修正FIDC风控字段与默认选股语义

2026-07-07 13:14:34 +08:00
parent 90857fae0a
commit 6b306eecf2
2 changed files with 223 additions and 6 deletions
@@ -274,7 +274,7 @@ fn band_low(index_close) {
  round((index_close - 2000) * 4 / 500 + 7)
 }"#
            .to_string(),
-            universe_exclude: vec!["bjse".to_string()],
+            universe_exclude: Vec::new(),
            market_cap_field: "market_cap".to_string(),
            market_cap_lower_expr: "band_low(signal_close)".to_string(),
            market_cap_upper_expr: "band_low(signal_close) + 10".to_string(),
@@ -439,7 +439,9 @@ struct StockExpressionState {
    order_step_size: i64,
    paused: bool,
    is_st: bool,
+    is_star_st: bool,
    is_kcb: bool,
+    is_bjse: bool,
    is_one_yuan: bool,
    is_new_listing: bool,
    allow_buy: bool,
@@ -936,7 +938,9 @@ impl PlatformExprStrategy {
                | "round_lot"
                | "paused"
                | "is_st"
+                | "is_star_st"
                | "is_kcb"
+                | "is_bjse"
                | "is_one_yuan"
                | "is_new_listing"
                | "allow_buy"
@@ -2829,7 +2833,9 @@ impl PlatformExprStrategy {
            order_step_size: instrument.map(|item| item.order_step_size()).unwrap_or(100) as i64,
            paused: market.paused || candidate.is_paused,
            is_st: candidate.is_st,
+            is_star_st: candidate.is_star_st,
            is_kcb: candidate.is_kcb,
+            is_bjse: Self::symbol_is_bjse(symbol),
            is_one_yuan: candidate.is_one_yuan || market.day_open <= 1.0,
            is_new_listing: candidate.is_new_listing,
            allow_buy: candidate.allow_buy,
@@ -3234,7 +3240,9 @@ impl PlatformExprStrategy {
            scope.push("order_step_size", stock.order_step_size);
            scope.push("paused", stock.paused);
            scope.push("is_st", stock.is_st);
+            scope.push("is_star_st", stock.is_star_st);
            scope.push("is_kcb", stock.is_kcb);
+            scope.push("is_bjse", stock.is_bjse);
            scope.push("is_one_yuan", stock.is_one_yuan);
            scope.push("is_new_listing", stock.is_new_listing);
            scope.push("allow_buy", stock.allow_buy);
@@ -3344,7 +3352,9 @@ impl PlatformExprStrategy {
                );
                factors.insert("paused".into(), Dynamic::from(stock.paused));
                factors.insert("is_st".into(), Dynamic::from(stock.is_st));
+                factors.insert("is_star_st".into(), Dynamic::from(stock.is_star_st));
                factors.insert("is_kcb".into(), Dynamic::from(stock.is_kcb));
+                factors.insert("is_bjse".into(), Dynamic::from(stock.is_bjse));
                factors.insert("is_one_yuan".into(), Dynamic::from(stock.is_one_yuan));
                factors.insert("is_new_listing".into(), Dynamic::from(stock.is_new_listing));
                factors.insert("allow_buy".into(), Dynamic::from(stock.allow_buy));
@@ -6444,6 +6454,11 @@ impl PlatformExprStrategy {
        None
    }

+    fn symbol_is_bjse(symbol: &str) -> bool {
+        let normalized = symbol.trim().to_ascii_uppercase();
+        normalized.ends_with(".BJ") || normalized.ends_with(".BSE") || normalized.ends_with(".BE")
+    }
+
    fn stock_numeric_field_value(
        &self,
        candidate: &EligibleUniverseSnapshot,
@@ -6501,7 +6516,11 @@ impl PlatformExprStrategy {
            }
            "paused" => Some(if stock.paused { 1.0 } else { 0.0 }),
            "is_st" => Some(if stock.is_st { 1.0 } else { 0.0 }),
+            "is_star_st" | "star_st" => Some(if stock.is_star_st { 1.0 } else { 0.0 }),
            "is_kcb" => Some(if stock.is_kcb { 1.0 } else { 0.0 }),
+            "is_bjse" | "bjse" | "bse" | "beijing_exchange" | "north_exchange" => {
+                Some(if stock.is_bjse { 1.0 } else { 0.0 })
+            }
            "is_one_yuan" => Some(if stock.is_one_yuan { 1.0 } else { 0.0 }),
            "is_new_listing" => Some(if stock.is_new_listing { 1.0 } else { 0.0 }),
