修正次日开盘目标市值现金投影

crates/fidc-core/src/platform_expr_strategy.rs

@@ -2143,7 +2143,7 @@ impl PlatformExprStrategy {
         }
         let market = ctx.data.market(date, symbol)?;
         let current_value = if self.config.aiquant_transaction_cost {
-            self.projected_position_value_at_execution_price(ctx, projected, date, symbol)
+            self.projected_target_value_current_position_value(ctx, projected, date, symbol)
         } else {
             let valuation_price = if market.close.is_finite() && market.close > 0.0 {
                 market.close
@@ -2275,6 +2275,26 @@ impl PlatformExprStrategy {
         }
     }
 
+    fn projected_target_value_current_position_value(
+        &self,
+        ctx: &StrategyContext<'_>,
+        projected: &PortfolioState,
+        date: NaiveDate,
+        symbol: &str,
+    ) -> f64 {
+        let Some(position) = projected.position(symbol) else {
+            return 0.0;
+        };
+        if self.config.matching_type == MatchingType::NextBarOpen {
+            if let Some(market) = ctx.data.market(date, symbol) {
+                if market.prev_close.is_finite() && market.prev_close > 0.0 {
+                    return position.quantity as f64 * market.prev_close;
+                }
+            }
+        }
+        self.projected_position_value_at_execution_price(ctx, projected, date, symbol)
+    }
+
     fn context_position_value_for_remaining_buy_cash(
         &self,
         ctx: &StrategyContext<'_>,
@@ -10158,6 +10178,122 @@ mod tests {
         );
     }
 
+    #[test]
+    fn platform_aiquant_next_open_target_delta_uses_previous_close_and_sizes_at_open() {
+        let date = d(2025, 1, 2);
+        let symbol = "000001.SZ";
+        let data = 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,
+                symbol: symbol.to_string(),
+                timestamp: Some(format!("{date} 15:00:00")),
+                day_open: 12.0,
+                open: 12.0,
+                high: 20.0,
+                low: 9.8,
+                close: 20.0,
+                last_price: 20.0,
+                bid1: 12.0,
+                ask1: 12.0,
+                prev_close: 10.0,
+                volume: 1_000_000,
+                minute_volume: 10_000,
+                bid1_volume: 10_000,
+                ask1_volume: 10_000,
+                trading_phase: Some("continuous".to_string()),
+                paused: false,
+                upper_limit: 22.0,
+                lower_limit: 9.0,
+                price_tick: 0.01,
+            }],
+            vec![DailyFactorSnapshot {
+                date,
+                symbol: symbol.to_string(),
+                market_cap_bn: 10.0,
+                free_float_cap_bn: 10.0,
+                pe_ttm: 8.0,
+                turnover_ratio: Some(1.0),
+                effective_turnover_ratio: Some(1.0),
+                extra_factors: BTreeMap::new(),
+            }],
+            vec![CandidateEligibility {
+                date,
+                symbol: symbol.to_string(),
+                is_st: false,
+                is_star_st: false,
+                is_new_listing: false,
+                is_paused: false,
+                allow_buy: true,
+                allow_sell: true,
+                is_kcb: false,
+                is_one_yuan: false,
+                risk_level_code: None,
+            }],
+            vec![BenchmarkSnapshot {
+                date,
+                benchmark: "000852.SH".to_string(),
+                open: 1000.0,
+                close: 1002.0,
+                prev_close: 998.0,
+                volume: 1_000_000,
+            }],
+        )
+        .expect("dataset");
+        let mut portfolio = PortfolioState::new(10_000.0);
+        portfolio.position_mut(symbol).buy(date, 100, 10.0);
+        let subscriptions = BTreeSet::new();
+        let ctx = StrategyContext {
+            execution_date: date,
+            decision_date: date,
+            decision_index: 1,
+            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 mut cfg = PlatformExprStrategyConfig::microcap_rotation();
+        cfg.aiquant_transaction_cost = true;
+        cfg.matching_type = MatchingType::NextBarOpen;
+        cfg.risk_config.trading_constraints.volume_limit_enabled = false;
+        cfg.risk_config.trading_constraints.liquidity_limit_enabled = false;
+        let strategy = PlatformExprStrategy::new(cfg);
+        let mut projected = portfolio.clone();
+        let mut execution_state = super::ProjectedExecutionState::default();
+
+        assert_eq!(
+            strategy.projected_target_value_current_position_value(&ctx, &projected, date, symbol,),
+            1_000.0
+        );
+        assert_eq!(
+            strategy.project_target_value(
+                &ctx,
+                &mut projected,
+                date,
+                symbol,
+                3_410.0,
+                &mut execution_state,
+            ),
+            Some(200)
+        );
+        assert_eq!(projected.position(symbol).unwrap().quantity, 300);
+    }
+
     #[test]
     fn platform_next_open_sell_risk_uses_open_not_close_for_lower_limit() {
         let prev_date = d(2025, 1, 1);