修复涨停持仓弱市缩仓保护

crates/fidc-core/src/platform_expr_strategy.rs

@@ -2176,6 +2176,28 @@ impl PlatformExprStrategy {
         }
     }
 
+    fn regular_sell_should_wait_due_to_highlimit(
+        &mut self,
+        ctx: &StrategyContext<'_>,
+        date: NaiveDate,
+        symbol: &str,
+        execution_time: NaiveTime,
+    ) -> Result<bool, BacktestError> {
+        if !self.config.delayed_limit_open_exit_enabled {
+            return Ok(false);
+        }
+        if self.pending_highlimit_holdings.contains(symbol) {
+            return self.pending_highlimit_sell_should_wait(ctx, date, symbol, execution_time);
+        }
+        match self.stock_is_at_upper_limit_at_time(ctx, date, symbol, execution_time)? {
+            Some(true) => {
+                self.pending_highlimit_holdings.insert(symbol.to_string());
+                Ok(true)
+            }
+            Some(false) | None => Ok(false),
+        }
+    }
+
     fn stock_state_with_factor_date_and_time(
         &self,
         ctx: &StrategyContext<'_>,
@@ -6790,6 +6812,14 @@ impl Strategy for PlatformExprStrategy {
                 {
                     continue;
                 }
+                if self.regular_sell_should_wait_due_to_highlimit(
+                    ctx,
+                    execution_date,
+                    &position.symbol,
+                    self.intraday_execution_start_time(),
+                )? {
+                    continue;
+                }
                 let (stop_hit, profit_hit) =
                     self.stop_take_action_for_position(ctx, execution_date, &day, position)?;
                 if stop_hit {
@@ -6838,7 +6868,7 @@ impl Strategy for PlatformExprStrategy {
                     if position.quantity == 0 || delayed_sold_symbols.contains(&position.symbol) {
                         continue;
                     }
-                    if self.pending_highlimit_sell_should_wait(
+                    if self.regular_sell_should_wait_due_to_highlimit(
                         ctx,
                         execution_date,
                         &position.symbol,
@@ -6917,6 +6947,14 @@ impl Strategy for PlatformExprStrategy {
             if projected_position.quantity == 0 || avg_price <= 0.0 {
                 continue;
             }
+            if self.regular_sell_should_wait_due_to_highlimit(
+                ctx,
+                execution_date,
+                &position.symbol,
+                self.intraday_execution_start_time(),
+            )? {
+                continue;
+            }
             let (stop_hit, profit_hit) =
                 self.stop_take_action_for_position(ctx, execution_date, &day, projected_position)?;
             let can_sell = self.can_sell_position(ctx, execution_date, &position.symbol);
@@ -6948,26 +6986,6 @@ impl Strategy for PlatformExprStrategy {
                 continue;
             }
 
-            if self.config.delayed_limit_open_exit_enabled {
-                let stock = match self.stock_state_at_time(
-                    ctx,
-                    execution_date,
-                    &position.symbol,
-                    Some(self.intraday_execution_start_time()),
-                ) {
-                    Ok(stock) => stock,
-                    Err(BacktestError::Data(crate::data::DataSetError::MissingSnapshot {
-                        ..
-                    })) => continue,
-                    Err(error) => return Err(error),
-                };
-                if stock.upper_limit > 0.0 && stock.last >= stock.upper_limit {
-                    self.pending_highlimit_holdings
-                        .insert(position.symbol.clone());
-                    continue;
-                }
-            }
-
             if profit_hit {
                 exit_symbols.insert(position.symbol.clone());
                 order_intents.push(OrderIntent::TargetValue {
@@ -10976,6 +10994,159 @@ mod tests {
         assert!(strategy.pending_highlimit_holdings.contains(symbol));
     }
 
