修复next-open信号日投影缺quote问题

2026-07-05 22:53:03 +08:00
parent 82ed5b3e0b
commit 72c667d790
1 changed files with 154 additions and 1 deletions
@@ -2219,6 +2219,7 @@ impl PlatformExprStrategy {
        if quantity == 0 {
            return 0;
        }
+        let defer_projection_execution_risk = Self::defer_projection_execution_risk(ctx, date);
        let fill = self
            .projected_select_execution_fill(
                ctx,
@@ -2235,7 +2236,8 @@ impl PlatformExprStrategy {
                execution_state,
            )
            .or_else(|| {
-                if ctx.data.has_execution_quotes_on_date(date)
+                if !defer_projection_execution_risk
+                    && ctx.data.has_execution_quotes_on_date(date)
                    && ctx.data.execution_quotes_on(date, symbol).is_empty()
                {
                    None
@@ -21436,6 +21438,157 @@ mod tests {
        assert_eq!(projected.cash(), portfolio.cash());
    }

+    #[test]
+    fn platform_aiquant_projection_allows_signal_day_market_fallback_for_next_open() {
+        let decision_date = d(2025, 5, 14);
+        let execution_date = d(2025, 5, 15);
+        let symbol = "000003.SZ";
+        let other_symbol = "000004.SZ";
+        let data = DataSet::from_components_with_actions_and_quotes(
+            [symbol, other_symbol]
+                .into_iter()
+                .map(|item| Instrument {
+                    symbol: item.to_string(),
+                    name: item.to_string(),
+                    board: "SZ".to_string(),
+                    round_lot: 100,
+                    listed_at: Some(d(2020, 1, 1)),
+                    delisted_at: None,
+                    status: "active".to_string(),
+                })
+                .collect(),
+            [symbol, other_symbol]
+                .into_iter()
+                .map(|item| DailyMarketSnapshot {
+                    date: decision_date,
+                    symbol: item.to_string(),
+                    timestamp: Some("2025-05-14 14:59:00".to_string()),
+                    day_open: 10.0,
+                    open: 10.0,
+                    high: 10.5,
+                    low: 9.8,
+                    close: 10.0,
+                    last_price: 10.0,
+                    bid1: 10.0,
+                    ask1: 10.0,
+                    prev_close: 9.9,
+                    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(),
+            [symbol, other_symbol]
+                .into_iter()
+                .map(|item| DailyFactorSnapshot {
+                    date: decision_date,
+                    symbol: item.to_string(),
+                    market_cap_bn: 10.0,
+                    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(),
+            [symbol, other_symbol]
+                .into_iter()
+                .map(|item| CandidateEligibility {
+                    date: decision_date,
+                    symbol: item.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: decision_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: decision_date,
+                symbol: other_symbol.to_string(),
+                timestamp: decision_date.and_hms_opt(10, 18, 0).unwrap(),
+                last_price: 10.0,
+                bid1: 10.0,
+                ask1: 10.0,
+                bid1_volume: 1_000,
+                ask1_volume: 1_000,
+                volume_delta: 100,
+                amount_delta: 1_000.0,
+                trading_phase: Some("continuous".to_string()),
+            }],
+        )
+        .expect("dataset");
+
+        let subscriptions = BTreeSet::new();
+        let portfolio = PortfolioState::new(100_000.0);
+        let ctx = StrategyContext {
+            execution_date,
+            decision_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.aiquant_transaction_cost = true;
+        let strategy = PlatformExprStrategy::new(cfg);
+        let mut projected = portfolio.clone();
+        let mut execution_state = super::ProjectedExecutionState::default();
+
+        assert!(ctx.is_lagged_execution());
+        assert!(
+            ctx.data
+                .execution_quotes_on(decision_date, symbol)
+                .is_empty()
+        );
+        assert!(
+            !ctx.data
+                .execution_quotes_on(decision_date, other_symbol)
+                .is_empty()
+        );
+        let filled = strategy.project_order_value(
+            &ctx,
+            &mut projected,
+            decision_date,
+            symbol,
+            10_000.0,
+            &mut execution_state,
+        );
+
+        assert!(filled > 0);
+        assert_eq!(
+            projected.position(symbol).map(|position| position.quantity),
+            Some(filled)
+        );
+        assert!(projected.cash() < portfolio.cash());
+    }
+
    #[test]
    fn platform_projection_does_not_consume_cash_from_unfillable_sell() {
        let prev_date = d(2025, 3, 18);