boris
@@ -8487,6 +8487,7 @@ impl Strategy for PlatformExprStrategy {
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if self.config.aiquant_transaction_cost
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&& self.config.rotation_enabled
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&& trading_ratio > 0.0
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&& trading_ratio < 1.0
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&& selection_limit > 0
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{
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for position in ctx.portfolio.positions().values() {
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@@ -8526,6 +8527,7 @@ impl Strategy for PlatformExprStrategy {
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if self.config.aiquant_transaction_cost
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&& self.config.rotation_enabled
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&& trading_ratio > 0.0
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&& trading_ratio < 1.0
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&& selection_limit > 0
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&& !ctx.portfolio.positions().is_empty()
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{
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@@ -22365,6 +22367,228 @@ mod tests {
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);
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}
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#[test]
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fn platform_delayed_open_partial_exit_releases_top_up_slot() {
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let prev_date = d(2025, 5, 5);
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let date = d(2025, 5, 6);
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let delayed_symbol = "000001.SZ";
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let held_symbol = "000002.SZ";
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let buy_symbol = "000003.SZ";
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let symbols = [delayed_symbol, held_symbol, buy_symbol];
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let data = DataSet::from_components_with_actions_and_quotes(
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symbols
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.iter()
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.map(|symbol| Instrument {
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symbol: (*symbol).to_string(),
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name: (*symbol).to_string(),
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board: "SZ".to_string(),
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round_lot: 100,
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listed_at: Some(d(2020, 1, 1)),
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delisted_at: None,
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status: "active".to_string(),
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})
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.collect(),
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symbols
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.iter()
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.map(|symbol| DailyMarketSnapshot {
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date,
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symbol: (*symbol).to_string(),
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timestamp: Some("2025-05-06 10:18:00".to_string()),
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day_open: 10.0,
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open: 10.0,
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high: 11.0,
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low: 9.0,
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close: 10.0,
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last_price: 10.0,
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bid1: 10.0,
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ask1: 10.0,
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prev_close: 10.0,
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volume: 1_000_000,
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minute_volume: 10_000,
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bid1_volume: 2_000,
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ask1_volume: 2_000,
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trading_phase: Some("continuous".to_string()),
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paused: false,
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upper_limit: 11.0,
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lower_limit: 9.0,
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price_tick: 0.01,
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})
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.collect(),
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symbols
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.iter()
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.map(|symbol| DailyFactorSnapshot {
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date,
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symbol: (*symbol).to_string(),
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market_cap_bn: if *symbol == buy_symbol {
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7.0
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} else if *symbol == delayed_symbol {
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8.0
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} else {
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9.0
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},
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free_float_cap_bn: 10.0,
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pe_ttm: 8.0,
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turnover_ratio: Some(1.0),
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effective_turnover_ratio: Some(1.0),
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extra_factors: BTreeMap::new(),
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})
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.collect(),
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symbols
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.iter()
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.map(|symbol| CandidateEligibility {
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date,
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symbol: (*symbol).to_string(),
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is_st: false,
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is_star_st: false,
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is_new_listing: false,
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is_paused: false,
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allow_buy: true,
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allow_sell: true,
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is_kcb: false,
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is_one_yuan: false,
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risk_level_code: None,
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})
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.collect(),
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vec![BenchmarkSnapshot {
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date,
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benchmark: "000852.SH".to_string(),
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open: 1000.0,
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close: 1002.0,
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prev_close: 998.0,
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volume: 1_000_000,
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}],
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Vec::new(),
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vec![
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IntradayExecutionQuote {
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date,
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symbol: delayed_symbol.to_string(),
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timestamp: date.and_hms_opt(9, 31, 0).expect("valid timestamp"),
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last_price: 10.5,
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bid1: 10.5,
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ask1: 10.51,
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bid1_volume: 10_000,
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ask1_volume: 10_000,
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volume_delta: 400,
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amount_delta: 4_200.0,
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trading_phase: Some("continuous".to_string()),
