修正预计算市值决策口径

This commit is contained in:
boris
2026-06-19 10:20:12 +08:00
parent 651174dc57
commit 57aebe97ec
+56
View File
@@ -478,7 +478,17 @@ pub fn decision_adjusted_cap_bn(
raw_cap_bn * market.prev_close / market.close raw_cap_bn * market.prev_close / market.close
} }
fn factor_market_cap_is_decision_adjusted(factor: &DailyFactorSnapshot) -> bool {
factor
.extra_factors
.get("__market_cap_decision_adjusted")
.is_some_and(|value| value.is_finite() && *value > 0.0)
}
pub fn decision_market_cap_bn(factor: &DailyFactorSnapshot, market: &DailyMarketSnapshot) -> f64 { pub fn decision_market_cap_bn(factor: &DailyFactorSnapshot, market: &DailyMarketSnapshot) -> f64 {
if factor_market_cap_is_decision_adjusted(factor) {
return factor.market_cap_bn;
}
decision_adjusted_cap_bn(factor.date, factor.market_cap_bn, market) decision_adjusted_cap_bn(factor.date, factor.market_cap_bn, market)
} }
@@ -486,6 +496,9 @@ pub fn decision_free_float_cap_bn(
factor: &DailyFactorSnapshot, factor: &DailyFactorSnapshot,
market: &DailyMarketSnapshot, market: &DailyMarketSnapshot,
) -> f64 { ) -> f64 {
if factor_market_cap_is_decision_adjusted(factor) {
return factor.free_float_cap_bn;
}
decision_adjusted_cap_bn(factor.date, factor.free_float_cap_bn, market) decision_adjusted_cap_bn(factor.date, factor.free_float_cap_bn, market)
} }
@@ -3973,6 +3986,49 @@ mod tests {
assert!((rows[1].market_cap_bn - 10.0).abs() < 1e-9); assert!((rows[1].market_cap_bn - 10.0).abs() < 1e-9);
} }
#[test]
fn decision_market_cap_keeps_pre_adjusted_factor() {
let date = NaiveDate::parse_from_str("2025-01-06", "%Y-%m-%d").unwrap();
let market = DailyMarketSnapshot {
date,
symbol: "000001.SZ".to_string(),
timestamp: Some("2025-01-06 10:18:00".to_string()),
day_open: 10.0,
open: 10.0,
high: 20.0,
low: 10.0,
close: 20.0,
last_price: 10.0,
bid1: 10.0,
ask1: 10.0,
prev_close: 10.0,
volume: 100_000,
tick_volume: 1_000,
bid1_volume: 1_000,
ask1_volume: 1_000,
trading_phase: Some("continuous".to_string()),
paused: false,
upper_limit: 11.0,
lower_limit: 9.0,
price_tick: 0.01,
};
let mut extra_factors = BTreeMap::new();
extra_factors.insert("__market_cap_decision_adjusted".to_string(), 1.0);
let factor = DailyFactorSnapshot {
date,
symbol: "000001.SZ".to_string(),
market_cap_bn: 12.0,
free_float_cap_bn: 4.0,
pe_ttm: 10.0,
turnover_ratio: Some(1.0),
effective_turnover_ratio: Some(1.0),
extra_factors,
};
assert!((decision_market_cap_bn(&factor, &market) - 12.0).abs() < 1e-9);
assert!((decision_free_float_cap_bn(&factor, &market) - 4.0).abs() < 1e-9);
}
#[test] #[test]
fn benchmark_decision_close_windows_exclude_current_close() { fn benchmark_decision_close_windows_exclude_current_close() {
let series = BenchmarkPriceSeries::new(&[ let series = BenchmarkPriceSeries::new(&[