zsb/fidc-backtest-engine
1
0
Fork 0
Code Issues Pull Requests Packages Projects Releases Wiki Activity

由执行风控处理无行情买单

Browse Source
This commit is contained in:
boris
2026-09-07 09:04:07 +08:00
parent fc6dea12eb
commit 0afbdc2210
1 changed files with 40 additions and 12 deletions
Download Patch File Download Diff File Expand all files Collapse all files
crates/fidc-core/src/platform_expr_strategy.rs
+40 -12
View File
@@ -13321,18 +13321,6 @@ impl Strategy for PlatformExprStrategy {
{
continue;
}
if self.uses_intraday_execution_quotes() {
let execution_time = self.intraday_execution_start_time();
if self
.scheduled_quote_at_time(ctx, projection_date, symbol, Some(execution_time))
.is_none()
{
selection_notes.push(format!(
"daily_target_skipped symbol={symbol} reason=execution_quote_unavailable no_order=true"
));
continue;
}
}
let target_value = target_value_for_scale(
strategy_visible_total_value,
trading_ratio,
@@ -24371,6 +24359,46 @@ mod tests {
assert_eq!(selected.len(), 1);
assert_eq!(selected[0].symbol, symbol);
let mut target_cfg = PlatformExprStrategyConfig::microcap_rotation();
target_cfg.universe_exclude.clear();
target_cfg.signal_symbol = symbol.to_string();
target_cfg.max_positions = 1;
target_cfg.selection_limit_expr = "1".to_string();
target_cfg.market_cap_lower_expr = "0".to_string();
target_cfg.market_cap_upper_expr = "100".to_string();
target_cfg.stock_filter_expr = "close > 0".to_string();
target_cfg.exposure_expr = "1.0".to_string();
target_cfg.stop_loss_expr.clear();
target_cfg.take_profit_expr.clear();
target_cfg.daily_top_up_enabled = true;
target_cfg.daily_position_target_adjust_enabled = true;
target_cfg.target_portfolio_daily_enabled = true;
target_cfg.hold_until_exit_enabled = true;
target_cfg.retry_empty_rebalance = false;
target_cfg.matching_type = MatchingType::CurrentBarClose;
target_cfg.intraday_execution_time =
Some(NaiveTime::from_hms_opt(10, 18, 0).expect("valid execution time"));
let mut target_strategy = PlatformExprStrategy::new(target_cfg);
target_strategy.last_rebalance_date = Some(date);
let target_decision = target_strategy.on_day(&ctx).expect("daily target decision");
assert!(target_decision.order_intents.iter().any(|intent| matches!(
intent,
OrderIntent::TargetValue {
symbol: intent_symbol,
target_value,
reason,
} if intent_symbol == symbol
&& *target_value > 0.0
&& reason == "model_target_portfolio_daily"
)));
assert!(
!target_decision
.diagnostics
.iter()
.any(|note| note.contains("execution_quote_unavailable"))
);
let mut restricted_cfg = PlatformExprStrategyConfig::microcap_rotation();
restricted_cfg.universe_include = Some(BTreeSet::from(["000001.SZ".to_string()]));
restricted_cfg.universe_exclude.clear();