修复平台策略选股表达式口径

crates/fidc-core/src/platform_expr_strategy.rs

@@ -428,6 +428,7 @@ struct StockExpressionState {
     stock_volume_ma10: f64,
     stock_volume_ma20: f64,
     stock_volume_ma60: f64,
+    stock_volume_ma100: f64,
     extra_factors: BTreeMap<String, f64>,
     extra_text_factors: BTreeMap<String, String>,
 }
@@ -1443,16 +1444,6 @@ impl PlatformExprStrategy {
         })
     }
 
-    fn has_execution_quote_at_or_before(
-        &self,
-        ctx: &StrategyContext<'_>,
-        date: NaiveDate,
-        symbol: &str,
-        execution_state: &ProjectedExecutionState,
-    ) -> bool {
-        self.has_execution_quote_at_or_before_at_time(ctx, date, symbol, execution_state, None)
-    }
-
     fn has_execution_quote_at_or_before_at_time(
         &self,
         ctx: &StrategyContext<'_>,
@@ -1886,8 +1877,17 @@ impl PlatformExprStrategy {
                 execution_state,
             )
             .or_else(|| {
-                if !self.has_execution_quote_at_or_before(ctx, date, symbol, execution_state)
+                if ctx.data.has_execution_quotes_on_date(date)
                     && ctx.data.execution_quotes_on(date, symbol).is_empty()
+                {
+                    None
+                } else if !self.has_execution_quote_at_or_before_at_time(
+                    ctx,
+                    date,
+                    symbol,
+                    execution_state,
+                    None,
+                ) && ctx.data.execution_quotes_on(date, symbol).is_empty()
                 {
                     Some(ProjectedExecutionFill {
                         price: sizing_price,
@@ -2209,6 +2209,9 @@ impl PlatformExprStrategy {
         let stock_volume_ma60 = self
             .stock_decision_rolling_mean(ctx, date, symbol, &factor.extra_factors, "volume", 60)
             .unwrap_or(f64::NAN);
+        let stock_volume_ma100 = self
+            .stock_decision_rolling_mean(ctx, date, symbol, &factor.extra_factors, "volume", 100)
+            .unwrap_or(f64::NAN);
         let touched_upper_limit = !market.paused
             && (market.is_at_upper_limit_price(market.close)
                 || market.is_at_upper_limit_price(market.open)
@@ -2307,6 +2310,7 @@ impl PlatformExprStrategy {
             stock_volume_ma10,
             stock_volume_ma20,
             stock_volume_ma60,
+            stock_volume_ma100,
             extra_factors: factor.extra_factors.clone(),
             extra_text_factors: ctx
                 .data
@@ -2733,10 +2737,12 @@ impl PlatformExprStrategy {
             scope.push("stock_volume_ma10", stock.stock_volume_ma10);
             scope.push("stock_volume_ma20", stock.stock_volume_ma20);
             scope.push("stock_volume_ma60", stock.stock_volume_ma60);
+            scope.push("stock_volume_ma100", stock.stock_volume_ma100);
             scope.push("volume_ma5", stock.stock_volume_ma5);
             scope.push("volume_ma10", stock.stock_volume_ma10);
             scope.push("volume_ma20", stock.stock_volume_ma20);
             scope.push("volume_ma60", stock.stock_volume_ma60);
+            scope.push("volume_ma100", stock.stock_volume_ma100);
             if include_factors_map {
                 let mut factors = Map::new();
                 factors.insert("symbol".into(), Dynamic::from(stock.symbol.clone()));
@@ -2868,10 +2874,18 @@ impl PlatformExprStrategy {
                     "stock_volume_ma60".into(),
                     Dynamic::from(stock.stock_volume_ma60),
                 );
+                factors.insert(
+                    "stock_volume_ma100".into(),
+                    Dynamic::from(stock.stock_volume_ma100),
+                );
                 factors.insert("volume_ma5".into(), Dynamic::from(stock.stock_volume_ma5));
                 factors.insert("volume_ma10".into(), Dynamic::from(stock.stock_volume_ma10));
                 factors.insert("volume_ma20".into(), Dynamic::from(stock.stock_volume_ma20));
                 factors.insert("volume_ma60".into(), Dynamic::from(stock.stock_volume_ma60));
+                factors.insert(
+                    "volume_ma100".into(),
+                    Dynamic::from(stock.stock_volume_ma100),
+                );
                 for (key, value) in &stock.extra_factors {
                     factors.insert(key.clone().into(), Dynamic::from(*value));
                 }
@@ -5749,6 +5763,7 @@ impl PlatformExprStrategy {
             "stock_volume_ma10" | "volume_ma10" => Some(stock.stock_volume_ma10),
             "stock_volume_ma20" | "volume_ma20" => Some(stock.stock_volume_ma20),
             "stock_volume_ma60" | "volume_ma60" => Some(stock.stock_volume_ma60),
+            "stock_volume_ma100" | "volume_ma100" => Some(stock.stock_volume_ma100),
             "allow_buy" => Some(if stock.allow_buy { 1.0 } else { 0.0 }),
             "allow_sell" => Some(if stock.allow_sell { 1.0 } else { 0.0 }),
             "touched_upper_limit" | "hit_upper_limit" => {
@@ -10655,10 +10670,19 @@ mod tests {
             "{:?}",
             decision.diagnostics
         );
-        assert!(matches!(
+        assert!(
-            decision.order_intents.first(),
+            decision.order_intents.iter().any(|intent| match intent {
-            Some(OrderIntent::Shares { symbol, quantity, .. }) if symbol == fallback_symbol && *quantity > 0
+                OrderIntent::Shares {
-        ));
+                    symbol, quantity, ..
+                } => symbol == fallback_symbol && *quantity > 0,
+                OrderIntent::Value { symbol, value, .. } => {
+                    symbol == fallback_symbol && *value > 0.0
+                }
+                _ => false,
+            }),
+            "{:?}",
+            decision.order_intents
+        );
     }
 
