统一策略成交保护与锁定周期并修正日期条件覆盖
This commit is contained in:
boris
@@ -0,0 +1,336 @@
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use chrono::NaiveDate;
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use fidc_core::holding_policy::{AutomaticTradeLock, AutomaticTradeProtection};
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use fidc_core::{
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BacktestConfig, BacktestEngine, BenchmarkSnapshot, BrokerSimulator, CandidateEligibility,
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ChinaAShareCostModel, ChinaEquityRuleHooks, DailyMarketSnapshot, DataSet, Instrument,
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MatchingType, OrderSide, PlatformExplicitOrderKind, PlatformExprStrategy,
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PlatformExprStrategyConfig, PlatformTradeAction, PriceField,
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};
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fn d(day: u32) -> NaiveDate {
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NaiveDate::from_ymd_opt(2026, 9, day).unwrap()
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}
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fn data() -> DataSet {
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let dates = [11, 14, 15, 16, 17, 18].map(d);
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DataSet::from_components(
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vec![Instrument {
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symbol: "000001.SZ".into(),
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name: "测试".into(),
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board: "SZ".into(),
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round_lot: 100,
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listed_at: Some(NaiveDate::from_ymd_opt(2020, 1, 1).unwrap()),
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delisted_at: None,
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status: "active".into(),
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}],
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dates
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.iter()
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.map(|date| DailyMarketSnapshot {
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date: *date,
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symbol: "000001.SZ".into(),
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timestamp: Some(format!("{date} 15:00:00")),
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day_open: 10.0,
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open: 10.0,
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high: 10.0,
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low: 10.0,
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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: 100_000,
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minute_volume: 100_000,
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bid1_volume: 100_000,
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ask1_volume: 100_000,
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trading_phase: Some("continuous".into()),
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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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dates
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.iter()
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.map(|date| fidc_core::DailyFactorSnapshot {
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date: *date,
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symbol: "000001.SZ".into(),
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market_cap_bn: 10.0,
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free_float_cap_bn: 10.0,
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pe_ttm: 10.0,
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turnover_ratio: None,
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effective_turnover_ratio: None,
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adjustment_factor_backward1: Some(1.0),
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extra_factors: Default::default(),
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})
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.collect(),
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dates
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.iter()
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.map(|date| CandidateEligibility {
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date: *date,
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symbol: "000001.SZ".into(),
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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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dates
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.iter()
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.map(|date| BenchmarkSnapshot {
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date: *date,
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benchmark: "000300.SH".into(),
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open: 100.0,
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close: 100.0,
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prev_close: 100.0,
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volume: 1_000_000,
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})
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.collect(),
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)
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.unwrap()
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}
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fn action(quantity: &str, when: &str) -> PlatformTradeAction {
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PlatformTradeAction::Order {
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kind: PlatformExplicitOrderKind::Shares,
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symbol: "000001.SZ".into(),
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amount_expr: quantity.into(),
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when_expr: Some(when.into()),
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limit_price_expr: None,
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time_in_force: None,
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start_time_expr: None,
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end_time_expr: None,
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reason: "configured_strategy_action".into(),
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}
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}
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fn run(policy: AutomaticTradeProtection) -> fidc_core::BacktestResult {
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let mut config = PlatformExprStrategyConfig::generic();
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config.signal_symbol = "000001.SZ".into();
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config.benchmark_symbol = "000300.SH".into();
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config.rotation_enabled = false;
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config.automatic_trade_protection = policy;
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config.explicit_actions = vec![
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action(
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"100",
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"decision_date == \"2026-09-11\" || decision_date == \"2026-09-18\"",
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),
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action("-100", "decision_date >= \"2026-09-14\""),
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];
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config.matching_type = MatchingType::CurrentBarClose;
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let broker = BrokerSimulator::new(ChinaAShareCostModel::default(), ChinaEquityRuleHooks)
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.with_matching_type(MatchingType::CurrentBarClose);
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BacktestEngine::new(
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data(),
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PlatformExprStrategy::new(config),
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broker,
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BacktestConfig {
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initial_cash: 10_000.0,
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benchmark_code: "000300.SH".into(),
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start_date: Some(d(11)),
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end_date: Some(d(18)),
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decision_lag_trading_days: 0,
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execution_price_field: PriceField::Close,
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},
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)
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.run()
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.unwrap()
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}
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#[test]
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fn framework_protection_uses_fills_and_covers_explicit_strategy_orders() {
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let result = run(AutomaticTradeProtection {
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buy_protection_days: 3,
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sell_cooldown_days: 3,
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..Default::default()
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});
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assert_eq!(
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result
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.fills
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.iter()
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.map(|fill| (fill.date, fill.side, fill.quantity))
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.collect::<Vec<_>>(),
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vec![(d(11), OrderSide::Buy, 100), (d(17), OrderSide::Sell, 100)]
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);
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assert!(!result.order_events.iter().any(|order| order.date == d(14)
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|| order.date == d(15)
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|| order.date == d(16)
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|| order.date == d(18)));
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}
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#[test]
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fn absolute_lock_blocks_initial_strategy_buy_without_a_rejected_order() {
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let result = run(AutomaticTradeProtection {
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locks: vec![AutomaticTradeLock {
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symbol: "000001.SZ".into(),
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start_date: d(11),
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end_date: None,
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}],
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..Default::default()
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});
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assert!(result.fills.is_empty());
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assert!(result.order_events.is_empty());
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}
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#[test]
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fn maximum_holding_policy_applies_to_discrete_strategies_and_yields_to_buy_protection() {
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let result = run(AutomaticTradeProtection {
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max_holding_days: 1,
