect(), + ) + .expect("dataset"); + + let mut portfolio = PortfolioState::new(40_000.0); + portfolio + .position_mut("000001.SZ") + .buy(prev_date, 800, 11.0); + let subscriptions = BTreeSet::new(); + let ctx = StrategyContext { + execution_date: date, + decision_date: date, + decision_index: 2, + data: &data, + portfolio: &portfolio, + futures_account: None, + open_orders: &[], + dynamic_universe: None, + subscriptions: &subscriptions, + process_events: &[], + active_process_event: None, + active_datetime: None, + order_events: &[], + fills: &[], + }; + let mut cfg = PlatformExprStrategyConfig::microcap_rotation(); + cfg.signal_symbol = "000001.SZ".to_string(); + cfg.refresh_rate = 99; + cfg.max_positions = 2; + cfg.benchmark_short_ma_days = 1; + cfg.benchmark_long_ma_days = 1; + cfg.market_cap_lower_expr = "0".to_string(); + cfg.market_cap_upper_expr = "1000".to_string(); + cfg.selection_limit_expr = "2".to_string(); + cfg.stock_filter_expr = "close > 0".to_string(); + cfg.exposure_expr = "0.5".to_string(); + cfg.stop_loss_expr = "0.92".to_string(); + cfg.take_profit_expr.clear(); + cfg.daily_top_up_enabled = true; + cfg.aiquant_transaction_cost = true; + cfg.slippage_model = SlippageModel::PriceRatio(0.002); + cfg.intraday_execution_time = Some(NaiveTime::from_hms_opt(10, 40, 0).expect("time")); + let mut strategy = PlatformExprStrategy::new(cfg); + strategy.rebalance_day_counter = 2; + + let decision = strategy.on_day(&ctx).expect("platform decision"); + + assert!(decision.order_intents.iter().any(|intent| matches!( + intent, + OrderIntent::Shares { + symbol, + quantity, + reason, + } if symbol == "000001.SZ" + && reason == "daily_position_target_adjust" + && *quantity > 0 + ))); + assert!(decision.order_intents.iter().any(|intent| matches!( + intent, + OrderIntent::TargetValue { + symbol, + target_value, + reason, + } if symbol == "000001.SZ" && *target_value == 0.0 && reason == "stop_loss_exit" + ))); + } + #[test] fn platform_refresh_rate_uses_stateful_aiquant_day_counter() { let dates = [d(2025, 2, 5), d(2025, 2, 6), d(2025, 2, 7)];