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修正延迟涨停卖出补仓槽位

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This commit is contained in:
boris
2026-07-08 03:03:41 +08:00
parent f8f01a0987
commit 69b793cbb8
1 changed files with 225 additions and 6 deletions
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crates/fidc-core/src/platform_expr_strategy.rs
+225 -6
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@@ -8125,7 +8125,6 @@ impl Strategy for PlatformExprStrategy {
let mut intraday_attempted_buys = BTreeSet::<String>::new();
let mut same_bar_buy_symbols = BTreeSet::<String>::new();
let mut delayed_sold_symbols = BTreeSet::<String>::new();
let mut delayed_exit_slot_blocking_symbols = BTreeSet::<String>::new();
let mut unresolved_stop_loss_symbols = BTreeSet::<String>::new();
let mut pending_risk_level_forced_exit_symbols = BTreeSet::<String>::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::<String>::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::<String>::new();
let should_block_released_slots_after_top_up = false;
let interleaved_pending_full_close_symbols = BTreeSet::<String>::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);