            "candidate_market_cap" => Some(Self::market_cap_storage_to_strategy_unit(
@@ -7135,7 +7154,9 @@ impl PlatformExprStrategy {
                | "hit_lower_limit"
                | "paused"
                | "is_st"
+                | "is_star_st"
                | "is_kcb"
+                | "is_bjse"
                | "is_one_yuan"
                | "is_new_listing"
                | "candidate_market_cap"
@@ -9095,11 +9116,12 @@ mod tests {
    };
    use crate::{
        AlgoOrderStyle, BenchmarkSnapshot, CandidateEligibility, CorporateAction,
-        DailyFactorSnapshot, DailyMarketSnapshot, DataSet, FactorTextValue, FuturesCommissionType,
-        FuturesTradingParameter, Instrument, IntradayExecutionQuote, MatchingType, OpenOrderView,
-        OrderIntent, OrderSide, PortfolioState, ProcessEvent, ProcessEventKind, RebalanceCashMode,
-        ScheduleStage, ScheduleTimeRule, SlippageModel, Strategy, StrategyContext,
-        TargetPortfolioOrderPricing, TradingCalendar, default_stage_time,
+        DailyFactorSnapshot, DailyMarketSnapshot, DataSet, EligibleUniverseSnapshot,
+        FactorTextValue, FuturesCommissionType, FuturesTradingParameter, Instrument,
+        IntradayExecutionQuote, MatchingType, OpenOrderView, OrderIntent, OrderSide,
+        PortfolioState, ProcessEvent, ProcessEventKind, RebalanceCashMode, ScheduleStage,
+        ScheduleTimeRule, SlippageModel, Strategy, StrategyContext, TargetPortfolioOrderPricing,
+        TradingCalendar, default_stage_time,
    };

    fn d(year: i32, month: u32, day: u32) -> NaiveDate {
@@ -13707,6 +13729,200 @@ mod tests {
        );
    }

+    #[test]
+    fn platform_stock_expr_exposes_star_st_and_bjse_fields_without_default_selection_risk() {
+        let date = d(2025, 11, 10);
+        let signal = "000001.SH";
+        let star_st_symbol = "300268.SZ";
+        let bjse_symbol = "920508.BJ";
+        let normal_symbol = "301167.SZ";
+        let market = |symbol: &str, close: f64| DailyMarketSnapshot {
+            date,
+            symbol: symbol.to_string(),
+            timestamp: Some(format!("{date} 15:00:00")),
+            day_open: close,
+            open: close,
+            high: close,
+            low: close,
+            close,
+            last_price: close,
+            bid1: close,
+            ask1: close,
+            prev_close: close,
+            volume: 1_000_000,
+            minute_volume: 10_000,
+            bid1_volume: 10_000,
+            ask1_volume: 10_000,
+            trading_phase: Some("continuous".to_string()),
+            paused: false,
+            upper_limit: close * 1.1,
+            lower_limit: close * 0.9,
+            price_tick: 0.01,
+        };
+        let symbols = [signal, star_st_symbol, bjse_symbol, normal_symbol];
+        let data = DataSet::from_components(
+            symbols
+                .into_iter()
+                .map(|symbol| Instrument {
+                    symbol: symbol.to_string(),
+                    name: symbol.to_string(),
+                    board: if symbol.ends_with(".BJ") {
+                        "BJ".to_string()
+                    } else if symbol.ends_with(".SH") {
+                        "SH".to_string()
+                    } else {
+                        "SZ".to_string()
+                    },
+                    round_lot: 100,
+                    listed_at: Some(d(2020, 1, 1)),
+                    delisted_at: None,
+                    status: "active".to_string(),
+                })
+                .collect(),
+            symbols
+                .into_iter()
+                .map(|symbol| market(symbol, 10.0))
+                .collect(),
+            [star_st_symbol, bjse_symbol, normal_symbol]
+                .into_iter()
+                .enumerate()
+                .map(|(index, symbol)| DailyFactorSnapshot {
+                    date,
+                    symbol: symbol.to_string(),
+                    market_cap_bn: 1.0 + index as f64,
+                    free_float_cap_bn: 1.0 + index as f64,
+                    pe_ttm: 8.0,
