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移除决策日市值二次推算

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boris
2026-07-12 04:21:46 +08:00
parent c094e78bef
commit 20b07ddd7d
2 changed files with 35 additions and 95 deletions
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crates/fidc-core/src/data.rs
+21 -82
View File
@@ -448,49 +448,12 @@ pub struct EligibleUniverseSnapshot {
pub free_float_cap_bn: f64, pub free_float_cap_bn: f64,
} }
pub fn decision_adjusted_cap_bn( pub fn decision_market_cap_bn(factor: &DailyFactorSnapshot) -> f64 {
factor_date: NaiveDate, factor.market_cap_bn
raw_cap_bn: f64,
market: &DailyMarketSnapshot,
) -> f64 {
if !raw_cap_bn.is_finite() || raw_cap_bn <= 0.0 {
return f64::NAN;
}
if factor_date != market.date {
return raw_cap_bn;
}
if !market.close.is_finite()
|| market.close <= 0.0
|| !market.prev_close.is_finite()
|| market.prev_close <= 0.0
{
return f64::NAN;
}
raw_cap_bn * market.prev_close / market.close
} }
fn factor_market_cap_is_decision_adjusted(factor: &DailyFactorSnapshot) -> bool { pub fn decision_free_float_cap_bn(factor: &DailyFactorSnapshot) -> f64 {
factor factor.free_float_cap_bn
.extra_factors
.get("__market_cap_decision_adjusted")
.is_some_and(|value| value.is_finite() && *value > 0.0)
}
pub fn decision_market_cap_bn(factor: &DailyFactorSnapshot, market: &DailyMarketSnapshot) -> f64 {
if factor_market_cap_is_decision_adjusted(factor) {
return factor.market_cap_bn;
}
decision_adjusted_cap_bn(factor.date, factor.market_cap_bn, market)
}
pub fn decision_free_float_cap_bn(
factor: &DailyFactorSnapshot,
market: &DailyMarketSnapshot,
) -> f64 {
if factor_market_cap_is_decision_adjusted(factor) {
return factor.free_float_cap_bn;
}
decision_adjusted_cap_bn(factor.date, factor.free_float_cap_bn, market)
} }
#[derive(Debug, Clone)] #[derive(Debug, Clone)]
@@ -3048,20 +3011,21 @@ fn build_fundamental_universe_for_date(
return rows; return rows;
}; };
for factor in factors { for factor in factors {
let Some(market) = market_by_date if market_by_date
.get(&date) .get(&date)
.and_then(|rows| find_arc_by_symbol(rows, &factor.symbol, |row| row.symbol.as_str())) .and_then(|rows| find_arc_by_symbol(rows, &factor.symbol, |row| row.symbol.as_str()))
else { .is_none()
{
continue; continue;
}; }
let market_cap_bn = decision_market_cap_bn(factor, market); let market_cap_bn = decision_market_cap_bn(factor);
if market_cap_bn <= 0.0 || !market_cap_bn.is_finite() { if market_cap_bn <= 0.0 || !market_cap_bn.is_finite() {
continue; continue;
} }
rows.push(EligibleUniverseSnapshot { rows.push(EligibleUniverseSnapshot {
symbol: factor.symbol.clone(), symbol: factor.symbol.clone(),
market_cap_bn, market_cap_bn,
free_float_cap_bn: decision_free_float_cap_bn(factor, market), free_float_cap_bn: decision_free_float_cap_bn(factor),
}); });
} }
rows.sort_by(|left, right| { rows.sort_by(|left, right| {
@@ -3136,11 +3100,11 @@ fn build_eligible_universe_for_date_from_factors(
{ {
continue; continue;
} }
let market_cap_bn = decision_market_cap_bn(factor, market); let market_cap_bn = decision_market_cap_bn(factor);
if market_cap_bn <= 0.0 || !market_cap_bn.is_finite() { if market_cap_bn <= 0.0 || !market_cap_bn.is_finite() {
