修正弱市止盈前减仓顺序

crates/fidc-core/src/platform_expr_strategy.rs

@@ -8553,7 +8553,7 @@ impl Strategy for PlatformExprStrategy {
             }
         }
 
-        let mut actionable_stop_take_exit_symbols = BTreeSet::<String>::new();
+        let mut stop_take_exit_signal_symbols = BTreeSet::<String>::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
+                let lower_limit_blocked = match self.stock_state_at_time(
-                    || self.can_sell_position_at_time(
+                    ctx,
-                        ctx,
+                    projection_date,
-                        execution_date,
+                    &position.symbol,
-                        &position.symbol,
+                    Some(self.intraday_execution_start_time()),
-                        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 {
-                    actionable_stop_take_exit_symbols.insert(position.symbol.clone());
+                        ..
+                    })) => 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;