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修复AiQuant同批目标调仓净额语义

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This commit is contained in:
boris
2026-07-07 22:44:49 +08:00
parent a50e59ab1d
commit 22451300b1
1 changed files with 63 additions and 27 deletions
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crates/fidc-core/src/platform_expr_strategy.rs
+63 -27
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@@ -8285,6 +8285,47 @@ impl Strategy for PlatformExprStrategy {
}
}
let mut actionable_stop_take_exit_symbols = BTreeSet::<String>::new();
if self.config.aiquant_transaction_cost
&& self.config.rotation_enabled
&& trading_ratio > 0.0
&& trading_ratio < 1.0
&& selection_limit > 0
{
for position in ctx.portfolio.positions().values() {
if position.quantity == 0
|| delayed_sold_symbols.contains(&position.symbol)
|| pending_full_close_symbols.contains(&position.symbol)
|| self.pending_highlimit_holdings.contains(&position.symbol)
{
continue;
}
if self.regular_sell_should_wait_due_to_highlimit(
ctx,
projection_date,
&position.symbol,
self.intraday_execution_start_time(),
)? {
continue;
}
let (stop_hit, profit_hit) =
self.stop_take_action_for_position(ctx, signal_date, &day, position)?;
if !stop_hit && !profit_hit {
continue;
}
if defer_execution_risk
|| self.can_sell_position_at_time(
ctx,
execution_date,
&position.symbol,
Some(self.intraday_execution_start_time()),
)
{
actionable_stop_take_exit_symbols.insert(position.symbol.clone());
}
}
}
if self.config.aiquant_transaction_cost
&& self.config.rotation_enabled
&& trading_ratio > 0.0
@@ -8311,6 +8352,9 @@ impl Strategy for PlatformExprStrategy {
if pending_full_close_symbols.contains(&position.symbol) {
continue;
}
if actionable_stop_take_exit_symbols.contains(&position.symbol) {
continue;
}
let current_value = self.projected_position_value_at_execution_price(
ctx,
&projected,
@@ -19840,7 +19884,7 @@ mod tests {
}
#[test]
fn platform_weak_market_adjusts_before_stop_loss_position() {
fn platform_weak_market_skips_target_adjust_before_actionable_stop_loss() {
let prev_date = d(2025, 2, 2);
let date = d(2025, 2, 3);
let symbols = ["000001.SZ", "000002.SZ"];
@@ -19965,36 +20009,28 @@ mod tests {
let decision = strategy.on_day(&ctx).expect("platform decision");
let stop_loss_index = decision
.order_intents
.iter()
.position(|intent| {
matches!(
intent,
OrderIntent::TargetValue {
symbol,
target_value,
reason,
} if symbol == "000001.SZ" && *target_value == 0.0 && reason == "stop_loss_exit"
)
})
.expect("stop-loss exit");
assert!(
decision.order_intents[..stop_loss_index]
.iter()
.any(|intent| matches!(
intent,
OrderIntent::Shares {
symbol,
quantity,
reason,
} if symbol == "000001.SZ"
&& reason == "daily_position_target_adjust"
&& *quantity > 0
)),
!decision.order_intents.iter().any(|intent| matches!(
intent,
OrderIntent::Shares {
symbol,
quantity,
reason,
} if symbol == "000001.SZ"
&& reason == "daily_position_target_adjust"
&& *quantity > 0
)),
"{:?}",
decision.order_intents
);
assert!(decision.order_intents.iter().any(|intent| matches!(
intent,
OrderIntent::TargetValue {
symbol,
target_value,
reason,
} if symbol == "000001.SZ" && *target_value == 0.0 && reason == "stop_loss_exit"
)));
assert!(decision.order_intents.iter().any(|intent| matches!(
intent,
OrderIntent::Value { symbol, reason, .. }