continue; continue;
} }
let free_float_cap_bn = decision_free_float_cap_bn(factor, market); let free_float_cap_bn = decision_free_float_cap_bn(factor);
rows.push(EligibleUniverseSnapshot { rows.push(EligibleUniverseSnapshot {
symbol: factor.symbol.clone(), symbol: factor.symbol.clone(),
market_cap_bn, market_cap_bn,
@@ -3444,11 +3408,11 @@ mod tests {
let rows = data.eligible_universe_on(date); let rows = data.eligible_universe_on(date);
assert_eq!(rows.len(), 2); assert_eq!(rows.len(), 2);
assert_eq!(rows[0].symbol, "000001.SZ"); assert_eq!(rows[0].symbol, "000002.SZ");
assert!((rows[0].market_cap_bn - 6.0).abs() < 1e-9); assert!((rows[0].market_cap_bn - 10.0).abs() < 1e-9);
assert!((rows[0].free_float_cap_bn - 2.0).abs() < 1e-9); assert_eq!(rows[1].symbol, "000001.SZ");
assert_eq!(rows[1].symbol, "000002.SZ"); assert!((rows[1].market_cap_bn - 12.0).abs() < 1e-9);
assert!((rows[1].market_cap_bn - 10.0).abs() < 1e-9); assert!((rows[1].free_float_cap_bn - 4.0).abs() < 1e-9);
} }
#[test] #[test]
@@ -3621,33 +3585,8 @@ mod tests {
} }
#[test] #[test]
fn decision_market_cap_keeps_pre_adjusted_factor() { fn decision_market_cap_uses_factor_date_snapshot_without_price_reconstruction() {
let date = NaiveDate::parse_from_str("2025-01-06", "%Y-%m-%d").unwrap(); let date = NaiveDate::parse_from_str("2025-01-06", "%Y-%m-%d").unwrap();
let market = DailyMarketSnapshot {
date,
symbol: "000001.SZ".to_string(),
timestamp: Some("2025-01-06 10:18:00".to_string()),
day_open: 10.0,
open: 10.0,
high: 20.0,
low: 10.0,
close: 20.0,
last_price: 10.0,
bid1: 10.0,
ask1: 10.0,
prev_close: 10.0,
volume: 100_000,
minute_volume: 1_000,
bid1_volume: 1_000,
ask1_volume: 1_000,
trading_phase: Some("continuous".to_string()),
paused: false,
upper_limit: 11.0,
lower_limit: 9.0,
price_tick: 0.01,
};
let mut extra_factors = BTreeMap::new();
extra_factors.insert("__market_cap_decision_adjusted".to_string(), 1.0);
let factor = DailyFactorSnapshot { let factor = DailyFactorSnapshot {
date, date,
symbol: "000001.SZ".to_string(), symbol: "000001.SZ".to_string(),
@@ -3656,11 +3595,11 @@ mod tests {
pe_ttm: 10.0, pe_ttm: 10.0,
turnover_ratio: Some(1.0), turnover_ratio: Some(1.0),
effective_turnover_ratio: Some(1.0), effective_turnover_ratio: Some(1.0),
extra_factors, extra_factors: BTreeMap::new(),
}; };
assert!((decision_market_cap_bn(&factor, &market) - 12.0).abs() < 1e-9); assert!((decision_market_cap_bn(&factor) - 12.0).abs() < 1e-9);
assert!((decision_free_float_cap_bn(&factor, &market) - 4.0).abs() < 1e-9); assert!((decision_free_float_cap_bn(&factor) - 4.0).abs() < 1e-9);
} }
#[test] #[test]
crates/fidc-core/src/platform_expr_strategy.rs
+14 -13
View File
@@ -3123,8 +3123,8 @@ impl PlatformExprStrategy {
} else { } else {
factor.extra_factors.get("amount").copied().unwrap_or(0.0) factor.extra_factors.get("amount").copied().unwrap_or(0.0)
}; };
let market_cap_bn = decision_market_cap_bn(factor, market); let market_cap_bn = decision_market_cap_bn(factor);
let free_float_cap_bn = decision_free_float_cap_bn(factor, market); let free_float_cap_bn = decision_free_float_cap_bn(factor);
