diff --git a/crates/fidc-core/src/platform_expr_strategy.rs b/crates/fidc-core/src/platform_expr_strategy.rs index 8093b61..0f68711 100644 --- a/crates/fidc-core/src/platform_expr_strategy.rs +++ b/crates/fidc-core/src/platform_expr_strategy.rs @@ -8487,7 +8487,6 @@ impl Strategy for PlatformExprStrategy { 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() { @@ -8527,7 +8526,6 @@ impl Strategy for PlatformExprStrategy { if self.config.aiquant_transaction_cost && self.config.rotation_enabled && trading_ratio > 0.0 - && trading_ratio < 1.0 && selection_limit > 0 && !ctx.portfolio.positions().is_empty() { @@ -22367,228 +22365,6 @@ mod tests { ); } - #[test] - fn platform_delayed_open_partial_exit_releases_top_up_slot() { - let prev_date = d(2025, 5, 5); - let date = d(2025, 5, 6); - let delayed_symbol = "000001.SZ"; - let held_symbol = "000002.SZ"; - let buy_symbol = "000003.SZ"; - let symbols = [delayed_symbol, held_symbol, buy_symbol]; - let data = DataSet::from_components_with_actions_and_quotes( - symbols - .iter() - .map(|symbol| 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(), - }) - .collect(), - symbols - .iter() - .map(|symbol| DailyMarketSnapshot { - date, - symbol: (*symbol).to_string(), - timestamp: Some("2025-05-06 10:18:00".to_string()), - day_open: 10.0, - open: 10.0, - high: 11.0, - low: 9.0, - close: 10.0, - last_price: 10.0, - bid1: 10.0, - ask1: 10.0, - prev_close: 10.0, - volume: 1_000_000, - minute_volume: 10_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, - }) - .collect(), - symbols - .iter() - .map(|symbol| DailyFactorSnapshot { - date, - symbol: (*symbol).to_string(), - market_cap_bn: if *symbol == buy_symbol { - 7.0 - } else if *symbol == delayed_symbol { - 8.0 - } else { - 9.0 - }, - 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(), - }) - .collect(), - symbols - .iter() - .map(|symbol| 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, - }) - .collect(), - vec![BenchmarkSnapshot { - date, - benchmark: "000852.SH".to_string(), - open: 1000.0, - close: 1002.0, - prev_close: 998.0, - volume: 1_000_000, - }], - Vec::new(), - vec![ - IntradayExecutionQuote { - date, - symbol: delayed_symbol.to_string(), - timestamp: date.and_hms_opt(9, 31, 0).expect("valid timestamp"), - last_price: 10.5, - bid1: 10.5, - ask1: 10.51, - bid1_volume: 10_000, - ask1_volume: 10_000, - volume_delta: 400, - amount_delta: 4_200.0, - trading_phase: Some("continuous".to_string()), - }, - IntradayExecutionQuote { - date, - symbol: held_symbol.to_string(), - timestamp: date.and_hms_opt(10, 18, 0).expect("valid timestamp"), - last_price: 10.0, - bid1: 10.0, - ask1: 10.01, - bid1_volume: 10_000, - ask1_volume: 10_000, - volume_delta: 10_000, - amount_delta: 100_000.0, - trading_phase: Some("continuous".to_string()), - }, - IntradayExecutionQuote { - date, - symbol: buy_symbol.to_string(), - timestamp: date.and_hms_opt(10, 18, 0).expect("valid timestamp"), - last_price: 10.0, - bid1: 10.0, - ask1: 10.01, - bid1_volume: 10_000, - ask1_volume: 10_000, - volume_delta: 10_000, - amount_delta: 100_000.0, - trading_phase: Some("continuous".to_string()), - }, - ], - ) - .expect("dataset"); - - let mut portfolio = PortfolioState::new(20_000.0); - portfolio - .position_mut(delayed_symbol) - .buy(prev_date, 1_000, 10.0); - portfolio - .position_mut(held_symbol) - .buy(prev_date, 100, 10.0); - let subscriptions = BTreeSet::new(); - let ctx = StrategyContext { - execution_date: date, - decision_date: date, - decision_index: 20, - 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.signal_symbol = delayed_symbol.to_string(); - cfg.refresh_rate = 99; - cfg.max_positions = 2; - cfg.benchmark_short_ma_days = 1; - cfg.benchmark_long_ma_days = 1; - cfg.market_cap_lower_expr = "0".to_string(); - cfg.market_cap_upper_expr = "100".to_string(); - cfg.selection_limit_expr = "2".to_string(); - cfg.stock_filter_expr = "close > 0".to_string(); - cfg.exposure_expr = "1.0".to_string(); - cfg.stop_loss_expr = "false".to_string(); - cfg.take_profit_expr = "false".to_string(); - cfg.daily_top_up_enabled = true; - cfg.release_slot_on_exit_signal = true; - cfg.aiquant_transaction_cost = true; - cfg.risk_config.trading_constraints.volume_limit_enabled = true; - cfg.risk_config.trading_constraints.volume_percent = 0.25; - cfg.risk_config.trading_constraints.liquidity_limit_enabled = false; - cfg.intraday_execution_time = Some(NaiveTime::from_hms_opt(10, 18, 0).unwrap()); - cfg.delayed_limit_open_exit_enabled = true; - cfg.delayed_limit_open_exit_time = Some(NaiveTime::from_hms_opt(9, 31, 0).unwrap()); - let mut strategy = PlatformExprStrategy::new(cfg); - strategy.rebalance_day_counter = 2; - strategy - .pending_highlimit_holdings - .insert(delayed_symbol.to_string()); - - let decision = strategy.on_day(&ctx).expect("platform decision"); - - assert!( - decision.order_intents.iter().any(|intent| matches!( - intent, - OrderIntent::AlgoValue { - symbol, - reason, - start_time, - .. - } if symbol == delayed_symbol - && reason == "delayed_limit_open_sell" - && *start_time == Some(NaiveTime::from_hms_opt(9, 31, 0).unwrap()) - )), - "{:?}", - decision.order_intents - ); - assert!( - decision.order_intents.iter().any(|intent| matches!( - intent, - OrderIntent::Value { - symbol, - reason, - .. - } if symbol == buy_symbol && reason == "daily_top_up_buy" - )), - "{:?}", - decision.order_intents - ); - assert!( - strategy.pending_highlimit_holdings.contains(delayed_symbol), - "partial delayed exit must keep residual pending" - ); - } - #[test] fn platform_daily_top_up_releases_unsellable_stop_loss_slot() { let prev_date = d(2026, 3, 31);