修复策略表达式卖出投影槽位释放

2026-06-19 18:33:07 +08:00
parent c3a5161db1
commit 5ecb0e7986
1 changed files with 110 additions and 0 deletions
@@ -1518,6 +1518,9 @@ impl PlatformExprStrategy {
                execution_time,
            )
            .or_else(|| {
+                if self.config.aiquant_transaction_cost {
+                    return None;
+                }
                if !self.has_execution_quote_at_or_before_at_time(
                    ctx,
                    date,
@@ -16497,6 +16500,113 @@ mod tests {
        assert_eq!(projected.position(symbol).expect("position").quantity, 500);
    }

+    #[test]
+    fn platform_aiquant_projection_does_not_release_sell_slot_without_execution_quote() {
+        let prev_date = d(2024, 4, 12);
+        let date = d(2024, 4, 15);
+        let symbol = "002633.SZ";
+        let data = DataSet::from_components(
+            vec![Instrument {
+                symbol: symbol.to_string(),
+                name: symbol.to_string(),
+                board: "SZ".to_string(),
+                round_lot: 100,
+                listed_at: Some(d(2020, 1, 1)),
+                delisted_at: None,
+                status: "active".to_string(),
+            }],
+            vec![DailyMarketSnapshot {
+                date,
+                symbol: symbol.to_string(),
+                timestamp: Some("2024-04-15 10:18:00".to_string()),
+                day_open: 6.94,
+                open: 6.94,
+                high: 6.94,
+                low: 6.94,
+                close: 6.94,
+                last_price: 6.94,
+                bid1: 0.0,
+                ask1: 0.0,
+                prev_close: 7.63,
+                volume: 1_000_000,
+                tick_volume: 0,
+                bid1_volume: 0,
+                ask1_volume: 0,
+                trading_phase: Some("continuous".to_string()),
+                paused: false,
+                upper_limit: 8.39,
+                lower_limit: 6.87,
+                price_tick: 0.01,
+            }],
+            vec![DailyFactorSnapshot {
+                date,
+                symbol: symbol.to_string(),
+                market_cap_bn: 20.0,
+                free_float_cap_bn: 20.0,
+                pe_ttm: 8.0,
+                turnover_ratio: Some(1.0),
+                effective_turnover_ratio: Some(1.0),
+                extra_factors: BTreeMap::new(),
+            }],
+            vec![CandidateEligibility {
+                date,
+                symbol: symbol.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 mut portfolio = PortfolioState::new(100.0);
+        portfolio.position_mut(symbol).buy(prev_date, 7_400, 8.48);
+        let subscriptions = BTreeSet::new();
+        let ctx = StrategyContext {
+            execution_date: date,
+            decision_date: date,
+            decision_index: 40,
+            data: &data,
+            portfolio: &portfolio,
+            futures_account: None,
+            open_orders: &[],
+            dynamic_universe: None,
+            subscriptions: &subscriptions,
+            process_events: &[],
+            active_process_event: None,
+            active_datetime: Some(date.and_hms_opt(10, 18, 0).unwrap()),
+            order_events: &[],
+            fills: &[],
+        };
+        let mut cfg = PlatformExprStrategyConfig::microcap_rotation();
+        cfg.aiquant_transaction_cost = true;
+        cfg.intraday_execution_time = Some(NaiveTime::from_hms_opt(10, 18, 0).unwrap());
+        let strategy = PlatformExprStrategy::new(cfg);
+        let mut projected = portfolio.clone();
+        let mut execution_state = super::ProjectedExecutionState::default();
+
+        let filled =
+            strategy.project_target_zero(&ctx, &mut projected, date, symbol, &mut execution_state);
+
+        assert_eq!(filled, None);
+        assert_eq!(projected.cash(), portfolio.cash());
+        assert_eq!(
+            projected.position(symbol).expect("position").quantity,
+            7_400
+        );
+    }
+
    #[test]
    fn platform_selection_ranks_with_previous_factor_date() {
        let prev = d(2025, 1, 2);