优化平台表达式选股快路径
This commit is contained in:
boris
@@ -5567,8 +5567,8 @@ impl PlatformExprStrategy {
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fn fast_stock_passes_expr(
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&self,
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ctx: &StrategyContext<'_>,
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day: &DayExpressionState,
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_ctx: &StrategyContext<'_>,
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_day: &DayExpressionState,
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stock: &StockExpressionState,
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) -> Option<bool> {
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let compact = Self::compact_expr(&Self::normalize_expr(&self.config.stock_filter_expr));
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@@ -5583,31 +5583,55 @@ impl PlatformExprStrategy {
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);
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}
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if compact
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!= "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"
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let mut filter_body = compact.as_str();
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let requires_min_listed_days =
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if let Some(rest) = filter_body.strip_prefix("listed_days>=min_listed_days&&") {
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filter_body = rest;
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true
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} else {
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false
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};
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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";
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let requires_positive_volume = if filter_body == base_microcap_filter {
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false
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} else if filter_body
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.strip_prefix(base_microcap_filter)
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.is_some_and(|tail| {
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matches!(
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tail,
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"&&rolling_mean(\"volume\",5)>0&&rolling_mean(\"volume\",100)>0"
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| "&&rolling_mean(\"volume\",5)>0.0&&rolling_mean(\"volume\",100)>0.0"
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)
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})
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{
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true
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} else {
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return None;
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}
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};
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let listed_days_pass = if requires_min_listed_days {
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let min_listed_days = self
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.prelude_numeric_constant("min_listed_days")
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.unwrap_or(0.0);
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(stock.listed_days as f64) >= min_listed_days
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} else {
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true
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};
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let max_volume_ratio = self
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.prelude_numeric_constant("max_volume_ratio")
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.unwrap_or(1.0);
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let volume_ma100 = ctx
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.data
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.market_decision_volume_moving_average(day.date, &stock.symbol, 100)
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.or_else(|| precomputed_stock_rolling_mean(&stock.extra_factors, "volume", 100))
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.unwrap_or(f64::NAN);
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let volume_ma100 = stock.stock_volume_ma100;
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let positive_volume_pass =
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!requires_positive_volume || (stock.stock_volume_ma5 > 0.0 && volume_ma100 > 0.0);
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Some(
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(stock.listed_days as f64) >= min_listed_days
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listed_days_pass
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&& stock.stock_ma5.is_finite()
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&& stock.stock_ma10.is_finite()
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&& stock.stock_ma30.is_finite()
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&& stock.stock_volume_ma5.is_finite()
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&& volume_ma100.is_finite()
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&& positive_volume_pass
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&& stock.stock_ma5 > stock.stock_ma10 * ma_ratio
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&& stock.stock_ma10 > stock.stock_ma30 * ma_ratio
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&& stock.stock_volume_ma5 < volume_ma100 * max_volume_ratio,
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@@ -9529,6 +9553,124 @@ mod tests {
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);
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}
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#[test]
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fn platform_stock_expr_fast_path_handles_positive_volume_guard() {
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let current = d(2023, 5, 4);
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let symbol = "000153.SZ";
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let build_data = |volume_ma5: f64, volume_ma100: f64| {
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DataSet::from_components(
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vec![Instrument {
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symbol: symbol.to_string(),
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name: symbol.to_string(),
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board: "SZ".to_string(),
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round_lot: 100,
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listed_at: Some(d(2020, 1, 1)),
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delisted_at: None,
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status: "active".to_string(),
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}],
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vec![DailyMarketSnapshot {
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date: current,
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symbol: symbol.to_string(),
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timestamp: Some(format!("{current} 10:18:00")),
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day_open: 10.0,
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open: 10.0,
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high: 10.5,
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low: 9.8,
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close: 10.0,
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last_price: 10.0,
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bid1: 9.99,
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ask1: 10.01,
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prev_close: 9.9,
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volume: 1_000,
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tick_volume: 1_000,
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bid1_volume: 2_000,
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ask1_volume: 2_000,
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trading_phase: Some("continuous".to_string()),
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paused: false,
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upper_limit: 11.0,
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lower_limit: 9.0,
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price_tick: 0.01,
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}],
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vec![DailyFactorSnapshot {
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date: current,
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symbol: symbol.to_string(),
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market_cap_bn: 33.64,
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free_float_cap_bn: 33.64,
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pe_ttm: 8.0,
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turnover_ratio: Some(1.0),
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effective_turnover_ratio: Some(1.0),
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extra_factors: BTreeMap::from([
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("ma5".to_string(), 11.0),
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("ma10".to_string(), 10.0),
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("ma30".to_string(), 9.0),
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("avg_volume5".to_string(), volume_ma5),
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("avg_volume100".to_string(), volume_ma100),
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]),
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}],
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vec![CandidateEligibility {
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date: current,
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symbol: symbol.to_string(),
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is_st: false,
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is_new_listing: false,
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is_paused: false,
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allow_buy: true,
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allow_sell: true,
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is_kcb: false,
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is_one_yuan: false,
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}],
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vec![BenchmarkSnapshot {
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date: current,
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benchmark: "000852.SH".to_string(),
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open: 1000.0,
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close: 1002.0,
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prev_close: 998.0,
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volume: 1_000_000,
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}],
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)
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.expect("dataset")
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};
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let mut cfg = PlatformExprStrategyConfig::microcap_rotation();
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cfg.signal_symbol = symbol.to_string();
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cfg.prefer_precomputed_rolling_factors = true;
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cfg.prelude = "let ma_ratio = 1.00001; let max_volume_ratio = 1;".to_string();
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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();
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for (volume_ma5, volume_ma100, expected) in [(50.0, 100.0, true), (0.0, 100.0, false)] {
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let data = build_data(volume_ma5, volume_ma100);
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let portfolio = PortfolioState::new(1_000_000.0);
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let subscriptions = BTreeSet::new();
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let ctx = StrategyContext {
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execution_date: current,
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decision_date: current,
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decision_index: 0,
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data: &data,
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portfolio: &portfolio,
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futures_account: None,
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open_orders: &[],
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dynamic_universe: None,
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subscriptions: &subscriptions,
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process_events: &[],
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active_process_event: None,
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active_datetime: None,
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order_events: &[],
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fills: &[],
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};
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let strategy = PlatformExprStrategy::new(cfg.clone());
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let day = strategy.day_state(&ctx, current).expect("day state");
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let stock = strategy
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.stock_state_with_factor_date(&ctx, current, current, symbol)
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.expect("stock state");
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assert_eq!(
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strategy
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.stock_passes_expr(&ctx, &day, &stock)
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.expect("stock expr"),
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expected
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);
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assert_eq!(strategy.ast_cache_misses(), 0);
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}
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}
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#[test]
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fn platform_aiquant_weak_market_emits_daily_position_target_adjustment() {
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let date = d(2023, 5, 5);
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