diff --git a/crates/fidc-core/src/platform_expr_strategy.rs b/crates/fidc-core/src/platform_expr_strategy.rs index 085e260..9d21ef5 100644 --- a/crates/fidc-core/src/platform_expr_strategy.rs +++ b/crates/fidc-core/src/platform_expr_strategy.rs @@ -6881,20 +6881,15 @@ impl Strategy for PlatformExprStrategy { }); } } - let spent = if filled_qty > 0 { - (cash_before_buy - projected.cash()).max(0.0) - } else { - available_buy_cash - }; - aiquant_available_cash = (aiquant_available_cash - spent).max(0.0); - working_symbols.insert(symbol.clone()); - slot_working_symbols.insert(symbol.clone()); - pending_buy_value += available_buy_cash; - filled_any = true; if filled_qty > 0 { + let spent = (cash_before_buy - projected.cash()).max(0.0); + aiquant_available_cash = (aiquant_available_cash - spent).max(0.0); + working_symbols.insert(symbol.clone()); + slot_working_symbols.insert(symbol.clone()); + pending_buy_value += available_buy_cash; + filled_any = true; break; } - break; } if !attempted_any || !filled_any { break; @@ -12586,6 +12581,165 @@ mod tests { ))); } + #[test] + fn platform_daily_top_up_continues_after_unfilled_candidate() { + let prev_date = d(2025, 2, 2); + let date = d(2025, 2, 3); + let symbols = ["000001.SZ", "000002.SZ", "000003.SZ"]; + let data = DataSet::from_components_with_actions_and_quotes( + symbols + .iter() + .map(|symbol| 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(), + }) + .collect(), + symbols + .iter() + .map(|symbol| DailyMarketSnapshot { + date, + symbol: (*symbol).to_string(), + timestamp: Some("2025-02-03 10:18:00".to_string()), + day_open: 10.0, + open: 10.0, + high: 10.5, + low: 9.8, + close: 10.0, + last_price: 10.0, + bid1: 10.0, + ask1: 10.0, + prev_close: 9.9, + volume: 1_000_000, + tick_volume: 10_000, + bid1_volume: 2_000, + ask1_volume: 2_000, + trading_phase: Some("continuous".to_string()), + paused: false, + upper_limit: 11.0, + lower_limit: 9.0, + price_tick: 0.01, + }) + .collect(), + symbols + .iter() + .map(|symbol| DailyFactorSnapshot { + date, + symbol: (*symbol).to_string(), + market_cap_bn: match *symbol { + "000003.SZ" => 5.0, + "000002.SZ" => 6.0, + _ => 7.0, + }, + free_float_cap_bn: 10.0, + pe_ttm: 8.0, + turnover_ratio: Some(1.0), + effective_turnover_ratio: Some(1.0), + extra_factors: BTreeMap::new(), + }) + .collect(), + symbols + .iter() + .map(|symbol| 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, + }) + .collect(), + vec![BenchmarkSnapshot { + date, + benchmark: "000852.SH".to_string(), + open: 1000.0, + close: 1002.0, + prev_close: 998.0, + volume: 1_000_000, + }], + Vec::new(), + vec![IntradayExecutionQuote { + date, + symbol: "000002.SZ".to_string(), + timestamp: date.and_hms_opt(10, 18, 0).expect("valid timestamp"), + last_price: 10.0, + bid1: 10.0, + ask1: 10.0, + bid1_volume: 10_000, + ask1_volume: 10_000, + volume_delta: 10_000, + amount_delta: 100_000.0, + trading_phase: Some("continuous".to_string()), + }], + ) + .expect("dataset"); + + let mut portfolio = PortfolioState::new(10_000.0); + portfolio + .position_mut("000001.SZ") + .buy(prev_date, 1_000, 10.0); + let subscriptions = BTreeSet::new(); + let ctx = StrategyContext { + execution_date: date, + decision_date: date, + decision_index: 2, + data: &data, + portfolio: &portfolio, + futures_account: None, + open_orders: &[], + dynamic_universe: None, + subscriptions: &subscriptions, + process_events: &[], + active_process_event: None, + active_datetime: None, + order_events: &[], + fills: &[], + }; + let mut cfg = PlatformExprStrategyConfig::microcap_rotation(); + cfg.signal_symbol = "000001.SZ".to_string(); + cfg.refresh_rate = 99; + cfg.max_positions = 2; + cfg.benchmark_short_ma_days = 1; + cfg.benchmark_long_ma_days = 1; + cfg.market_cap_lower_expr = "0".to_string(); + cfg.market_cap_upper_expr = "1000".to_string(); + cfg.selection_limit_expr = "2".to_string(); + cfg.stock_filter_expr = "close > 0".to_string(); + cfg.daily_top_up_enabled = true; + let mut strategy = PlatformExprStrategy::new(cfg); + strategy.rebalance_day_counter = 2; + + let decision = strategy.on_day(&ctx).expect("platform decision"); + + assert!( + decision.order_intents.iter().any(|intent| matches!( + intent, + OrderIntent::Value { + symbol, + reason, + .. + } if symbol == "000002.SZ" && reason == "daily_top_up_buy" + )), + "{:?}", + decision.order_intents + ); + assert!( + !decision.order_intents.iter().any(|intent| matches!( + intent, + OrderIntent::Value { symbol, .. } if symbol == "000003.SZ" + )), + "{:?}", + decision.order_intents + ); + } + #[test] fn platform_aiquant_remaining_buy_cash_uses_strategy_visible_positions() { let prev_date = d(2025, 2, 2);