+    #[test]
+    fn platform_aiquant_weak_market_marks_intraday_highlimit_before_target_adjust() {
+        let prev_date = d(2023, 5, 4);
+        let date = d(2023, 5, 5);
+        let symbol = "600148.SH";
+        let data = DataSet::from_components_with_actions_and_quotes(
+            vec![Instrument {
+                symbol: symbol.to_string(),
+                name: symbol.to_string(),
+                board: "SH".to_string(),
+                round_lot: 100,
+                listed_at: Some(d(2020, 1, 1)),
+                delisted_at: None,
+                status: "active".to_string(),
+            }],
+            vec![DailyMarketSnapshot {
+                date,
+                symbol: symbol.to_string(),
+                timestamp: Some(format!("{date} 10:18:00")),
+                day_open: 10.8,
+                open: 10.8,
+                high: 11.0,
+                low: 10.7,
+                close: 11.0,
+                last_price: 11.0,
+                bid1: 11.0,
+                ask1: 11.0,
+                prev_close: 10.0,
+                volume: 1_000_000,
+                tick_volume: 10_000,
+                bid1_volume: 10_000,
+                ask1_volume: 10_000,
+                trading_phase: Some("continuous".to_string()),
+                paused: false,
+                upper_limit: 11.0,
+                lower_limit: 9.0,
+                price_tick: 0.01,
+            }],
+            vec![DailyFactorSnapshot {
+                date,
+                symbol: symbol.to_string(),
+                market_cap_bn: 20.0,
+                free_float_cap_bn: 20.0,
+                pe_ttm: 8.0,
+                turnover_ratio: Some(1.0),
+                effective_turnover_ratio: Some(1.0),
+                extra_factors: BTreeMap::new(),
+            }],
+            vec![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,
+            }],
+            vec![BenchmarkSnapshot {
+                date,
+                benchmark: "000852.SH".to_string(),
+                open: 1000.0,
+                close: 1000.0,
+                prev_close: 999.0,
+                volume: 1_000_000,
+            }],
+            Vec::new(),
+            vec![
+                IntradayExecutionQuote {
+                    date,
+                    symbol: symbol.to_string(),
+                    timestamp: date.and_hms_opt(9, 31, 0).expect("timestamp"),
+                    last_price: 10.8,
+                    bid1: 10.8,
+                    ask1: 10.81,
+                    bid1_volume: 10_000,
+                    ask1_volume: 10_000,
+                    volume_delta: 10_000,
+                    amount_delta: 108_000.0,
+                    trading_phase: Some("continuous".to_string()),
+                },
+                IntradayExecutionQuote {
+                    date,
+                    symbol: symbol.to_string(),
+                    timestamp: date.and_hms_opt(10, 18, 0).expect("timestamp"),
+                    last_price: 11.0,
+                    bid1: 11.0,
+                    ask1: 11.0,
+                    bid1_volume: 10_000,
+                    ask1_volume: 10_000,
+                    volume_delta: 10_000,
+                    amount_delta: 110_000.0,
+                    trading_phase: Some("continuous".to_string()),
+                },
+            ],
+        )
+        .expect("dataset");
+        let mut portfolio = PortfolioState::new(100_000.0);
+        portfolio.position_mut(symbol).buy(prev_date, 3_000, 10.0);
+        portfolio.apply_cash_delta(-30_000.0);
+        let subscriptions = BTreeSet::new();
+        let ctx = StrategyContext {
+            execution_date: date,
+            decision_date: date,
+            decision_index: 1,
+            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.aiquant_transaction_cost = true;
+        cfg.signal_symbol = symbol.to_string();
+        cfg.max_positions = 2;
+        cfg.selection_limit_expr = "2".to_string();
+        cfg.market_cap_lower_expr = "0".to_string();
+        cfg.market_cap_upper_expr = "1000".to_string();
+        cfg.stock_filter_expr = "false".to_string();
+        cfg.exposure_expr = "0.5".to_string();
+        cfg.stop_loss_expr.clear();
+        cfg.take_profit_expr.clear();
+        cfg.delayed_limit_open_exit_enabled = true;
+        cfg.delayed_limit_open_exit_time = Some(NaiveTime::from_hms_opt(9, 31, 0).expect("time"));
+        cfg.weak_market_shrink_overweight_threshold = Some(1.10);
+        cfg.intraday_execution_time = Some(NaiveTime::from_hms_opt(10, 18, 0).expect("time"));
+        let mut strategy = PlatformExprStrategy::new(cfg);
+        strategy.rebalance_day_counter = 1;
+
+        let decision = strategy.on_day(&ctx).expect("platform decision");
+
+        assert!(
+            !decision.order_intents.iter().any(|intent| matches!(
+                intent,
+                OrderIntent::Shares {
+                    symbol: intent_symbol,
+                    reason,
+                    ..
+                } if intent_symbol == symbol && reason == "daily_position_target_adjust"
+            )),
+            "{:?}",
+            decision.order_intents
+        );
+        assert!(strategy.pending_highlimit_holdings.contains(symbol));
+    }
+
     #[test]
     fn platform_aiquant_weak_market_allows_pending_highlimit_target_adjust_after_open() {
         let prev_date = d(2023, 5, 4);