移除FIDC选股CSV覆盖入口
This commit is contained in:
boris
@@ -1,8 +1,4 @@
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use std::collections::{BTreeMap, BTreeSet};
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use std::collections::{BTreeMap, BTreeSet};
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use std::env;
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use std::fs;
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use std::path::{Path, PathBuf};
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use std::sync::OnceLock;
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use chrono::{Datelike, Duration, NaiveDate, NaiveDateTime, NaiveTime};
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use chrono::{Datelike, Duration, NaiveDate, NaiveDateTime, NaiveTime};
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@@ -1694,12 +1690,6 @@ pub struct OmniMicroCapStrategy {
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config: OmniMicroCapConfig,
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config: OmniMicroCapConfig,
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}
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}
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#[derive(Debug, Clone)]
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struct OmniTruthStockLists {
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source_path: String,
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symbols_by_date: BTreeMap<NaiveDate, Vec<String>>,
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}
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#[derive(Default)]
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#[derive(Default)]
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struct ProjectedExecutionState {
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struct ProjectedExecutionState {
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execution_cursors: BTreeMap<String, NaiveDateTime>,
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execution_cursors: BTreeMap<String, NaiveDateTime>,
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@@ -1719,23 +1709,6 @@ impl OmniMicroCapStrategy {
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Self { config }
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Self { config }
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}
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}
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fn truth_stock_list_for_date(&self, date: NaiveDate) -> Option<&Vec<String>> {
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omni_truth_stock_lists()
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.as_ref()
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.and_then(|lists| lists.symbols_by_date.get(&date))
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}
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fn truth_stock_list_source_path(&self) -> Option<&str> {
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omni_truth_stock_lists()
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.as_ref()
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.map(|lists| lists.source_path.as_str())
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}
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fn truth_selection_contains(&self, date: NaiveDate, symbol: &str) -> bool {
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self.truth_stock_list_for_date(date)
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.is_some_and(|symbols| symbols.iter().any(|item| item == symbol))
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}
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fn stop_loss_tolerance(&self, market: &crate::data::DailyMarketSnapshot) -> f64 {
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fn stop_loss_tolerance(&self, market: &crate::data::DailyMarketSnapshot) -> f64 {
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let _ = market;
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let _ = market;
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0.0
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0.0
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@@ -2438,9 +2411,7 @@ impl OmniMicroCapStrategy {
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) {
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) {
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return Ok(Some(reason.to_string()));
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return Ok(Some(reason.to_string()));
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}
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}
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if !self.truth_selection_contains(date, symbol)
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if !self.stock_passes_ma_filter(ctx, date, symbol) {
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&& !self.stock_passes_ma_filter(ctx, date, symbol)
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{
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return Ok(Some("ma_filter".to_string()));
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return Ok(Some("ma_filter".to_string()));
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}
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}
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Ok(None)
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Ok(None)
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@@ -2511,78 +2482,6 @@ impl OmniMicroCapStrategy {
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band_low: f64,
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band_low: f64,
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band_high: f64,
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band_high: f64,
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) -> Result<(Vec<String>, Vec<String>), BacktestError> {
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) -> Result<(Vec<String>, Vec<String>), BacktestError> {
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if let Some(truth_symbols) = self.truth_stock_list_for_date(date) {
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let mut diagnostics = vec![format!(
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"selection_source=truth_csv path={} truth_candidates={}",
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self.truth_stock_list_source_path().unwrap_or("<unknown>"),
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truth_symbols.len()
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)];
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let mut selected = Vec::new();
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let mut selected_set = BTreeSet::new();
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let mut truth_selected = 0usize;
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for symbol in truth_symbols {
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if selected.len() >= self.config.stocknum {
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break;
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}
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if !selected_set.insert(symbol.clone()) {
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continue;
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}
