From 4d43d1b176b449f6fc08f5eb98c9b51e8b99c0f6 Mon Sep 17 00:00:00 2001 From: boris Date: Thu, 23 Apr 2026 04:55:44 -0700 Subject: [PATCH] Expose latest open order ids to platform runtime --- .../fidc-core/src/platform_expr_strategy.rs | 136 ++++++++++++++++++ crates/fidc-core/src/strategy.rs | 17 +++ crates/fidc-core/src/strategy_ai.rs | 4 +- 3 files changed, 155 insertions(+), 2 deletions(-) diff --git a/crates/fidc-core/src/platform_expr_strategy.rs b/crates/fidc-core/src/platform_expr_strategy.rs index 30717f5..2d20932 100644 --- a/crates/fidc-core/src/platform_expr_strategy.rs +++ b/crates/fidc-core/src/platform_expr_strategy.rs @@ -1155,6 +1155,7 @@ impl PlatformExprStrategy { scope.push("open_sell_order_count", ctx.open_sell_order_count() as i64); scope.push("open_buy_qty", ctx.open_buy_quantity() as i64); scope.push("open_sell_qty", ctx.open_sell_quantity() as i64); + scope.push("latest_open_order_id", ctx.latest_open_order_id() as i64); let mut day_factors = Map::new(); day_factors.insert("signal_open".into(), Dynamic::from(day.signal_open)); day_factors.insert("signal_close".into(), Dynamic::from(day.signal_close)); @@ -1219,6 +1220,10 @@ impl PlatformExprStrategy { "open_sell_qty".into(), Dynamic::from(ctx.open_sell_quantity() as i64), ); + day_factors.insert( + "latest_open_order_id".into(), + Dynamic::from(ctx.latest_open_order_id() as i64), + ); scope.push("day_factors", day_factors); if let Some(stock) = stock { let at_upper_limit = @@ -1272,6 +1277,10 @@ impl PlatformExprStrategy { "symbol_open_sell_qty", ctx.symbol_open_sell_quantity(&stock.symbol) as i64, ); + scope.push( + "latest_symbol_open_order_id", + ctx.latest_symbol_open_order_id(&stock.symbol) as i64, + ); scope.push("stock_ma_short", stock.stock_ma_short); scope.push("stock_ma_mid", stock.stock_ma_mid); scope.push("stock_ma_long", stock.stock_ma_long); @@ -1359,6 +1368,10 @@ impl PlatformExprStrategy { "symbol_open_sell_qty".into(), Dynamic::from(ctx.symbol_open_sell_quantity(&stock.symbol) as i64), ); + factors.insert( + "latest_symbol_open_order_id".into(), + Dynamic::from(ctx.latest_symbol_open_order_id(&stock.symbol) as i64), + ); factors.insert("stock_ma5".into(), Dynamic::from(stock.stock_ma5)); factors.insert("stock_ma10".into(), Dynamic::from(stock.stock_ma10)); factors.insert("stock_ma20".into(), Dynamic::from(stock.stock_ma20)); @@ -3441,4 +3454,127 @@ mod tests { let decision = strategy.on_day(&ctx).expect("platform decision"); assert_eq!(decision.order_intents.len(), 1); } + + #[test] + fn platform_strategy_can_cancel_latest_open_order_by_runtime_id() { + let date = d(2025, 2, 3); + let data = DataSet::from_components( + vec![Instrument { + symbol: "000001.SZ".to_string(), + name: "Ping An Bank".to_string(), + board: "SZSE".to_string(), + round_lot: 100, + listed_at: Some(d(2010, 1, 1)), + delisted_at: None, + status: "active".to_string(), + }], + vec![DailyMarketSnapshot { + date, + symbol: "000001.SZ".to_string(), + timestamp: Some("10:18:00".to_string()), + day_open: 10.0, + open: 10.0, + high: 10.2, + low: 9.9, + close: 10.1, + last_price: 10.05, + bid1: 