     #[test]
@@ -15105,7 +15129,7 @@ mod tests {
     }
 
     #[test]
-    fn platform_aiquant_projection_uses_snapshot_before_execution_quotes_are_loaded() {
+    fn platform_aiquant_projection_rejects_missing_symbol_execution_quote() {
         let date = d(2025, 5, 14);
         let symbol = "000003.SZ";
         let other_symbol = "000004.SZ";
@@ -15235,12 +15259,12 @@ mod tests {
             &mut execution_state,
         );
 
-        assert!(filled > 0);
+        assert_eq!(filled, 0);
         assert_eq!(
             projected.position(symbol).map(|position| position.quantity),
-            Some(filled)
+            None
         );
-        assert!(projected.cash() < portfolio.cash());
+        assert_eq!(projected.cash(), portfolio.cash());
     }
 
     #[test]

crates/fidc-core/src/platform_strategy_spec.rs

@@ -566,6 +566,20 @@ fn sorted_unique_positive(mut values: Vec<usize>) -> Vec<usize> {
     values
 }
 
+fn stock_close_ma_expr(days: usize) -> String {
+    match days {
+        5 | 10 | 20 | 30 => format!("stock_ma{days}"),
+        _ => format!("rolling_mean(\"close\", {days})"),
+    }
+}
+
+fn stock_volume_ma_expr(days: usize) -> String {
+    match days {
+        5 | 10 | 20 | 60 | 100 => format!("stock_volume_ma{days}"),
+        _ => format!("rolling_mean(\"volume\", {days})"),
+    }
+}
+
 fn infer_expression_windows(
     cfg: &mut PlatformExprStrategyConfig,
     benchmark_short_explicit: bool,
@@ -1001,10 +1015,36 @@ pub fn platform_expr_config_from_spec(
         }
         if let Some(stock_ma_filter) = engine.stock_ma_filter.as_ref() {
             let ratio = stock_ma_filter.rsi_rate.unwrap_or(1.0001);
-            cfg.stock_filter_expr = format!(
+            let short_days = stock_ma_filter
-                "stock_ma_short > stock_ma_mid * {} && stock_ma_mid * {} > stock_ma_long",
+                .short_days
-                ratio, ratio
+                .unwrap_or(cfg.stock_short_ma_days);
-            );
+            let mid_days = stock_ma_filter.mid_days.unwrap_or(cfg.stock_mid_ma_days);
+            let long_days = stock_ma_filter.long_days.unwrap_or(cfg.stock_long_ma_days);
+            let mut conditions = vec![
+                format!(
+                    "{} > {} * {}",
+                    stock_close_ma_expr(short_days),
+                    stock_close_ma_expr(mid_days),
+                    ratio
+                ),
+                format!(
+                    "{} > {} * {}",
+                    stock_close_ma_expr(mid_days),
+                    stock_close_ma_expr(long_days),
+                    ratio
+                ),
+            ];
+            if let (Some(volume_short_days), Some(volume_long_days)) = (
+                stock_ma_filter.volume_short_days.filter(|value| *value > 0),
+                stock_ma_filter.volume_long_days.filter(|value| *value > 0),
+            ) {
+                conditions.push(format!(
+                    "{} < {}",
+                    stock_volume_ma_expr(volume_short_days),
+                    stock_volume_ma_expr(volume_long_days)
+                ));
+            }
+            cfg.stock_filter_expr = conditions.join(" && ");
         }
         if let Some(index_throttle) = engine.index_throttle.as_ref() {
             let ratio = index_throttle.rsi_rate.unwrap_or(1.0001);
@@ -1629,6 +1669,30 @@ mod tests {
         );
     }
 