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buy_protection_days: 3,
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sell_cooldown_days: 3,
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..Default::default()
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});
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assert_eq!(
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result
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.fills
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.iter()
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.map(|fill| (fill.date, fill.side))
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.collect::<Vec<_>>(),
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vec![(d(11), OrderSide::Buy), (d(17), OrderSide::Sell)]
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);
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assert!(
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result
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.order_events
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.iter()
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.any(|order| order.reason == "max_holding_days_exit")
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);
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}
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#[test]
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fn serialized_framework_policy_survives_shared_alias_normalization_and_rejects_conflicts() {
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let policy = serde_json::json!({"buy_protection_days":3,"sell_cooldown_days":3,"max_holding_days":90,"locks":[{"symbol":"000001.SZ","start_date":"2026-09-11","end_date":null}]});
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for key in ["automaticTradeProtection", "automatic_trade_protection"] {
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let value = serde_json::json!({"runtimeExpressions":{"trading":{key:policy}}});
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let cfg = fidc_core::platform_expr_config_from_value("test", "000001.SZ", &value).unwrap();
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assert_eq!(cfg.automatic_trade_protection.buy_protection_days, 3);
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assert_eq!(cfg.max_holding_days, Some(90));
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assert_eq!(cfg.automatic_trade_protection.locks.len(), 1);
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}
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let conflict = serde_json::json!({"runtimeExpressions":{"trading":{"maxHoldingDays":30,"automaticTradeProtection":policy}}});
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assert!(
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fidc_core::platform_expr_config_from_value("test", "000001.SZ", &conflict)
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.unwrap_err()
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.to_string()
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.contains("conflicting maximum")
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);
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let unknown = serde_json::json!({"runtimeExpressions":{"trading":{"automaticTradeProtection":{"origin":"manual"}}}});
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assert!(fidc_core::platform_expr_config_from_value("test", "000001.SZ", &unknown).is_err());
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}
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#[test]
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fn locked_holding_keeps_its_slot_even_when_cash_can_buy_the_next_candidate() {
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let base = data();
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let dates = [11, 14, 15, 16, 17, 18].map(d);
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let symbols = ["000001.SZ", "000002.SZ"];
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let dataset = DataSet::from_components(
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symbols
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.iter()
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.map(|symbol| {
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let mut row = base.instruments()["000001.SZ"].clone();
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row.symbol = (*symbol).into();
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row
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})
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.collect(),
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dates
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.iter()
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.flat_map(|date| {
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symbols.iter().map(|symbol| {
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let mut row = base.market(*date, "000001.SZ").unwrap().clone();
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row.symbol = (*symbol).into();
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row
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})
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})
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.collect(),
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dates
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.iter()
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.flat_map(|date| {
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symbols.iter().map(|symbol| {
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let mut row = base.factor(*date, "000001.SZ").unwrap().clone();
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row.symbol = (*symbol).into();
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row
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})
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})
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.collect(),
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dates
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.iter()
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.flat_map(|date| {
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symbols.iter().map(|symbol| {
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let mut row = base.candidate(*date, "000001.SZ").unwrap().clone();
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row.symbol = (*symbol).into();
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row
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})
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})
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.collect(),
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dates
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.iter()
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.map(|date| BenchmarkSnapshot {
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date: *date,
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benchmark: "000300.SH".into(),
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open: 100.0,
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close: 100.0,
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prev_close: 100.0,
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volume: 100_000,
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})
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.collect(),
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)
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.unwrap();
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let mut config = PlatformExprStrategyConfig::generic();
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config.signal_symbol = "000001.SZ".into();
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config.benchmark_symbol = "000300.SH".into();
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config.strategy_name = "protection_test".into();
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config.max_positions = 1;
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config.selection_limit_expr = "1".into();
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config.refresh_rate = 1;
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config.exposure_expr = "0.5".into();
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config.market_cap_lower_expr = "0".into();
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config.market_cap_upper_expr = "100".into();
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config.stock_filter_expr="(decision_date == \"2026-09-11\" && symbol == \"000001.SZ\") || (decision_date != \"2026-09-11\" && symbol == \"000002.SZ\")".into();
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config.automatic_trade_protection = AutomaticTradeProtection {
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locks: vec![AutomaticTradeLock {
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symbol: "000001.SZ".into(),
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start_date: d(14),
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end_date: Some(d(16)),
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}],
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..Default::default()
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};
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let broker = BrokerSimulator::new(ChinaAShareCostModel::default(), ChinaEquityRuleHooks)
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.with_matching_type(MatchingType::CurrentBarClose);
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let result = BacktestEngine::new(
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dataset,
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PlatformExprStrategy::new(config),
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broker,
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BacktestConfig {
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initial_cash: 10_000.0,
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benchmark_code: "000300.SH".into(),
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start_date: Some(d(11)),
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end_date: Some(d(18)),
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decision_lag_trading_days: 0,
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execution_price_field: PriceField::Close,
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},
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)
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.run()
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.unwrap();
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assert_eq!(
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result
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.fills
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.first()
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.map(|fill| (fill.symbol.as_str(), fill.date)),
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Some(("000001.SZ", d(11)))
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);
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assert!(
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!result
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.fills
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.iter()
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.any(|fill| [d(14), d(15), d(16)].contains(&fill.date)),
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"{:?}",
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result.fills
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);
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assert!(
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result.fills.iter().any(|fill| fill.symbol == "000002.SZ"
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&& fill.side == OrderSide::Buy
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&& fill.date == d(17)),
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"{:?}",
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result.fills
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);
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}
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