From 69b793cbb8a3a70e2c3905256988d47231f7fe0d Mon Sep 17 00:00:00 2001 From: boris Date: Wed, 8 Jul 2026 03:03:41 +0800 Subject: [PATCH] =?UTF-8?q?=E4=BF=AE=E6=AD=A3=E5=BB=B6=E8=BF=9F=E6=B6=A8?= =?UTF-8?q?=E5=81=9C=E5=8D=96=E5=87=BA=E8=A1=A5=E4=BB=93=E6=A7=BD=E4=BD=8D?= MIME-Version: 1.0 Content-Type: text/plain; charset=UTF-8 Content-Transfer-Encoding: 8bit --- .../fidc-core/src/platform_expr_strategy.rs | 231 +++++++++++++++++- 1 file changed, 225 insertions(+), 6 deletions(-) diff --git a/crates/fidc-core/src/platform_expr_strategy.rs b/crates/fidc-core/src/platform_expr_strategy.rs index 71a5406..978bc03 100644 --- a/crates/fidc-core/src/platform_expr_strategy.rs +++ b/crates/fidc-core/src/platform_expr_strategy.rs @@ -8125,7 +8125,6 @@ impl Strategy for PlatformExprStrategy { let mut intraday_attempted_buys = BTreeSet::::new(); let mut same_bar_buy_symbols = BTreeSet::::new(); let mut delayed_sold_symbols = BTreeSet::::new(); - let mut delayed_exit_slot_blocking_symbols = BTreeSet::::new(); let mut unresolved_stop_loss_symbols = BTreeSet::::new(); let mut pending_risk_level_forced_exit_symbols = BTreeSet::::new(); let delayed_limit_exit_time = self @@ -8229,7 +8228,7 @@ impl Strategy for PlatformExprStrategy { end_time: Some(delayed_limit_exit_time), reason: "delayed_limit_open_sell".to_string(), }); - delayed_exit_slot_blocking_symbols.insert(symbol.clone()); + delayed_sold_symbols.insert(symbol.clone()); self.forget_position_entry_date(&symbol); let projected_sold = if ctx .data @@ -8251,7 +8250,6 @@ impl Strategy for PlatformExprStrategy { }; if projected_sold { same_day_sold_symbols.insert(symbol.clone()); - delayed_sold_symbols.insert(symbol.clone()); self.pending_highlimit_holdings.remove(&symbol); } } @@ -8334,9 +8332,8 @@ impl Strategy for PlatformExprStrategy { let daily_top_up_target_budget = aiquant_total_value * trading_ratio; let mut daily_top_up_pending_buy_value = 0.0_f64; let mut pending_full_close_symbols = BTreeSet::::new(); - let mut slot_blocking_symbols = delayed_exit_slot_blocking_symbols.clone(); - let should_block_released_slots_after_top_up = - !delayed_exit_slot_blocking_symbols.is_empty(); + let mut slot_blocking_symbols = BTreeSet::::new(); + let should_block_released_slots_after_top_up = false; let interleaved_pending_full_close_symbols = BTreeSet::::new(); let risk_level_forced_exit_time = self.risk_level_forced_exit_time(); self.pending_full_close_symbols.retain(|symbol| { @@ -22368,6 +22365,228 @@ mod tests { ); } + #[test] + fn platform_delayed_open_partial_exit_releases_top_up_slot() { + let prev_date = d(2025, 5, 5); + let date = d(2025, 5, 6); + let delayed_symbol = "000001.SZ"; + let held_symbol = "000002.SZ"; + let buy_symbol = "000003.SZ"; + let symbols = [delayed_symbol, held_symbol, buy_symbol]; + 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("2025-05-06 10:18:00".to_string()), + day_open: 10.0, + open: 10.0, + high: 11.0, + low: 9.0, + close: 10.0, + last_price: 10.0, + bid1: 10.0, + ask1: 10.0, + prev_close: 10.0, + volume: 1_000_000, + minute_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: if *symbol == buy_symbol { + 7.0 + } else if *symbol == delayed_symbol { + 8.0 + } else { + 9.0 + }, + 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_star_st: false, + is_new_listing: false, + is_paused: false, + allow_buy: true, + allow_sell: true, + is_kcb: false, + is_one_yuan: false, + risk_level_code: None, + }) + .