10.04, + ask1: 10.05, + prev_close: 9.95, + volume: 1_000_000, + tick_volume: 5_000, + bid1_volume: 1_000, + ask1_volume: 1_000, + trading_phase: Some("continuous".to_string()), + paused: false, + upper_limit: 10.94, + lower_limit: 8.96, + price_tick: 0.01, + }], + vec![DailyFactorSnapshot { + date, + symbol: "000001.SZ".to_string(), + market_cap_bn: 12.0, + free_float_cap_bn: 10.0, + pe_ttm: 8.0, + turnover_ratio: Some(22.0), + effective_turnover_ratio: Some(18.0), + extra_factors: BTreeMap::new(), + }], + vec![CandidateEligibility { + date, + symbol: "000001.SZ".to_string(), + is_st: false, + is_new_listing: false, + is_paused: false, + allow_buy: true, + allow_sell: true, + is_kcb: false, + is_one_yuan: false, + }], + vec![BenchmarkSnapshot { + date, + benchmark: "000852.SH".to_string(), + open: 1000.0, + close: 1002.0, + prev_close: 998.0, + volume: 1_000_000, + }], + ) + .expect("dataset"); + let portfolio = PortfolioState::new(1_000_000.0); + let open_orders = vec![ + OpenOrderView { + order_id: 41, + symbol: "000001.SZ".to_string(), + side: crate::OrderSide::Buy, + requested_quantity: 100, + filled_quantity: 0, + remaining_quantity: 100, + limit_price: 9.9, + reason: "pending_limit_buy".to_string(), + }, + OpenOrderView { + order_id: 42, + symbol: "000001.SZ".to_string(), + side: crate::OrderSide::Sell, + requested_quantity: 300, + filled_quantity: 100, + remaining_quantity: 200, + limit_price: 10.2, + reason: "pending_limit_sell".to_string(), + }, + ]; + let ctx = StrategyContext { + execution_date: date, + decision_date: date, + decision_index: 0, + data: &data, + portfolio: &portfolio, + open_orders: &open_orders, + }; + let mut cfg = PlatformExprStrategyConfig::microcap_rotation(); + cfg.signal_symbol = "000001.SZ".to_string(); + cfg.rotation_enabled = false; + cfg.benchmark_short_ma_days = 1; + cfg.benchmark_long_ma_days = 1; + cfg.explicit_actions = vec![PlatformTradeAction::Cancel { + kind: PlatformExplicitCancelKind::Order, + symbol: Some("000001.SZ".to_string()), + order_id_expr: Some("latest_open_order_id".to_string()), + when_expr: Some("latest_symbol_open_order_id == 42".to_string()), + reason: "cancel_latest_open_order".to_string(), + }]; + let mut strategy = PlatformExprStrategy::new(cfg); + + let decision = strategy.on_day(&ctx).expect("platform decision"); + assert_eq!(decision.order_intents.len(), 1); + match &decision.order_intents[0] { + crate::strategy::OrderIntent::CancelOrder { order_id, reason } => { + assert_eq!(*order_id, 42); + assert_eq!(reason, "cancel_latest_open_order"); + } + other => panic!("unexpected cancel intent: {other:?}"), + } + } } diff --git a/crates/fidc-core/src/strategy.rs b/crates/fidc-core/src/strategy.rs index 7c73f47..0ae90af 100644 --- a/crates/fidc-core/src/strategy.rs +++ b/crates/fidc-core/src/strategy.rs @@ -134,6 +134,23 @@ impl StrategyContext<'_> { .sum() } + pub fn latest_open_order_id(&self) -> u64 { + self.open_orders + .iter() + .map(|order| order.order_id) + .max() + .unwrap_or(0) + } + + pub fn latest_symbol_open_order_id(&self, symbol: &str) -> u64 { + self.open_orders + .iter() + .filter(|order| order.symbol == symbol) + .map(|order| order.order_id) + .max() + .unwrap_or(0) + } + pub fn available_sellable_qty(&self, symbol: &str, raw_sellable_qty: u32) -> u32 { raw_sellable_qty.saturating_sub(self.symbol_open_sell_quantity(symbol)) } diff --git a/crates/fidc-core/src/strategy_ai.rs b/crates/fidc-core/src/strategy_ai.rs index 9c41086..454daef 100644 --- a/crates/fidc-core/src/strategy_ai.rs +++ b/crates/fidc-core/src/strategy_ai.rs @@ -139,7 +139,7 @@ pub fn built_in_strategy_manual() -> StrategyAiManual { ManualField { name: "cash/available_cash/market_value/total_equity".to_string(), field_type: "float".to_string(), detail: "账户资金与总资产。".to_string() }, ManualField { name: "position_count/max_positions/refresh_rate".to_string(), field_type: "int".to_string(), detail: "仓位计数与调仓周期。".to_string() }, ManualField { name: "has_open_orders/open_order_count/open_buy_order_count/open_sell_order_count".to_string(), field_type: "bool/int".to_string(), detail: "当前阶段挂单簿摘要。".to_string() }, - ManualField { name: "open_buy_qty/open_sell_qty".to_string(), field_type: "int".to_string(), detail: "当前阶段未成交买卖挂单的剩余数量汇总。".to_string() }, + ManualField { name: "open_buy_qty/open_sell_qty/latest_open_order_id".to_string(), field_type: "int".to_string(), detail: "当前阶段未成交买卖挂单的剩余数量汇总，以及最近一笔挂单 id。".to_string() }, ManualField { name: "year/month/quarter/day_of_month/day_of_year/week_of_year/weekday".to_string(), field_type: "int".to_string(), detail: "日期维度字段。".to_string() }, ManualField { name: "is_month_start/is_month_end".to_string(), field_type: "bool".to_string(), detail: "月初/月末标记。".to_string() }, ], @@ -156,7 +156,7 @@ pub fn built_in_strategy_manual() -> StrategyAiManual { ManualField { name: "paused/is_st/is_kcb/is_one_yuan/is_new_listing".to_string(), field_type: "bool".to_string(), detail: "可交易性与板块标志。".to_string() }, ManualField { name: "allow_buy/allow_sell/at_upper_limit/at_lower_limit".to_string(), field_type: "bool".to_string(), detail: "盘中买卖与涨跌停状态。".to_string() }, ManualField { name: "touched_upper_limit/touched_lower_limit/hit_upper_limit/hit_lower_limit".to_string(), field_type: "bool".to_string(), detail: "当日 tick 曾经触达涨跌停。".to_string() }, - ManualField { name: "symbol_open_order_count/symbol_open_buy_qty/symbol_open_sell_qty".to_string(), field_type: "int".to_string(), detail: "当前证券在挂单簿中的未成交挂单摘要。".to_string() }, + ManualField { name: "symbol_open_order_count/symbol_open_buy_qty/symbol_open_sell_qty/latest_symbol_open_order_id".to_string(), field_type: "int".to_string(), detail: "当前证券在挂单簿中的未成交挂单摘要和最近挂单 id。".to_string() }, ManualField { name: "stock_ma5/stock_ma10/stock_ma20/stock_ma30".to_string(), field_type: "float".to_string(), detail: "个股价格均线内建别名。只内建这几个窗口；15 日、45 日等任意窗口请改用 sma(\"close\", n)。".to_string() }, ManualField { name: "stock_volume_ma5/stock_volume_ma10/stock_volume_ma20/stock_volume_ma60".to_string(), field_type: "float".to_string(), detail: "个股成交量均线内建别名。只内建这几个窗口；任意窗口请改用 rolling_mean(\"volume\", n)。".to_string() }, ManualField { name: "listed_days".to_string(), field_type: "int".to_string(), detail: "上市天数。".to_string() },