修复买入禁入误触发强平
This commit is contained in:
@@ -2198,17 +2198,6 @@ impl PlatformExprStrategy {
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}
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}
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}
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}
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fn candidate_requires_forced_exit(
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&self,
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ctx: &StrategyContext<'_>,
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date: NaiveDate,
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symbol: &str,
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) -> bool {
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ctx.data.candidate(date, symbol).is_some_and(|candidate| {
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!candidate.allow_buy && candidate.allow_sell && !candidate.is_paused
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})
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}
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fn stock_state_with_factor_date_and_time(
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fn stock_state_with_factor_date_and_time(
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&self,
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&self,
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ctx: &StrategyContext<'_>,
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ctx: &StrategyContext<'_>,
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@@ -6831,10 +6820,6 @@ impl Strategy for PlatformExprStrategy {
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)? {
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)? {
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continue;
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continue;
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}
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}
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if self.candidate_requires_forced_exit(ctx, execution_date, &position.symbol) {
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pending_full_close_symbols.insert(position.symbol.clone());
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continue;
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}
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let (stop_hit, profit_hit) =
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let (stop_hit, profit_hit) =
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self.stop_take_action_for_position(ctx, execution_date, &day, position)?;
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self.stop_take_action_for_position(ctx, execution_date, &day, position)?;
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if stop_hit {
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if stop_hit {
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@@ -6869,52 +6854,6 @@ impl Strategy for PlatformExprStrategy {
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}
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}
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}
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}
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if self.config.aiquant_transaction_cost {
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for position in ctx.portfolio.positions().values() {
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if position.quantity == 0 || delayed_sold_symbols.contains(&position.symbol) {
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continue;
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}
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if !pending_full_close_symbols.contains(&position.symbol)
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|| !self.candidate_requires_forced_exit(ctx, execution_date, &position.symbol)
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{
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continue;
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}
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if self.regular_sell_should_wait_due_to_highlimit(
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ctx,
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execution_date,
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&position.symbol,
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self.intraday_execution_start_time(),
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)? {
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continue;
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}
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let can_sell = self.can_sell_position(ctx, execution_date, &position.symbol);
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exit_symbols.insert(position.symbol.clone());
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order_intents.push(OrderIntent::TargetValue {
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symbol: position.symbol.clone(),
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target_value: 0.0,
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reason: "risk_forced_exit".to_string(),
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});
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if can_sell {
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if self
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.project_target_zero(
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ctx,
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&mut projected,
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execution_date,
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&position.symbol,
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&mut projected_execution_state,
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)
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.is_some()
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&& Self::projected_position_is_flat(&projected, &position.symbol)
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{
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same_day_sold_symbols.insert(position.symbol.clone());
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slot_working_symbols.remove(&position.symbol);
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}
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} else {
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unresolved_stop_loss_symbols.insert(position.symbol.clone());
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}
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}
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}
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if self.config.aiquant_transaction_cost
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if self.config.aiquant_transaction_cost
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&& self.config.rotation_enabled
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&& self.config.rotation_enabled
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&& trading_ratio > 0.0
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&& trading_ratio > 0.0
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@@ -10737,7 +10676,7 @@ mod tests {
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}
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}
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#[test]
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#[test]
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fn platform_aiquant_forced_risk_exit_precedes_weak_market_shrink() {
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fn platform_aiquant_buy_disabled_does_not_force_exit_existing_position() {
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let date = d(2023, 5, 5);
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let date = d(2023, 5, 5);
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let symbol = "300621.SZ";
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let symbol = "300621.SZ";
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let data = DataSet::from_components(
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let data = DataSet::from_components(
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@@ -10829,17 +10768,16 @@ mod tests {
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let mut cfg = PlatformExprStrategyConfig::microcap_rotation();
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let mut cfg = PlatformExprStrategyConfig::microcap_rotation();
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cfg.aiquant_transaction_cost = true;
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cfg.aiquant_transaction_cost = true;
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cfg.signal_symbol = symbol.to_string();
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cfg.signal_symbol = symbol.to_string();
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cfg.exposure_expr = "0.5".to_string();
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cfg.exposure_expr = "1.0".to_string();
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cfg.selection_limit_expr = "40".to_string();
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cfg.selection_limit_expr = "40".to_string();
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cfg.stock_filter_expr = "false".to_string();
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cfg.stock_filter_expr = "true".to_string();
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cfg.stop_loss_expr.clear();
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cfg.stop_loss_expr.clear();
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cfg.take_profit_expr.clear();
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cfg.take_profit_expr.clear();
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cfg.weak_market_shrink_overweight_threshold = Some(1.10);
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let mut strategy = PlatformExprStrategy::new(cfg);
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let mut strategy = PlatformExprStrategy::new(cfg);
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let decision = strategy.on_day(&ctx).expect("platform decision");
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let decision = strategy.on_day(&ctx).expect("platform decision");
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assert!(decision.order_intents.iter().any(|intent| matches!(
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assert!(!decision.order_intents.iter().any(|intent| matches!(
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intent,
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intent,
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OrderIntent::TargetValue {
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OrderIntent::TargetValue {
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symbol: intent_symbol,
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symbol: intent_symbol,
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@@ -10847,14 +10785,6 @@ mod tests {
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reason,
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reason,
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} if intent_symbol == symbol && *target_value == 0.0 && reason == "risk_forced_exit"
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} if intent_symbol == symbol && *target_value == 0.0 && reason == "risk_forced_exit"
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)));
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)));
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assert!(!decision.order_intents.iter().any(|intent| matches!(
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intent,
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OrderIntent::Shares {
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symbol: intent_symbol,
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reason,
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..
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} if intent_symbol == symbol && reason == "daily_position_target_adjust"
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)));
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}
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}
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#[test]
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#[test]
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