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: delayed_symbol.to_string(), + timestamp: date.and_hms_opt(9, 31, 0).expect("valid timestamp"), + last_price: 10.5, + bid1: 10.5, + ask1: 10.51, + bid1_volume: 10_000, + ask1_volume: 10_000, + volume_delta: 400, + amount_delta: 4_200.0, + trading_phase: Some("continuous".to_string()), + }, + IntradayExecutionQuote { + date, + symbol: held_symbol.to_string(), + timestamp: date.and_hms_opt(10, 18, 0).expect("valid timestamp"), + last_price: 10.0, + bid1: 10.0, + ask1: 10.01, + bid1_volume: 10_000, + ask1_volume: 10_000, + volume_delta: 10_000, + amount_delta: 100_000.0, + trading_phase: Some("continuous".to_string()), + }, + IntradayExecutionQuote { + date, + symbol: buy_symbol.to_string(), + timestamp: date.and_hms_opt(10, 18, 0).expect("valid timestamp"), + last_price: 10.0, + bid1: 10.0, + ask1: 10.01, + 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(20_000.0); + portfolio + .position_mut(delayed_symbol) + .buy(prev_date, 1_000, 10.0); + portfolio + .position_mut(held_symbol) + .buy(prev_date, 100, 10.0); + let subscriptions = BTreeSet::new(); + let ctx = StrategyContext { + execution_date: date, + decision_date: date, + decision_index: 20, + 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 = delayed_symbol.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 = "100".to_string(); + cfg.selection_limit_expr = "2".to_string(); + cfg.stock_filter_expr = "close > 0".to_string(); + cfg.exposure_expr = "1.0".to_string(); + cfg.stop_loss_expr = "false".to_string(); + cfg.take_profit_expr = "false".to_string(); + cfg.daily_top_up_enabled = true; + cfg.release_slot_on_exit_signal = true; + cfg.aiquant_transaction_cost = true; + cfg.risk_config.trading_constraints.volume_limit_enabled = true; + cfg.risk_config.trading_constraints.volume_percent = 0.25; + cfg.risk_config.trading_constraints.liquidity_limit_enabled = false; + cfg.intraday_execution_time = Some(NaiveTime::from_hms_opt(10, 18, 0).unwrap()); + cfg.delayed_limit_open_exit_enabled = true; + cfg.delayed_limit_open_exit_time = Some(NaiveTime::from_hms_opt(9, 31, 0).unwrap()); + let mut strategy = PlatformExprStrategy::new(cfg); + strategy.rebalance_day_counter = 2; + strategy + .pending_highlimit_holdings + .insert(delayed_symbol.to_string()); + + let decision = strategy.on_day(&ctx).expect("platform decision"); + + assert!( + decision.order_intents.iter().any(|intent| matches!( + intent, + OrderIntent::AlgoValue { + symbol, + reason, + start_time, + .. + } if symbol == delayed_symbol + && reason == "delayed_limit_open_sell" + && *start_time == Some(NaiveTime::from_hms_opt(9, 31, 0).unwrap()) + )), + "{:?}", + decision.order_intents + ); + assert!( + decision.order_intents.iter().any(|intent| matches!( + intent, + OrderIntent::Value { + symbol, + reason, + .. + } if symbol == buy_symbol && reason == "daily_top_up_buy" + )), + "{:?}", + decision.order_intents + ); + assert!( + strategy.pending_highlimit_holdings.contains(delayed_symbol), + "partial delayed exit must keep residual pending" + ); + } + #[test] fn platform_daily_top_up_releases_unsellable_stop_loss_slot() { let prev_date = d(2026, 3, 31);