修复止损卖出受限时的目标仓位预判

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<String, NaiveDateTime>,
     intraday_turnover: BTreeMap<String, u32>,
@@ -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)];