+                    turnover_ratio: Some(1.0),
+                    effective_turnover_ratio: Some(1.0),
+                    extra_factors: BTreeMap::new(),
+                })
+                .collect(),
+            vec![
+                CandidateEligibility {
+                    date,
+                    symbol: star_st_symbol.to_string(),
+                    is_st: true,
+                    is_star_st: true,
+                    is_new_listing: false,
+                    is_paused: false,
+                    allow_buy: true,
+                    allow_sell: true,
+                    is_kcb: false,
+                    is_one_yuan: false,
+                    risk_level_code: None,
+                },
+                CandidateEligibility {
+                    date,
+                    symbol: bjse_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,
+                },
+                CandidateEligibility {
+                    date,
+                    symbol: normal_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,
+                },
+            ],
+            vec![BenchmarkSnapshot {
+                date,
+                benchmark: "000852.SH".to_string(),
+                open: 1000.0,
+                close: 1002.0,
+                prev_close: 998.0,
+                volume: 1_000_000,
+            }],
+        )
+        .expect("dataset");
+        let portfolio = PortfolioState::new(1_000_000.0);
+        let subscriptions = BTreeSet::new();
+        let ctx = StrategyContext {
+            execution_date: date,
+            decision_date: date,
+            decision_index: 0,
+            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 = signal.to_string();
+        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 = "is_star_st || is_bjse".to_string();
+        cfg.benchmark_short_ma_days = 1;
+        cfg.benchmark_long_ma_days = 1;
+        let strategy = PlatformExprStrategy::new(cfg);
+        let day = strategy.day_state(&ctx, date).expect("day state");
+
+        assert_eq!(
+            strategy
+                .selectable_universe_on(&ctx, date, date)
+                .iter()
+                .map(|row| row.symbol.as_str())
+                .collect::<Vec<_>>(),
+            vec![star_st_symbol, bjse_symbol, normal_symbol]
+        );
+
+        let (selected, diagnostics, risk_decisions) = strategy
+            .select_symbols(&ctx, date, date, date, &day, 0.0, 100.0, 2)
+            .expect("select symbols");
+
+        assert!(diagnostics.is_empty(), "{diagnostics:?}");
+        assert!(risk_decisions.is_empty());
+        assert_eq!(
+            selected,
+            vec![star_st_symbol.to_string(), bjse_symbol.to_string()]
+        );
+
+        let star_stock = strategy
+            .selection_stock_state_with_factor_date(&ctx, date, date, star_st_symbol)
+            .expect("star st state");
+        let bjse_stock = strategy
+            .selection_stock_state_with_factor_date(&ctx, date, date, bjse_symbol)
+            .expect("bjse state");
+        let star_candidate = EligibleUniverseSnapshot {
+            symbol: star_st_symbol.to_string(),
+            market_cap_bn: 1.0,
+            free_float_cap_bn: 1.0,
+        };
+        let bjse_candidate = EligibleUniverseSnapshot {
+            symbol: bjse_symbol.to_string(),
+            market_cap_bn: 2.0,
+            free_float_cap_bn: 2.0,
+        };
+        assert_eq!(
+            strategy.stock_numeric_field_value(&star_candidate, &star_stock, "is_star_st"),
+            Some(1.0)
+        );
+        assert_eq!(
+            strategy.stock_numeric_field_value(&bjse_candidate, &bjse_stock, "is_bjse"),
+            Some(1.0)
+        );
+    }
+
    #[test]
    fn platform_next_open_select_symbols_defers_decision_day_limit_state() {
        let decision_date = d(2025, 1, 2);
@@ -157,6 +157,7 @@ const RESERVED_SCOPE_NAMES: &[&str] = &[
    "is_st",
    "is_star_st",
    "is_kcb",
+    "is_bjse",
    "is_one_yuan",
    "is_new_listing",
    "allow_buy",