From 72c667d790b26d2833f86ed451af296fe05042db Mon Sep 17 00:00:00 2001 From: boris Date: Sun, 5 Jul 2026 22:53:03 +0800 Subject: [PATCH] =?UTF-8?q?=E4=BF=AE=E5=A4=8Dnext-open=E4=BF=A1=E5=8F=B7?= =?UTF-8?q?=E6=97=A5=E6=8A=95=E5=BD=B1=E7=BC=BAquote=E9=97=AE=E9=A2=98?= MIME-Version: 1.0 Content-Type: text/plain; charset=UTF-8 Content-Transfer-Encoding: 8bit --- .../fidc-core/src/platform_expr_strategy.rs | 155 +++++++++++++++++- 1 file changed, 154 insertions(+), 1 deletion(-) diff --git a/crates/fidc-core/src/platform_expr_strategy.rs b/crates/fidc-core/src/platform_expr_strategy.rs index e0ce09a..bee75ad 100644 --- a/crates/fidc-core/src/platform_expr_strategy.rs +++ b/crates/fidc-core/src/platform_expr_strategy.rs @@ -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);