diff --git a/crates/fidc-core/src/platform_expr_strategy.rs b/crates/fidc-core/src/platform_expr_strategy.rs index 5a34eff..17b0d61 100644 --- a/crates/fidc-core/src/platform_expr_strategy.rs +++ b/crates/fidc-core/src/platform_expr_strategy.rs @@ -8553,7 +8553,7 @@ impl Strategy for PlatformExprStrategy { } } - let mut actionable_stop_take_exit_symbols = BTreeSet::::new(); + let mut stop_take_exit_signal_symbols = BTreeSet::::new(); if self.config.aiquant_transaction_cost && self.config.rotation_enabled && trading_ratio > 0.0 @@ -8581,15 +8581,20 @@ impl Strategy for PlatformExprStrategy { 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()); + let lower_limit_blocked = match self.stock_state_at_time( + ctx, + projection_date, + &position.symbol, + Some(self.intraday_execution_start_time()), + ) { + Ok(stock) => stock.lower_limit > 0.0 && stock.last <= stock.lower_limit, + Err(BacktestError::Data(crate::data::DataSetError::MissingSnapshot { + .. + })) => false, + Err(error) => return Err(error), + }; + if !lower_limit_blocked { + stop_take_exit_signal_symbols.insert(position.symbol.clone()); } } } @@ -8620,9 +8625,6 @@ 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, @@ -8657,6 +8659,11 @@ impl Strategy for PlatformExprStrategy { .map(|projected_position| projected_position.quantity) .unwrap_or(0); let quantity_delta = after_qty as i32 - before_qty as i32; + if stop_take_exit_signal_symbols.contains(&position.symbol) + && quantity_delta >= 0 + { + continue; + } if self .config .weak_market_shrink_overweight_threshold @@ -16756,6 +16763,190 @@ mod tests { ))); } + #[test] + fn platform_aiquant_sells_down_before_actionable_take_profit_exit() { + let prev_date = d(2025, 4, 28); + let date = d(2025, 4, 29); + let symbols = ["000001.SZ", "000002.SZ"]; + 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("2025-04-29 10:15:00".to_string()), + day_open: 10.0, + open: 10.0, + high: 10.4, + low: 9.8, + close: 10.0, + last_price: 10.0, + bid1: 9.99, + ask1: 10.01, + prev_close: 9.8, + 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: 10.78, + lower_limit: 8.82, + 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_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: 1000.0, + prev_close: 1000.0, + volume: 1_000_000, + }], + Vec::new(), + symbols + .iter() + .map(|symbol| IntradayExecutionQuote { + date, + symbol: (*symbol).to_string(), + timestamp: date.and_hms_opt(10, 15, 0).expect("timestamp"), + last_price: 10.0, + bid1: 9.99, + ask1: 10.01, + bid1_volume: 2_000, + ask1_volume: 2_000, + volume_delta: 10_000, + amount_delta: 100_000.0, + trading_phase: Some("continuous".to_string()), + }) + .collect(), + ) + .expect("dataset"); + + let mut portfolio = PortfolioState::new(10_000.0); + portfolio + .position_mut("000001.SZ") + .buy(prev_date, 1_000, 8.0); + 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.clear(); + cfg.take_profit_expr = "1.1".to_string(); + cfg.daily_top_up_enabled = true; + cfg.aiquant_transaction_cost = true; + cfg.intraday_execution_time = Some(NaiveTime::from_hms_opt(10, 15, 0).unwrap()); + let mut strategy = PlatformExprStrategy::new(cfg); + strategy.rebalance_day_counter = 2; + + let decision = strategy.on_day(&ctx).expect("platform decision"); + + let target_adjust_index = decision + .order_intents + .iter() + .position(|intent| { + matches!( + intent, + OrderIntent::Shares { + symbol, + quantity, + reason, + } if symbol == "000001.SZ" + && reason == "daily_position_target_adjust" + && *quantity < 0 + ) + }) + .expect("target sell-down before take-profit"); + let take_profit_index = decision + .order_intents + .iter() + .position(|intent| { + matches!( + intent, + OrderIntent::TargetValue { + symbol, + target_value, + reason, + } if symbol == "000001.SZ" + && *target_value == 0.0 + && reason == "take_profit_exit" + ) + }) + .expect("take-profit exit"); + + assert!( + target_adjust_index < take_profit_index, + "{:?}", + decision.order_intents + ); + } + #[test] fn platform_aiquant_allows_target_adjust_when_stop_loss_sell_is_lower_limit_blocked() { let prev_date = d(2025, 1, 10); @@ -20487,7 +20678,7 @@ mod tests { let prev_date = d(2025, 2, 2); let date = d(2025, 2, 3); let symbols = ["000001.SZ", "000002.SZ"]; - let data = DataSet::from_components( + let data = DataSet::from_components_with_actions_and_quotes( symbols .iter() .map(|symbol| Instrument { @@ -20564,6 +20755,23 @@ mod tests { prev_close: 1000.0, volume: 1_000_000, }], + Vec::new(), + symbols + .iter() + .map(|symbol| IntradayExecutionQuote { + date, + symbol: (*symbol).to_string(), + timestamp: date.and_hms_opt(10, 40, 0).expect("timestamp"), + last_price: 10.0, + bid1: 9.99, + ask1: 10.01, + bid1_volume: 2_000, + ask1_volume: 2_000, + volume_delta: 10_000, + amount_delta: 100_000.0, + trading_phase: Some("continuous".to_string()), + }) + .collect(), ) .expect("dataset"); @@ -20603,6 +20811,7 @@ mod tests { cfg.take_profit_expr.clear(); cfg.daily_top_up_enabled = true; cfg.aiquant_transaction_cost = true; + cfg.intraday_execution_time = Some(NaiveTime::from_hms_opt(10, 40, 0).unwrap()); let mut strategy = PlatformExprStrategy::new(cfg); strategy.rebalance_day_counter = 2;