diff --git a/crates/fidc-core/src/platform_expr_strategy.rs b/crates/fidc-core/src/platform_expr_strategy.rs index c18b43c..379d94f 100644 --- a/crates/fidc-core/src/platform_expr_strategy.rs +++ b/crates/fidc-core/src/platform_expr_strategy.rs @@ -6461,8 +6461,14 @@ impl Strategy for PlatformExprStrategy { } let (stop_hit, profit_hit) = self.stop_take_action_for_position(ctx, execution_date, &day, position)?; + let can_sell = self.can_sell_position(ctx, execution_date, &position.symbol); if stop_hit { - pending_full_close_symbols.insert(position.symbol.clone()); + if can_sell { + pending_full_close_symbols.insert(position.symbol.clone()); + } + continue; + } + if !can_sell { continue; } if self.config.delayed_limit_open_exit_enabled { @@ -12191,6 +12197,150 @@ mod tests { ))); } + #[test] + fn platform_weak_market_keeps_positive_adjust_when_stop_loss_sell_blocked() { + let prev_date = d(2025, 2, 2); + let date = d(2025, 2, 3); + let symbols = ["000001.SZ", "000002.SZ"]; + let data = DataSet::from_components( + 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("2025-02-03 10:40:00".to_string()), + day_open: 10.0, + open: 10.0, + high: 10.2, + low: 10.0, + close: 10.0, + last_price: 10.0, + bid1: 10.0, + ask1: 10.01, + prev_close: 11.11, + volume: 1_000_000, + tick_volume: 10_000, + bid1_volume: 2_000, + ask1_volume: 2_000, + trading_phase: Some("continuous".to_string()), + paused: false, + upper_limit: 12.22, + lower_limit: 10.0, + price_tick: 0.01, + }) + .collect(), + symbols + .iter() + .enumerate() + .map(|(index, symbol)| DailyFactorSnapshot { + date, + symbol: (*symbol).to_string(), + market_cap_bn: 10.0 + index as f64, + free_float_cap_bn: 10.0 + index as f64, + 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_new_listing: false, + is_paused: false, + allow_buy: true, + allow_sell: true, + is_kcb: false, + is_one_yuan: false, + }) + .collect(), + vec![BenchmarkSnapshot { + date, + benchmark: "000852.SH".to_string(), + open: 1000.0, + close: 1000.0, + prev_close: 1000.0, + volume: 1_000_000, + }], + ) + .expect("dataset"); + + let mut portfolio = PortfolioState::new(30_000.0); + portfolio + .position_mut("000001.SZ") + .buy(prev_date, 100, 20.0); + let subscriptions = BTreeSet::new(); + let ctx = StrategyContext { + execution_date: date, + decision_date: date, + decision_index: 2, + 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 = "000001.SZ".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 = "1000".to_string(); + cfg.selection_limit_expr = "2".to_string(); + cfg.stock_filter_expr = "close > 0".to_string(); + cfg.exposure_expr = "0.5".to_string(); + cfg.stop_loss_expr = "0.92".to_string(); + cfg.take_profit_expr.clear(); + cfg.daily_top_up_enabled = true; + cfg.aiquant_transaction_cost = true; + let mut strategy = PlatformExprStrategy::new(cfg); + strategy.rebalance_day_counter = 2; + + let decision = strategy.on_day(&ctx).expect("platform decision"); + + assert!(decision.order_intents.iter().any(|intent| matches!( + intent, + OrderIntent::Shares { + symbol, + quantity, + reason, + } if symbol == "000001.SZ" + && reason == "daily_position_target_adjust" + && *quantity > 0 + ))); + assert!(decision.order_intents.iter().any(|intent| matches!( + intent, + OrderIntent::TargetValue { + symbol, + target_value, + reason, + } if symbol == "000001.SZ" && *target_value == 0.0 && reason == "stop_loss_exit" + ))); + } + #[test] fn platform_refresh_rate_uses_stateful_aiquant_day_counter() { let dates = [d(2025, 2, 5), d(2025, 2, 6), d(2025, 2, 7)];