let market_cap = Self::market_cap_storage_to_strategy_unit(market_cap_bn); let market_cap = Self::market_cap_storage_to_strategy_unit(market_cap_bn);
let free_float_cap = Self::market_cap_storage_to_strategy_unit(free_float_cap_bn); let free_float_cap = Self::market_cap_storage_to_strategy_unit(free_float_cap_bn);
let expression_high = if intraday_same_day_factor { let expression_high = if intraday_same_day_factor {
@@ -6888,11 +6888,11 @@ impl PlatformExprStrategy {
if !self.stock_passes_universe_exclude(candidate, market) { if !self.stock_passes_universe_exclude(candidate, market) {
continue; continue;
} }
let market_cap_bn = decision_market_cap_bn(factor, market); let market_cap_bn = decision_market_cap_bn(factor);
if market_cap_bn <= 0.0 || !market_cap_bn.is_finite() { if market_cap_bn <= 0.0 || !market_cap_bn.is_finite() {
continue; continue;
} }
let free_float_cap_bn = decision_free_float_cap_bn(factor, market); let free_float_cap_bn = decision_free_float_cap_bn(factor);
rows.push(EligibleUniverseSnapshot { rows.push(EligibleUniverseSnapshot {
symbol: factor.symbol.clone(), symbol: factor.symbol.clone(),
market_cap_bn, market_cap_bn,
@@ -14683,16 +14683,16 @@ mod tests {
let universe = strategy.selectable_universe_on(&ctx, date, date); let universe = strategy.selectable_universe_on(&ctx, date, date);
assert_eq!(universe.len(), 1); assert_eq!(universe.len(), 1);
assert!((universe[0].market_cap_bn - 9.0).abs() < 1e-9); assert!((universe[0].market_cap_bn - 18.0).abs() < 1e-9);
assert!((universe[0].free_float_cap_bn - 4.5).abs() < 1e-9); assert!((universe[0].free_float_cap_bn - 9.0).abs() < 1e-9);
let stock = strategy let stock = strategy
.stock_state_with_factor_date(&ctx, date, date, symbol) .stock_state_with_factor_date(&ctx, date, date, symbol)
.expect("stock state"); .expect("stock state");
assert!((stock.market_cap - 9.0).abs() < 1e-9); assert!((stock.market_cap - 18.0).abs() < 1e-9);
assert!((stock.market_cap_bn - 9.0).abs() < 1e-9); assert!((stock.market_cap_bn - 18.0).abs() < 1e-9);
assert!((stock.free_float_cap - 4.5).abs() < 1e-9); assert!((stock.free_float_cap - 9.0).abs() < 1e-9);
assert!((stock.free_float_cap_bn - 4.5).abs() < 1e-9); assert!((stock.free_float_cap_bn - 9.0).abs() < 1e-9);
assert_eq!(stock.close, 10.0); assert_eq!(stock.close, 10.0);
assert!(stock.high.is_nan()); assert!(stock.high.is_nan());
assert!(stock.low.is_nan()); assert!(stock.low.is_nan());
@@ -14702,7 +14702,7 @@ mod tests {
let (selected, _, _) = strategy let (selected, _, _) = strategy
.select_symbols(&ctx, date, date, date, &day, 10.0, 20.0, 1) .select_symbols(&ctx, date, date, date, &day, 10.0, 20.0, 1)
.expect("selection"); .expect("selection");
assert!(selected.is_empty()); assert_eq!(selected, vec![symbol.to_string()]);
} }
#[test] #[test]
@@ -25484,8 +25484,9 @@ mod tests {
.order_intents .order_intents
.iter() .iter()
.filter_map(|intent| match intent { .filter_map(|intent| match intent {
OrderIntent::Value { value, reason, .. } OrderIntent::Value { value, reason, .. } if reason == "periodic_rebalance_buy" => {
if reason == "periodic_rebalance_buy" => Some(*value), Some(*value)
}
_ => None, _ => None,
}) })
.collect::<Vec<_>>(); .collect::<Vec<_>>();