From 749b5e3b9c9d228abbc8c036e2e4c81dac144905 Mon Sep 17 00:00:00 2001 From: boris Date: Wed, 8 Jul 2026 00:43:25 +0800 Subject: [PATCH] =?UTF-8?q?=E4=BF=AE=E6=AD=A3FIDC=E6=AD=A2=E6=8D=9F?= =?UTF-8?q?=E6=9C=AA=E6=88=90=E4=BA=A4=E5=90=8E=E8=A1=A5=E4=BB=93=E8=AF=AD?= =?UTF-8?q?=E4=B9=89?= MIME-Version: 1.0 Content-Type: text/plain; charset=UTF-8 Content-Transfer-Encoding: 8bit --- .../fidc-core/src/platform_expr_strategy.rs | 349 +++++++++++++++++- 1 file changed, 344 insertions(+), 5 deletions(-) diff --git a/crates/fidc-core/src/platform_expr_strategy.rs b/crates/fidc-core/src/platform_expr_strategy.rs index 8eec00b..9f6064e 100644 --- a/crates/fidc-core/src/platform_expr_strategy.rs +++ b/crates/fidc-core/src/platform_expr_strategy.rs @@ -8561,9 +8561,14 @@ impl Strategy for PlatformExprStrategy { let mut attempted_any = false; let mut filled_any = false; for symbol in &stock_list { - if projected.positions().contains_key(symbol) + let released_exit_position = projected.positions().contains_key(symbol) + && !working_symbols.contains(symbol) + && !same_day_sold_symbols.contains(symbol) + && !pending_full_close_symbols.contains(symbol); + if (projected.positions().contains_key(symbol) && !released_exit_position) || same_day_sold_symbols.contains(symbol) - || exit_symbols.contains(symbol) + || (exit_symbols.contains(symbol) && !released_exit_position) + || pending_full_close_symbols.contains(symbol) || delayed_sold_symbols.contains(symbol) || intraday_attempted_buys.contains(symbol) { @@ -8714,7 +8719,11 @@ impl Strategy for PlatformExprStrategy { )?; let stock_scale = self.buy_scale(ctx, &day, &decision_stock)?; let target_cash = fixed_buy_cash * stock_scale; - if projected.positions().contains_key(symbol) { + let released_exit_position = projected.positions().contains_key(symbol) + && !rebalance_working_symbols.contains(symbol) + && !same_day_sold_symbols.contains(symbol) + && !pending_full_close_symbols.contains(symbol); + if projected.positions().contains_key(symbol) && !released_exit_position { if self.config.aiquant_transaction_cost { continue; } @@ -8776,9 +8785,11 @@ impl Strategy for PlatformExprStrategy { if rebalance_working_symbols.len() >= selection_limit { break; } - if pre_rebalance_symbols.contains(symbol) - || projected.positions().contains_key(symbol) + if ((pre_rebalance_symbols.contains(symbol) + || projected.positions().contains_key(symbol)) + && !released_exit_position) || same_day_sold_symbols.contains(symbol) + || pending_full_close_symbols.contains(symbol) { continue; } @@ -21872,6 +21883,160 @@ mod tests { ); } + #[test] + fn platform_daily_top_up_can_rebuy_released_unsellable_stop_loss_symbol() { + let prev_date = d(2026, 3, 31); + let date = d(2026, 4, 1); + let symbols = ["000001.SZ", "000002.SZ", "000003.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("2026-04-01 09:33:00".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: 10.0, + 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(), + symbols + .iter() + .map(|symbol| DailyFactorSnapshot { + date, + symbol: (*symbol).to_string(), + market_cap_bn: match *symbol { + "000001.SZ" => 8.0, + "000003.SZ" => 9.0, + _ => 20.0, + }, + 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(), + symbols + .iter() + .map(|symbol| CandidateEligibility { + date, + symbol: (*symbol).to_string(), + is_st: false, + is_star_st: false, + is_new_listing: false, + is_paused: false, + allow_buy: true, + allow_sell: *symbol != "000001.SZ", + is_kcb: false, + is_one_yuan: false, + risk_level_code: None, + }) + .collect(), + 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 mut portfolio = PortfolioState::new(20_000.0); + portfolio + .position_mut("000001.SZ") + .buy(prev_date, 100, 12.0); + portfolio + .position_mut("000002.SZ") + .buy(prev_date, 100, 10.0); + 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 = "100".to_string(); + cfg.selection_limit_expr = "2".to_string(); + cfg.stock_filter_expr = "close > 0".to_string(); + cfg.stop_loss_expr = "0.9".to_string(); + cfg.daily_top_up_enabled = 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::TargetValue { + symbol, + target_value, + reason, + } if symbol == "000001.SZ" + && *target_value == 0.0 + && reason == "stop_loss_exit" + )), + "{:?