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修正次日开盘目标市值换股语义

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This commit is contained in:
boris
2026-07-12 05:33:50 +08:00
parent 67f15f12ca
commit 438757ab54
1 changed files with 6 additions and 7 deletions
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crates/fidc-core/src/broker.rs
+6 -7
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@@ -427,11 +427,10 @@ where
symbol: &str, symbol: &str,
snapshot: &crate::data::DailyMarketSnapshot, snapshot: &crate::data::DailyMarketSnapshot,
) -> f64 { ) -> f64 {
if self.matching_type == MatchingType::NextBarOpen if self.matching_type == MatchingType::NextBarOpen {
&& snapshot.prev_close.is_finite() // The target budget is frozen on the signal day, but the broker can only
&& snapshot.prev_close > 0.0 // convert that budget to shares once the next session's open is visible.
{ return self.sizing_price(snapshot);
return snapshot.prev_close;
} }
if self.aiquant_execution_rules && self.execution_price_field == PriceField::Last { if self.aiquant_execution_rules && self.execution_price_field == PriceField::Last {
let start_cursor = self let start_cursor = self
@@ -7154,7 +7153,7 @@ mod tests {
} }
#[test] #[test]
fn next_open_target_value_valuation_uses_previous_close() { fn next_open_target_value_valuation_uses_execution_open() {
let date = chrono::NaiveDate::from_ymd_opt(2025, 1, 2).expect("valid date"); let date = chrono::NaiveDate::from_ymd_opt(2025, 1, 2).expect("valid date");
let broker = BrokerSimulator::new_with_execution_price( let broker = BrokerSimulator::new_with_execution_price(
ChinaAShareCostModel::default(), ChinaAShareCostModel::default(),
@@ -7181,7 +7180,7 @@ mod tests {
assert_eq!( assert_eq!(
broker.target_value_valuation_price(date, &data, "000001.SZ", snapshot), broker.target_value_valuation_price(date, &data, "000001.SZ", snapshot),
10.0 11.0
); );
} }