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if ctx.has_dynamic_universe() && !ctx.dynamic_universe_contains(symbol) {
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selected_set.remove(symbol);
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if diagnostics.len() < 14 {
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diagnostics.push(format!("truth {} rejected by dynamic_universe", symbol));
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}
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continue;
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}
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if let Some(reason) = self.buy_rejection_reason(ctx, date, symbol)? {
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selected_set.remove(symbol);
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if diagnostics.len() < 14 {
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diagnostics.push(format!("truth {} rejected by {}", symbol, reason));
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}
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continue;
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}
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selected.push(symbol.clone());
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truth_selected += 1;
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}
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if selected.len() < self.config.stocknum {
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let universe =
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ctx.eligible_universe_on_with_risk_config(date, &self.config.risk_config);
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let start = lower_bound_eligible(&universe, band_low);
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for candidate in universe.iter().skip(start) {
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if candidate.market_cap_bn > band_high {
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break;
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}
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if selected.len() >= self.config.stocknum {
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break;
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}
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if !selected_set.insert(candidate.symbol.clone()) {
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continue;
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}
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if let Some(reason) = self.buy_rejection_reason(ctx, date, &candidate.symbol)? {
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selected_set.remove(&candidate.symbol);
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if diagnostics.len() < 18 {
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diagnostics.push(format!(
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"fallback {} rejected by {}",
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candidate.symbol, reason
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));
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}
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continue;
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}
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selected.push(candidate.symbol.clone());
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}
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}
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diagnostics.push(format!(
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"truth_selected={} fallback_selected={} requested={}",
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truth_selected,
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selected.len().saturating_sub(truth_selected),
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self.config.stocknum
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));
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return Ok((selected, diagnostics));
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}
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let universe = ctx.eligible_universe_on_with_risk_config(date, &self.config.risk_config);
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let universe = ctx.eligible_universe_on_with_risk_config(date, &self.config.risk_config);
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let mut diagnostics = Vec::new();
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let mut diagnostics = Vec::new();
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let mut selected = Vec::new();
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let mut selected = Vec::new();
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@@ -2609,156 +2508,6 @@ impl OmniMicroCapStrategy {
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}
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}
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}
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}
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fn omni_truth_stock_lists() -> &'static Option<OmniTruthStockLists> {
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static LISTS: OnceLock<Option<OmniTruthStockLists>> = OnceLock::new();
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LISTS.get_or_init(load_omni_truth_stock_lists)
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}
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fn load_omni_truth_stock_lists() -> Option<OmniTruthStockLists> {
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for path in omni_truth_stock_list_candidates() {
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if !path.is_file() {
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continue;
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}
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if let Ok(Some(lists)) = load_omni_truth_stock_lists_from_path(&path) {
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return Some(lists);
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}
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}
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None
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}
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fn omni_truth_stock_list_candidates() -> Vec<PathBuf> {
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let mut candidates = Vec::new();
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for key in [
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"FIDC_BT_TRUTH_STOCK_LIST_CSV",
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"OMNI_BT_TRUTH_STOCK_LIST_CSV",
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"OMNI_BACKTEST_TRUTH_STOCK_LIST_CSV",
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] {
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if let Ok(value) = env::var(key) {
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let trimmed = value.trim();
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if !trimmed.is_empty() {
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push_unique_truth_path(&mut candidates, PathBuf::from(trimmed));
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}
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}
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}
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candidates
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}