}", + decision.order_intents + ); + assert!( + decision.order_intents.iter().any(|intent| matches!( + intent, + OrderIntent::Value { symbol, reason, .. } + if symbol == "000001.SZ" && reason == "daily_top_up_buy" + )), + "{:?}", + decision.order_intents + ); + } + #[test] fn platform_daily_top_up_release_slot_flag_matches_aiquant_exit_signal_state() { let prev_date = d(2026, 3, 31); @@ -22311,6 +22476,180 @@ mod tests { ); } + #[test] + fn platform_periodic_rebalance_can_rebuy_released_unsellable_stop_loss_symbol() { + let prev_date = d(2025, 5, 13); + let date = d(2025, 5, 14); + let symbols = ["000001.SZ", "000002.SZ", "000003.SZ"]; + let data = DataSet::from_components_with_actions_and_quotes( + 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("2025-05-14 10:18:00".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(), + symbols + .iter() + .map(|symbol| DailyFactorSnapshot { + date, + symbol: (*symbol).to_string(), + market_cap_bn: match *symbol { + "000001.SZ" => 8.0, + "000003.SZ" => 9.0, + _ => 20.0, + }, + 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(), + symbols + .iter() + .map(|symbol| CandidateEligibility { + date, + symbol: (*symbol).to_string(), + is_st: false, + is_star_st: false, + is_new_listing: false, + is_paused: false, + allow_buy: true, + allow_sell: *symbol != "000001.SZ", + is_kcb: false, + is_one_yuan: false, + risk_level_code: None, + }) + .collect(), + vec![BenchmarkSnapshot { + date, + benchmark: "000852.SH".to_string(), + open: 1000.0, + close: 1002.0, + prev_close: 998.0, + volume: 1_000_000, + }], + Vec::new(), + symbols + .iter() + .map(|symbol| IntradayExecutionQuote { + date, + symbol: (*symbol).to_string(), + timestamp: date.and_hms_opt(10, 18, 0).expect("valid timestamp"), + last_price: 10.0, + bid1: 10.0, + ask1: 10.0, + bid1_volume: 10_000, + ask1_volume: 10_000, + volume_delta: 10_000, + amount_delta: 100_000.0, + trading_phase: Some("continuous".to_string()), + }) + .collect(), + ) + .expect("dataset"); + + let mut portfolio = PortfolioState::new(20_000.0); + portfolio + .position_mut("000001.SZ") + .buy(prev_date, 100, 12.0); + portfolio + .position_mut("000002.SZ") + .buy(prev_date, 100, 10.0); + let subscriptions = BTreeSet::new(); + let ctx = StrategyContext { + execution_date: date, + decision_date: 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.signal_symbol = "000001.SZ".to_string(); + cfg.refresh_rate = 20; + 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 = "100".to_string(); + cfg.selection_limit_expr = "2".to_string(); + cfg.stock_filter_expr = "close > 0".to_string(); + cfg.stop_loss_expr = "0.9".to_string(); + cfg.take_profit_expr.clear(); + cfg.daily_top_up_enabled = true; + cfg.aiquant_transaction_cost = true; + cfg.intraday_execution_time = Some(NaiveTime::from_hms_opt(10, 18, 0).unwrap()); + let mut strategy = PlatformExprStrategy::new(cfg); + strategy.rebalance_day_counter = 20; + + let decision = strategy.on_day(&ctx).expect("platform decision"); + + 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" + )), + "{:?}", + decision.order_intents + ); + assert!( + decision.order_intents.iter().any(|intent| matches!( + intent, + OrderIntent::Value { symbol, reason, .. } + if symbol == "000001.SZ" && reason == "periodic_rebalance_buy" + )), + "{:?}", + decision.order_intents + ); + } + #[test] fn platform_aiquant_periodic_rebalance_uses_cash_divided_by_top_n_buy_budget() { let prev_date = d(2025, 5, 13);