修正止损前弱市补仓顺序

crates/fidc-core/src/platform_expr_strategy.rs

@@ -6413,37 +6413,6 @@ impl Strategy for PlatformExprStrategy {
             .cloned()
             .collect::<BTreeSet<_>>();
 
-        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()
-        {
-            let target_value = aiquant_total_value * trading_ratio / selection_limit as f64;
-            if target_value.is_finite() && target_value > 0.0 {
-                for position in ctx.portfolio.positions().values() {
-                    if position.quantity == 0 || delayed_sold_symbols.contains(&position.symbol) {
-                        continue;
-                    }
-                    order_intents.push(OrderIntent::TargetValue {
-                        symbol: position.symbol.clone(),
-                        target_value,
-                        reason: "daily_position_target_adjust".to_string(),
-                    });
-                    self.project_target_value(
-                        ctx,
-                        &mut projected,
-                        execution_date,
-                        &position.symbol,
-                        target_value,
-                        &mut projected_execution_state,
-                    );
-                }
-                aiquant_available_cash = projected.cash();
-            }
-        }
-
         for position in ctx.portfolio.positions().values() {
             if delayed_sold_symbols.contains(&position.symbol) {
                 continue;
@@ -6544,6 +6513,43 @@ 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()
+        {
+            let target_value = aiquant_total_value * trading_ratio / selection_limit as f64;
+            if target_value.is_finite() && target_value > 0.0 {
+                for position in ctx.portfolio.positions().values() {
+                    if position.quantity == 0
+                        || delayed_sold_symbols.contains(&position.symbol)
+                        || exit_symbols.contains(&position.symbol)
+                        || same_day_sold_symbols.contains(&position.symbol)
+                        || unresolved_stop_loss_symbols.contains(&position.symbol)
+                        || self.pending_highlimit_holdings.contains(&position.symbol)
+                    {
+                        continue;
+                    }
+                    order_intents.push(OrderIntent::TargetValue {
+                        symbol: position.symbol.clone(),
+                        target_value,
+                        reason: "daily_position_target_adjust".to_string(),
+                    });
+                    self.project_target_value(
+                        ctx,
+                        &mut projected,
+                        execution_date,
+                        &position.symbol,
+                        target_value,
+                        &mut projected_execution_state,
+                    );
+                }
+                aiquant_available_cash = projected.cash();
+            }
+        }
+
         if self.config.daily_top_up_enabled
             && self.config.rotation_enabled
             && !periodic_rebalance
@@ -11357,6 +11363,144 @@ mod tests {
         )));
     }
 
+    #[test]
+    fn platform_stop_loss_skips_weak_market_top_up_for_exiting_position() {
+        let prev_date = d(2025, 2, 2);
+        let date = d(2025, 2, 3);
+        let symbols = ["000001.SZ", "000002.SZ"];
+        let data = DataSet::from_components(
+            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("2025-02-03 10:40:00".to_string()),
+                    day_open: 10.0,
+                    open: 10.0,
+                    high: 10.2,
+                    low: 9.8,
+                    close: 10.0,
+                    last_price: 10.0,
+                    bid1: 9.99,
+                    ask1: 10.01,
+                    prev_close: 10.0,
+                    volume: 1_000_000,
+                    tick_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()
+                .enumerate()
+                .map(|(index, symbol)| DailyFactorSnapshot {
+                    date,
+                    symbol: (*symbol).to_string(),
+                    market_cap_bn: 10.0 + index as f64,
+                    free_float_cap_bn: 10.0 + index as f64,
+                    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_new_listing: false,
+                    is_paused: false,
+                    allow_buy: true,
+                    allow_sell: true,
+                    is_kcb: false,
+                    is_one_yuan: false,
+                })
+                .collect(),
+            vec![BenchmarkSnapshot {
+                date,
+                benchmark: "000852.SH".to_string(),
+                open: 1000.0,
+                close: 1000.0,
+                prev_close: 1000.0,
+                volume: 1_000_000,
+            }],
+        )
+        .expect("dataset");
+
+        let mut portfolio = PortfolioState::new(30_000.0);
+        portfolio
+            .position_mut("000001.SZ")
+            .buy(prev_date, 100, 20.0);
+        let subscriptions = BTreeSet::new();
+        let ctx = StrategyContext {
+            execution_date: date,
+            decision_date: date,
+            decision_index: 2,
+            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 = "000001.SZ".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 = "1000".to_string();
+        cfg.selection_limit_expr = "2".to_string();
+        cfg.stock_filter_expr = "close > 0".to_string();
+        cfg.exposure_expr = "0.5".to_string();
+        cfg.stop_loss_expr = "0.92".to_string();
+        cfg.take_profit_expr.clear();
+        cfg.daily_top_up_enabled = true;
+        let mut strategy = PlatformExprStrategy::new(cfg);
+        strategy.rebalance_day_counter = 2;
+
+        let decision = strategy.on_day(&ctx).expect("platform decision");
+
+        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::TargetValue { symbol, reason, .. }
+                if symbol == "000001.SZ" && reason == "daily_position_target_adjust"
+        )));
+    }
+
     #[test]
     fn platform_refresh_rate_uses_stateful_aiquant_day_counter() {
         let dates = [d(2025, 2, 5), d(2025, 2, 6), d(2025, 2, 7)];