优化平台表达式选股快路径

crates/fidc-core/src/platform_expr_strategy.rs

@@ -5567,8 +5567,8 @@ impl PlatformExprStrategy {
 
     fn fast_stock_passes_expr(
         &self,
-        ctx: &StrategyContext<'_>,
+        _ctx: &StrategyContext<'_>,
-        day: &DayExpressionState,
+        _day: &DayExpressionState,
         stock: &StockExpressionState,
     ) -> Option<bool> {
         let compact = Self::compact_expr(&Self::normalize_expr(&self.config.stock_filter_expr));
@@ -5583,31 +5583,55 @@ impl PlatformExprStrategy {
             );
         }
 
-        if compact
+        let mut filter_body = compact.as_str();
-            != "listed_days>=min_listed_days&&rolling_mean(\"close\",5)>rolling_mean(\"close\",10)*ma_ratio&&rolling_mean(\"close\",10)>rolling_mean(\"close\",30)*ma_ratio&&rolling_mean(\"volume\",5)<rolling_mean(\"volume\",100)*max_volume_ratio"
+        let requires_min_listed_days =
+            if let Some(rest) = filter_body.strip_prefix("listed_days>=min_listed_days&&") {
+                filter_body = rest;
+                true
+            } else {
+                false
+            };
+        let base_microcap_filter = "rolling_mean(\"close\",5)>rolling_mean(\"close\",10)*ma_ratio&&rolling_mean(\"close\",10)>rolling_mean(\"close\",30)*ma_ratio&&rolling_mean(\"volume\",5)<rolling_mean(\"volume\",100)*max_volume_ratio";
+        let requires_positive_volume = if filter_body == base_microcap_filter {
+            false
+        } else if filter_body
+            .strip_prefix(base_microcap_filter)
+            .is_some_and(|tail| {
+                matches!(
+                    tail,
+                    "&&rolling_mean(\"volume\",5)>0&&rolling_mean(\"volume\",100)>0"
+                        | "&&rolling_mean(\"volume\",5)>0.0&&rolling_mean(\"volume\",100)>0.0"
+                )
+            })
         {
+            true
+        } else {
             return None;
-        }
+        };
 
+        let listed_days_pass = if requires_min_listed_days {
             let min_listed_days = self
                 .prelude_numeric_constant("min_listed_days")
                 .unwrap_or(0.0);
+            (stock.listed_days as f64) >= min_listed_days
+        } else {
+            true
+        };
         let max_volume_ratio = self
             .prelude_numeric_constant("max_volume_ratio")
             .unwrap_or(1.0);
-        let volume_ma100 = ctx
+        let volume_ma100 = stock.stock_volume_ma100;
-            .data
+        let positive_volume_pass =
-            .market_decision_volume_moving_average(day.date, &stock.symbol, 100)
+            !requires_positive_volume || (stock.stock_volume_ma5 > 0.0 && volume_ma100 > 0.0);
-            .or_else(|| precomputed_stock_rolling_mean(&stock.extra_factors, "volume", 100))
-            .unwrap_or(f64::NAN);
 
         Some(
-            (stock.listed_days as f64) >= min_listed_days
+            listed_days_pass
                 && stock.stock_ma5.is_finite()
                 && stock.stock_ma10.is_finite()
                 && stock.stock_ma30.is_finite()
                 && stock.stock_volume_ma5.is_finite()
                 && volume_ma100.is_finite()
+                && positive_volume_pass
                 && stock.stock_ma5 > stock.stock_ma10 * ma_ratio
                 && stock.stock_ma10 > stock.stock_ma30 * ma_ratio
                 && stock.stock_volume_ma5 < volume_ma100 * max_volume_ratio,
@@ -9529,6 +9553,124 @@ mod tests {
         );
     }
 
+    #[test]
+    fn platform_stock_expr_fast_path_handles_positive_volume_guard() {
+        let current = d(2023, 5, 4);
+        let symbol = "000153.SZ";
+        let build_data = |volume_ma5: f64, volume_ma100: f64| {
+            DataSet::from_components(
+                vec![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(),
+                }],
+                vec![DailyMarketSnapshot {
+                    date: current,
+                    symbol: symbol.to_string(),
+                    timestamp: Some(format!("{current} 10:18:00")),
+                    day_open: 10.0,
+                    open: 10.0,
+                    high: 10.5,
+                    low: 9.8,
+                    close: 10.0,
+                    last_price: 10.0,
+                    bid1: 9.99,
+                    ask1: 10.01,
+                    prev_close: 9.9,
+                    volume: 1_000,
+                    tick_volume: 1_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,
+                }],
+                vec![DailyFactorSnapshot {
+                    date: current,
+                    symbol: symbol.to_string(),
+                    market_cap_bn: 33.64,
+                    free_float_cap_bn: 33.64,
+                    pe_ttm: 8.0,
+                    turnover_ratio: Some(1.0),
+                    effective_turnover_ratio: Some(1.0),
+                    extra_factors: BTreeMap::from([
+                        ("ma5".to_string(), 11.0),
+                        ("ma10".to_string(), 10.0),
+                        ("ma30".to_string(), 9.0),
+                        ("avg_volume5".to_string(), volume_ma5),
+                        ("avg_volume100".to_string(), volume_ma100),
+                    ]),
+                }],
+                vec![CandidateEligibility {
+                    date: current,
+                    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,
+                }],
+                vec![BenchmarkSnapshot {
+                    date: current,
+                    benchmark: "000852.SH".to_string(),
+                    open: 1000.0,
+                    close: 1002.0,
+                    prev_close: 998.0,
+                    volume: 1_000_000,
+                }],
+            )
+            .expect("dataset")
+        };
+        let mut cfg = PlatformExprStrategyConfig::microcap_rotation();
+        cfg.signal_symbol = symbol.to_string();
+        cfg.prefer_precomputed_rolling_factors = true;
+        cfg.prelude = "let ma_ratio = 1.00001; let max_volume_ratio = 1;".to_string();
+        cfg.stock_filter_expr = "rolling_mean(\"close\", 5) > rolling_mean(\"close\", 10) * ma_ratio && rolling_mean(\"close\", 10) > rolling_mean(\"close\", 30) * ma_ratio && rolling_mean(\"volume\", 5) < rolling_mean(\"volume\", 100) * max_volume_ratio && rolling_mean(\"volume\", 5) > 0 && rolling_mean(\"volume\", 100) > 0".to_string();
+
+        for (volume_ma5, volume_ma100, expected) in [(50.0, 100.0, true), (0.0, 100.0, false)] {
+            let data = build_data(volume_ma5, volume_ma100);
+            let portfolio = PortfolioState::new(1_000_000.0);
+            let subscriptions = BTreeSet::new();
+            let ctx = StrategyContext {
+                execution_date: current,
+                decision_date: current,
+                decision_index: 0,
+                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 strategy = PlatformExprStrategy::new(cfg.clone());
+            let day = strategy.day_state(&ctx, current).expect("day state");
+            let stock = strategy
+                .stock_state_with_factor_date(&ctx, current, current, symbol)
+                .expect("stock state");
+
+            assert_eq!(
+                strategy
+                    .stock_passes_expr(&ctx, &day, &stock)
+                    .expect("stock expr"),
+                expected
+            );
+            assert_eq!(strategy.ast_cache_misses(), 0);
+        }
+    }
+
     #[test]
     fn platform_aiquant_weak_market_emits_daily_position_target_adjustment() {
         let date = d(2023, 5, 5);