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修复平台策略每日调仓和止损下单

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This commit is contained in:
boris
2026-07-06 08:26:16 +08:00
parent fdc099c960
commit 6820b63d56
1 changed files with 14 additions and 10 deletions
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crates/fidc-core/src/platform_expr_strategy.rs
+14 -10
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@@ -7766,9 +7766,6 @@ impl Strategy for PlatformExprStrategy {
} else { } else {
0.0 0.0
}; };
let previous_trading_ratio = self.last_trading_ratio.unwrap_or(1.0);
let weak_market_shrink_due =
trading_ratio.is_finite() && trading_ratio < previous_trading_ratio - 1e-9;
let marked_total_value = self.marked_total_value(ctx, projection_date); let marked_total_value = self.marked_total_value(ctx, projection_date);
let mut aiquant_total_value = if marked_total_value.is_finite() && marked_total_value > 0.0 let mut aiquant_total_value = if marked_total_value.is_finite() && marked_total_value > 0.0
{ {
@@ -7850,6 +7847,7 @@ impl Strategy for PlatformExprStrategy {
let mut intraday_attempted_buys = BTreeSet::<String>::new(); let mut intraday_attempted_buys = BTreeSet::<String>::new();
let mut delayed_sold_symbols = BTreeSet::<String>::new(); let mut delayed_sold_symbols = BTreeSet::<String>::new();
let mut unresolved_stop_loss_symbols = BTreeSet::<String>::new(); let mut unresolved_stop_loss_symbols = BTreeSet::<String>::new();
let mut pre_detected_stop_take_exit_symbols = BTreeSet::<String>::new();
let mut pending_risk_level_forced_exit_symbols = BTreeSet::<String>::new(); let mut pending_risk_level_forced_exit_symbols = BTreeSet::<String>::new();
let delayed_limit_exit_time = self let delayed_limit_exit_time = self
.config .config
@@ -8101,11 +8099,11 @@ impl Strategy for PlatformExprStrategy {
let (stop_hit, profit_hit) = let (stop_hit, profit_hit) =
self.stop_take_action_for_position(ctx, signal_date, &day, position)?; self.stop_take_action_for_position(ctx, signal_date, &day, position)?;
if stop_hit { if stop_hit {
pending_full_close_symbols.insert(position.symbol.clone()); pre_detected_stop_take_exit_symbols.insert(position.symbol.clone());
continue; continue;
} }
if profit_hit { if profit_hit {
pending_full_close_symbols.insert(position.symbol.clone()); pre_detected_stop_take_exit_symbols.insert(position.symbol.clone());
continue; continue;
} }
let can_sell = defer_execution_risk let can_sell = defer_execution_risk
@@ -8168,7 +8166,6 @@ impl Strategy for PlatformExprStrategy {
&& self.config.rotation_enabled && self.config.rotation_enabled
&& trading_ratio > 0.0 && trading_ratio > 0.0
&& trading_ratio < 1.0 && trading_ratio < 1.0
&& weak_market_shrink_due
&& selection_limit > 0 && selection_limit > 0
&& !ctx.portfolio.positions().is_empty() && !ctx.portfolio.positions().is_empty()
{ {
@@ -8189,6 +8186,9 @@ impl Strategy for PlatformExprStrategy {
if pending_full_close_symbols.contains(&position.symbol) { if pending_full_close_symbols.contains(&position.symbol) {
continue; continue;
} }
if pre_detected_stop_take_exit_symbols.contains(&position.symbol) {
continue;
}
let current_value = self.projected_position_value_at_execution_price( let current_value = self.projected_position_value_at_execution_price(
ctx, ctx,
&projected, &projected,
@@ -15122,7 +15122,7 @@ mod tests {
} }
#[test] #[test]
fn platform_aiquant_weak_market_does_not_retarget_same_ratio_every_day() { fn platform_aiquant_weak_market_retargets_same_ratio_every_day() {
let first_date = d(2023, 5, 4); let first_date = d(2023, 5, 4);
let second_date = d(2023, 5, 5); let second_date = d(2023, 5, 5);
let symbol = "300621.SZ"; let symbol = "300621.SZ";
@@ -15225,7 +15225,7 @@ mod tests {
let mut held_portfolio = PortfolioState::new(1_000_000.0); let mut held_portfolio = PortfolioState::new(1_000_000.0);
held_portfolio held_portfolio
.position_mut(symbol) .position_mut(symbol)
.buy(first_date, 4_000, 10.52); .buy(first_date, 400, 10.52);
let second_ctx = StrategyContext { let second_ctx = StrategyContext {
execution_date: second_date, execution_date: second_date,
decision_date: second_date, decision_date: second_date,
@@ -15269,9 +15269,13 @@ mod tests {
.expect("second platform decision"); .expect("second platform decision");
assert!( assert!(
!second_decision.order_intents.iter().any(|intent| matches!( second_decision.order_intents.iter().any(|intent| matches!(
intent, intent,
OrderIntent::Shares { reason, .. } if reason == "daily_position_target_adjust" OrderIntent::Shares {
reason,
quantity,
..
} if reason == "daily_position_target_adjust" && *quantity > 0
)), )),
"{:?}", "{:?}",
second_decision.order_intents second_decision.order_intents