修复非周期补买候选失败中断
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boris
@@ -6881,20 +6881,15 @@ impl Strategy for PlatformExprStrategy {
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});
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}
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}
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let spent = if filled_qty > 0 {
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(cash_before_buy - projected.cash()).max(0.0)
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} else {
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available_buy_cash
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};
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if filled_qty > 0 {
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let spent = (cash_before_buy - projected.cash()).max(0.0);
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aiquant_available_cash = (aiquant_available_cash - spent).max(0.0);
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working_symbols.insert(symbol.clone());
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slot_working_symbols.insert(symbol.clone());
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pending_buy_value += available_buy_cash;
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filled_any = true;
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if filled_qty > 0 {
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break;
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}
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break;
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}
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if !attempted_any || !filled_any {
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break;
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@@ -12586,6 +12581,165 @@ mod tests {
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)));
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}
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#[test]
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fn platform_daily_top_up_continues_after_unfilled_candidate() {
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let prev_date = d(2025, 2, 2);
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let date = d(2025, 2, 3);
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let symbols = ["000001.SZ", "000002.SZ", "000003.SZ"];
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let data = DataSet::from_components_with_actions_and_quotes(
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symbols
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.iter()
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.map(|symbol| Instrument {
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symbol: (*symbol).to_string(),
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name: (*symbol).to_string(),
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board: "SZ".to_string(),
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round_lot: 100,
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listed_at: Some(d(2020, 1, 1)),
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delisted_at: None,
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status: "active".to_string(),
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})
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.collect(),
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symbols
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.iter()
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.map(|symbol| DailyMarketSnapshot {
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date,
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symbol: (*symbol).to_string(),
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timestamp: Some("2025-02-03 10:18:00".to_string()),
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day_open: 10.0,
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open: 10.0,
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high: 10.5,
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low: 9.8,
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close: 10.0,
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last_price: 10.0,
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bid1: 10.0,
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ask1: 10.0,
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prev_close: 9.9,
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volume: 1_000_000,
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tick_volume: 10_000,
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bid1_volume: 2_000,
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ask1_volume: 2_000,
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trading_phase: Some("continuous".to_string()),
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paused: false,
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upper_limit: 11.0,
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lower_limit: 9.0,
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price_tick: 0.01,
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})
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.collect(),
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symbols
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.iter()
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.map(|symbol| DailyFactorSnapshot {
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date,
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symbol: (*symbol).to_string(),
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market_cap_bn: match *symbol {
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"000003.SZ" => 5.0,
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"000002.SZ" => 6.0,
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_ => 7.0,
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},
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free_float_cap_bn: 10.0,
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pe_ttm: 8.0,
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turnover_ratio: Some(1.0),
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effective_turnover_ratio: Some(1.0),
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extra_factors: BTreeMap::new(),
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})
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.collect(),
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symbols
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.iter()
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.map(|symbol| CandidateEligibility {
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date,
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symbol: (*symbol).to_string(),
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is_st: false,
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is_new_listing: false,
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is_paused: false,
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allow_buy: true,
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allow_sell: true,
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is_kcb: false,
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is_one_yuan: false,
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})
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.collect(),
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vec![BenchmarkSnapshot {
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date,
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benchmark: "000852.SH".to_string(),
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open: 1000.0,
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close: 1002.0,
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prev_close: 998.0,
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volume: 1_000_000,
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}],
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Vec::new(),
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vec![IntradayExecutionQuote {
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date,
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symbol: "000002.SZ".to_string(),
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timestamp: date.and_hms_opt(10, 18, 0).expect("valid timestamp"),
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last_price: 10.0,
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bid1: 10.0,
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ask1: 10.0,
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bid1_volume: 10_000,
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ask1_volume: 10_000,
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volume_delta: 10_000,
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amount_delta: 100_000.0,
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trading_phase: Some("continuous".to_string()),
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}],
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)
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.expect("dataset");
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let mut portfolio = PortfolioState::new(10_000.0);
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portfolio
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.position_mut("000001.SZ")
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.buy(prev_date, 1_000, 10.0);
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let subscriptions = BTreeSet::new();
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let ctx = StrategyContext {
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execution_date: date,
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decision_date: date,
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decision_index: 2,
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data: &data,
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portfolio: &portfolio,
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futures_account: None,
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open_orders: &[],
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dynamic_universe: None,
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subscriptions: &subscriptions,
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process_events: &[],
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active_process_event: None,
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active_datetime: None,
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order_events: &[],
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fills: &[],
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};
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let mut cfg = PlatformExprStrategyConfig::microcap_rotation();
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cfg.signal_symbol = "000001.SZ".to_string();
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cfg.refresh_rate = 99;
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cfg.max_positions = 2;
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cfg.benchmark_short_ma_days = 1;
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cfg.benchmark_long_ma_days = 1;
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cfg.market_cap_lower_expr = "0".to_string();
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cfg.market_cap_upper_expr = "1000".to_string();
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cfg.selection_limit_expr = "2".to_string();
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cfg.stock_filter_expr = "close > 0".to_string();
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cfg.daily_top_up_enabled = true;
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let mut strategy = PlatformExprStrategy::new(cfg);
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strategy.rebalance_day_counter = 2;
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let decision = strategy.on_day(&ctx).expect("platform decision");
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assert!(
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decision.order_intents.iter().any(|intent| matches!(
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intent,
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OrderIntent::Value {
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symbol,
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reason,
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..
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} if symbol == "000002.SZ" && reason == "daily_top_up_buy"
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)),
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"{:?}",
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decision.order_intents
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);
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assert!(
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!decision.order_intents.iter().any(|intent| matches!(
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intent,
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OrderIntent::Value { symbol, .. } if symbol == "000003.SZ"
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)),
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"{:?}",
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decision.order_intents
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);
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}
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#[test]
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fn platform_aiquant_remaining_buy_cash_uses_strategy_visible_positions() {
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let prev_date = d(2025, 2, 2);
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