+    #[test]
+    fn engine_stock_ma_filter_generates_price_and_volume_expr() {
+        let spec = serde_json::json!({
+            "engineConfig": {
+                "rankLimit": 40,
+                "stockMaFilter": {
+                    "shortDays": 5,
+                    "midDays": 10,
+                    "longDays": 30,
+                    "volumeShortDays": 5,
+                    "volumeLongDays": 100,
+                    "rsiRate": 1.00001
+                }
+            }
+        });
+
+        let cfg = platform_expr_config_from_value("", "", &spec).expect("config");
+
+        assert_eq!(
+            cfg.stock_filter_expr,
+            "stock_ma5 > stock_ma10 * 1.00001 && stock_ma10 > stock_ma30 * 1.00001 && stock_volume_ma5 < stock_volume_ma100"
+        );
+    }
+
     #[test]
     fn aiquant_profile_defaults_to_daily_top_up_and_empty_retry() {
         let spec = serde_json::json!({

crates/fidc-core/src/strategy_ai.rs

@@ -277,7 +277,7 @@ pub fn built_in_strategy_manual() -> StrategyAiManual {
                     ManualField { name: "latest_symbol_open_order_status/latest_symbol_open_order_unfilled_qty".to_string(), field_type: "string/int".to_string(), detail: "当前证券最近一笔挂单的状态和未成交数量。".to_string() },
                     ManualField { name: "in_dynamic_universe/is_subscribed".to_string(), field_type: "bool".to_string(), detail: "当前证券是否在动态 universe 内，以及是否仍在订阅集合中。".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，按当前交易日前 N 个已完成交易日的收盘价计算；历史窗口不足时为 NaN，比较条件会自然不通过；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，按当前交易日前 N 个已完成交易日的成交量计算，不包含回测当天未来成交量；历史窗口不足时为 NaN，比较条件会自然不通过；任意窗口请改用 rolling_mean(\"volume\", n)。".to_string() },
+                    ManualField { name: "stock_volume_ma5/stock_volume_ma10/stock_volume_ma20/stock_volume_ma60/stock_volume_ma100".to_string(), field_type: "float".to_string(), detail: "个股成交量均线内建别名，按当前交易日前 N 个已完成交易日的成交量计算，不包含回测当天未来成交量；历史窗口不足时为 NaN，比较条件会自然不通过；任意窗口请改用 rolling_mean(\"volume\", n)。".to_string() },
                     ManualField { name: "factors[\"field\"] / factor(\"field\")".to_string(), field_type: "float/string".to_string(), detail: "当前证券当日可用因子。默认可用字段以手册的“可用指标、参数和字段”清单为准；自定义因子需要预先写入策略数据或 extra_factors。数值字段返回数字，字符串字段返回字符串。".to_string() },
                     ManualField { name: "listed_days".to_string(), field_type: "int".to_string(), detail: "上市天数。".to_string() },
                 ],