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fn push_unique_truth_path(paths: &mut Vec<PathBuf>, candidate: PathBuf) {
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if !paths.iter().any(|existing| existing == &candidate) {
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paths.push(candidate);
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}
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}
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fn load_omni_truth_stock_lists_from_path(
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path: &Path,
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) -> Result<Option<OmniTruthStockLists>, String> {
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let text = fs::read_to_string(path)
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.map_err(|error| format!("read {} failed: {}", path.display(), error))?;
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let mut lines = text.lines().filter(|line| !line.trim().is_empty());
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let Some(header_line) = lines.next() else {
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return Ok(None);
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};
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let headers = split_simple_csv_line(header_line.trim_start_matches('\u{feff}'));
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let trade_date_idx = headers
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.iter()
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.position(|field| field == "trade_date")
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.ok_or_else(|| format!("missing trade_date column in {}", path.display()))?;
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let symbol_idx = headers
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.iter()
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.position(|field| field == "symbol")
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.ok_or_else(|| format!("missing symbol column in {}", path.display()))?;
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let rank_idx = headers
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.iter()
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.position(|field| field == "rank")
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.or_else(|| headers.iter().position(|field| field == "index"));
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let mut rows_by_date: BTreeMap<NaiveDate, Vec<(usize, String)>> = BTreeMap::new();
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for (offset, line) in lines.enumerate() {
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let cols = split_simple_csv_line(line);
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let date_raw = cols
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.get(trade_date_idx)
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.ok_or_else(|| format!("missing trade_date at {}:{}", path.display(), offset + 2))?;
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let symbol_raw = cols
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.get(symbol_idx)
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.ok_or_else(|| format!("missing symbol at {}:{}", path.display(), offset + 2))?;
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let trade_date = NaiveDate::parse_from_str(date_raw, "%Y-%m-%d").map_err(|error| {
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format!(
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"invalid trade_date at {}:{}: {}",
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path.display(),
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offset + 2,
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error
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)
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})?;
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let Some(symbol) = normalize_truth_symbol(symbol_raw) else {
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return Err(format!(
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"invalid symbol at {}:{}",
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path.display(),
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offset + 2
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));
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};
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let rank = rank_idx
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.and_then(|idx| cols.get(idx))
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.and_then(|value| value.parse::<usize>().ok())
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.unwrap_or_else(|| {
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rows_by_date
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.get(&trade_date)
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.map(|items| items.len() + 1)
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.unwrap_or(1)
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});
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rows_by_date
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.entry(trade_date)
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.or_default()
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.push((rank.max(1), symbol));
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}
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if rows_by_date.is_empty() {
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return Ok(None);
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}
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let symbols_by_date = rows_by_date
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.into_iter()
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.map(|(date, mut rows)| {
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rows.sort_by(|a, b| a.0.cmp(&b.0).then_with(|| a.1.cmp(&b.1)));
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let mut seen = BTreeSet::new();
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let ordered = rows
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.into_iter()
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.filter_map(|(_, symbol)| {
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if seen.insert(symbol.clone()) {
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Some(symbol)
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} else {
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None
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}
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})
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.collect::<Vec<_>>();
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(date, ordered)
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})
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.collect::<BTreeMap<_, _>>();
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Ok(Some(OmniTruthStockLists {
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source_path: path.display().to_string(),
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symbols_by_date,
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}))
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}
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fn split_simple_csv_line(line: &str) -> Vec<String> {
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line.split(',')
