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Fix decision-time rolling factor semantics

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boris
2026-04-24 01:00:28 -07:00
parent e6621c1719
commit 55e8a59866
3 changed files with 237 additions and 59 deletions
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6
crates/fidc-core/src/strategy_ai.rs
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@@ -177,8 +177,8 @@ pub fn built_in_strategy_manual() -> StrategyAiManual {
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: "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。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: "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: "factors[\"field\"] / factor(\"field\")".to_string(), field_type: "float/string".to_string(), detail: "当前证券当日数据库因子。数值字段返回数字，字符串字段返回字符串；字符串字段名如果是合法标识符，也可直接写字段名，例如 concept == \"ai_chip\"。".to_string() },
ManualField { name: "listed_days".to_string(), field_type: "int".to_string(), detail: "上市天数。".to_string() },
],
@@ -229,7 +229,7 @@ pub fn built_in_strategy_manual() -> StrategyAiManual {
ManualFunction { name: "order/order_status/order_avg_price/order_transaction_cost".to_string(), signature: "ctx.order(order_id)".to_string(), detail: "按订单 id 查询运行时订单对象，支持已结束订单和当前挂单。返回字段包括 status、filled_quantity、unfilled_quantity、avg_price、transaction_cost、symbol、side、reason；可用便捷函数读取状态、成交均价和费用，对齐 平台内核 Order 的核心属性。".to_string() },
ManualFunction { name: "account/portfolio_view/accounts".to_string(), signature: "ctx.account()".to_string(), detail: "返回当前股票账户/组合运行时视图，字段包括 account_type、cash、available_cash、frozen_cash、market_value、total_value、unit_net_value、daily_pnl、daily_returns、total_returns、transaction_cost、trading_pnl、position_pnl 等；DSL 中同名字段可直接使用。也可用 ctx.stock_account()、ctx.account_by_type(\"STOCK\")、ctx.accounts() 按账户类型读取；当前股票回测路径不会把 FUTURE 虚假映射成 STOCK。".to_string() },
ManualFunction { name: "deposit_withdraw/finance_repay/management_fee".to_string(), signature: "account.deposit_withdraw(amount, receiving_days=0)".to_string(), detail: "策略账户资金动作。deposit_withdraw 正数入金、负数出金；receiving_days 大于 0 时按交易日延迟到账，并保持净值口径不把外部资金流当成收益。finance_repay 正数融资、负数还款，会同步维护 cash_liabilities。set_management_fee_rate 设置结算管理费率；普通策略可覆盖 management_fee(ctx, rate) 自定义计算器，对齐 平台内核 管理费回调能力。".to_string() },
ManualFunction { name: "rolling_mean".to_string(), signature: "rolling_mean(\"field\", lookback)".to_string(), detail: "任意字段滚动均值，支持 volume/amount/turnover_ratio、signal_open/signal_close、benchmark_open/benchmark_close 等。任意成交量窗口推荐用它，比如 rolling_mean(\"volume\", 15)。".to_string() },
ManualFunction { name: "rolling_mean".to_string(), signature: "rolling_mean(\"field\", lookback)".to_string(), detail: "任意字段滚动均值，支持 volume/amount/turnover_ratio、signal_open/signal_close、benchmark_open/benchmark_close 等。个股 volume 与 close 均按当前交易日前已完成交易日计算；单只股票历史窗口不足时，在选股过滤和买入仓位表达式中按不通过/0 仓处理，不会中断整次回测。任意成交量窗口推荐用它，比如 rolling_mean(\"volume\", 15)。".to_string() },
ManualFunction { name: "sma".to_string(), signature: "sma(\"field\", lookback)".to_string(), detail: "rolling_mean 的别名。任意价格均线窗口推荐用它，比如 sma(\"close\", 15)。".to_string() },
ManualFunction { name: "round/floor/ceil/abs/min/max/clamp".to_string(), signature: "round(x)".to_string(), detail: "常用数值函数。".to_string() },
ManualFunction { name: "safe_div".to_string(), signature: "safe_div(lhs, rhs, fallback)".to_string(), detail: "安全除法。".to_string() },