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},
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IntradayExecutionQuote {
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date,
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symbol: held_symbol.to_string(),
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timestamp: date.and_hms_opt(10, 18, 0).expect("valid timestamp"),
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last_price: 10.0,
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bid1: 10.0,
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ask1: 10.01,
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bid1_volume: 10_000,
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ask1_volume: 10_000,
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volume_delta: 10_000,
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amount_delta: 100_000.0,
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trading_phase: Some("continuous".to_string()),
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},
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IntradayExecutionQuote {
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date,
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symbol: buy_symbol.to_string(),
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timestamp: date.and_hms_opt(10, 18, 0).expect("valid timestamp"),
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last_price: 10.0,
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bid1: 10.0,
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ask1: 10.01,
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bid1_volume: 10_000,
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ask1_volume: 10_000,
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volume_delta: 10_000,
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amount_delta: 100_000.0,
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trading_phase: Some("continuous".to_string()),
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},
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],
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)
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.expect("dataset");
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let mut portfolio = PortfolioState::new(20_000.0);
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portfolio
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.position_mut(delayed_symbol)
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.buy(prev_date, 1_000, 10.0);
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portfolio
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.position_mut(held_symbol)
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.buy(prev_date, 100, 10.0);
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let subscriptions = BTreeSet::new();
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let ctx = StrategyContext {
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execution_date: date,
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decision_date: date,
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decision_index: 20,
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data: &data,
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portfolio: &portfolio,
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futures_account: None,
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open_orders: &[],
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dynamic_universe: None,
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subscriptions: &subscriptions,
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process_events: &[],
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active_process_event: None,
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active_datetime: None,
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order_events: &[],
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fills: &[],
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};
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let mut cfg = PlatformExprStrategyConfig::microcap_rotation();
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cfg.signal_symbol = delayed_symbol.to_string();
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cfg.refresh_rate = 99;
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cfg.max_positions = 2;
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cfg.benchmark_short_ma_days = 1;
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cfg.benchmark_long_ma_days = 1;
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cfg.market_cap_lower_expr = "0".to_string();
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cfg.market_cap_upper_expr = "100".to_string();
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cfg.selection_limit_expr = "2".to_string();
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cfg.stock_filter_expr = "close > 0".to_string();
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cfg.exposure_expr = "1.0".to_string();
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cfg.stop_loss_expr = "false".to_string();
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cfg.take_profit_expr = "false".to_string();
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cfg.daily_top_up_enabled = true;
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cfg.release_slot_on_exit_signal = true;
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cfg.aiquant_transaction_cost = true;
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cfg.risk_config.trading_constraints.volume_limit_enabled = true;
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cfg.risk_config.trading_constraints.volume_percent = 0.25;
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cfg.risk_config.trading_constraints.liquidity_limit_enabled = false;
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cfg.intraday_execution_time = Some(NaiveTime::from_hms_opt(10, 18, 0).unwrap());
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cfg.delayed_limit_open_exit_enabled = true;
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cfg.delayed_limit_open_exit_time = Some(NaiveTime::from_hms_opt(9, 31, 0).unwrap());
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let mut strategy = PlatformExprStrategy::new(cfg);
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strategy.rebalance_day_counter = 2;
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strategy
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.pending_highlimit_holdings
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.insert(delayed_symbol.to_string());
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let decision = strategy.on_day(&ctx).expect("platform decision");
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assert!(
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decision.order_intents.iter().any(|intent| matches!(
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intent,
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OrderIntent::AlgoValue {
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symbol,
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reason,
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start_time,
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..
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} if symbol == delayed_symbol
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&& reason == "delayed_limit_open_sell"
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&& *start_time == Some(NaiveTime::from_hms_opt(9, 31, 0).unwrap())
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)),
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"{:?}",
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decision.order_intents
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);
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assert!(
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||||
decision.order_intents.iter().any(|intent| matches!(
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intent,
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OrderIntent::Value {
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||||
symbol,
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||||
reason,
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||||
..
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||||
} if symbol == buy_symbol && reason == "daily_top_up_buy"
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||||
)),
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||||
"{:?}",
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||||
decision.order_intents
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||||
);
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||||
assert!(
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||||
strategy.pending_highlimit_holdings.contains(delayed_symbol),
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||||
"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);
|
||||
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||||
Reference in New Issue
Block a user