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.map(|field| field.trim().trim_matches('"').to_string())
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.collect()
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}
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fn normalize_truth_symbol(raw: &str) -> Option<String> {
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let normalized = raw
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.trim()
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.to_ascii_uppercase()
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.replace(".XSHG", ".SH")
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.replace(".XSHE", ".SZ");
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if normalized.is_empty() {
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None
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} else {
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Some(normalized)
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}
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}
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impl Strategy for OmniMicroCapStrategy {
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impl Strategy for OmniMicroCapStrategy {
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fn name(&self) -> &str {
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fn name(&self) -> &str {
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self.config.strategy_name.as_str()
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self.config.strategy_name.as_str()
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@@ -3021,51 +2770,6 @@ fn lower_bound_eligible(rows: &[crate::data::EligibleUniverseSnapshot], target:
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mod tests {
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mod tests {
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use super::*;
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use super::*;
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use crate::{BenchmarkSnapshot, CandidateEligibility, DailyFactorSnapshot};
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use crate::{BenchmarkSnapshot, CandidateEligibility, DailyFactorSnapshot};
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use std::time::{SystemTime, UNIX_EPOCH};
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fn temp_csv_path(name: &str) -> PathBuf {
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let nanos = SystemTime::now()
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.duration_since(UNIX_EPOCH)
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.unwrap_or_default()
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.as_nanos();
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env::temp_dir().join(format!("{}_{}_{}.csv", name, std::process::id(), nanos))
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}
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#[test]
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fn load_truth_stock_lists_preserves_rank_order() {
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let path = temp_csv_path("omni_truth_list");
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fs::write(
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&path,
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"trade_date,index,symbol\n2025-01-02,2,300935.SZ\n2025-01-02,1,300321.XSHE\n2025-01-02,1,300321.SZ\n",
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)
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.unwrap();
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let lists = load_omni_truth_stock_lists_from_path(&path)
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.unwrap()
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.unwrap();
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fs::remove_file(&path).ok();
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let symbols = lists
|
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.symbols_by_date
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.get(&NaiveDate::from_ymd_opt(2025, 1, 2).unwrap())
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.unwrap();
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assert_eq!(
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symbols,
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&vec!["300321.SZ".to_string(), "300935.SZ".to_string()]
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);
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}
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#[test]
|
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fn normalize_truth_symbol_maps_external_platform_suffixes() {
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assert_eq!(
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normalize_truth_symbol("300321.XSHE").as_deref(),
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Some("300321.SZ")
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);
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assert_eq!(
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normalize_truth_symbol("603657.XSHG").as_deref(),
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Some("603657.SH")
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);
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}
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#[test]
|
#[test]
|
||||||
fn omni_microcap_projection_uses_configured_trading_cost() {
|
fn omni_microcap_projection_uses_configured_trading_cost() {
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||||||
|
|||||||
@@ -79,4 +79,23 @@ if [[ -n "$fused_hits" ]]; then
|
|||||||
fail "exported fused tables are not allowed in fidc-backtest-engine runtime; use Strategy Factory Source Lake source rows directly" "$fused_hits"
|
fail "exported fused tables are not allowed in fidc-backtest-engine runtime; use Strategy Factory Source Lake source rows directly" "$fused_hits"
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||||||
fi
|
fi
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||||||
|
|
||||||
|
truth_csv_hits="$(
|
||||||
|
rg -n \
|
||||||
|
--glob '!**/.git/**' \
|
||||||
|
--glob '!**/target/**' \
|
||||||
|
--glob '!**/docs/**' \
|
||||||
|
--glob '!**/*.md' \
|
||||||
|
--glob '!**/tests/**' \
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||||||
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--glob '!**/*test*.rs' \
|
||||||
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--glob '!crates/fidc-core/src/strategy_ai.rs' \
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||||||
|
--glob '!scripts/verify-no-legacy-data-source.sh' \
|
||||||
|
'FIDC_BT_TRUTH_STOCK_LIST_CSV|OMNI_BT_TRUTH_STOCK_LIST_CSV|OMNI_BACKTEST_TRUTH_STOCK_LIST_CSV|selection_source=truth_csv|truth_stock_list|truth_csv' \
|
||||||
|
crates Cargo.toml \
|
||||||
|
2>/dev/null || true
|
||||||
|
)"
|
||||||
|
|
||||||
|
if [[ -n "$truth_csv_hits" ]]; then
|
||||||
|
fail "CSV truth stock-list overrides are not allowed in fidc-backtest-engine runtime; use Source Lake runtime spec selection only" "$truth_csv_hits"
|
||||||
|
fi
|
||||||
|
|
||||||
printf '[OK] fidc-backtest-engine has no legacy runtime data-source references\n'
|
printf '[OK] fidc-backtest-engine has no legacy runtime data-source references\n'
|
||||||
|
|||||||
Reference in New Issue
Block a user