修正显式目标单批次撮合顺序
This commit is contained in:
boris
@@ -472,6 +472,115 @@ where
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}
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}
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fn cash_rebalance_intent_side(
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&self,
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date: NaiveDate,
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portfolio: &PortfolioState,
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data: &DataSet,
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intent: &OrderIntent,
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) -> Option<OrderSide> {
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let target_value_side = |symbol: &str, target_value: f64| {
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let current_qty = portfolio
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.position(symbol)
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.map(|position| position.quantity)
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.unwrap_or(0);
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let current_value = data
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.market(date, symbol)
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.map(|snapshot| {
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self.target_value_valuation_price(date, data, symbol, snapshot)
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* current_qty as f64
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})
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.unwrap_or(0.0);
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if target_value.max(0.0) + f64::EPSILON < current_value {
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OrderSide::Sell
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} else {
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OrderSide::Buy
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}
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};
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match intent {
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OrderIntent::Shares { quantity, .. } | OrderIntent::LimitShares { quantity, .. } => {
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Some(if *quantity < 0 {
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OrderSide::Sell
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} else {
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OrderSide::Buy
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})
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}
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OrderIntent::Lots { lots, .. } | OrderIntent::LimitLots { lots, .. } => {
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Some(if *lots < 0 {
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OrderSide::Sell
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} else {
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OrderSide::Buy
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})
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}
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OrderIntent::TargetShares {
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symbol,
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target_quantity,
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..
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}
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| OrderIntent::LimitTargetShares {
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symbol,
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target_quantity,
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..
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} => {
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let current_qty = portfolio
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.position(symbol)
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.map(|position| position.quantity as i64)
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.unwrap_or(0);
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Some(if i64::from(*target_quantity).max(0) < current_qty {
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OrderSide::Sell
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} else {
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OrderSide::Buy
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})
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}
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OrderIntent::TargetValue {
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symbol,
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target_value,
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..
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}
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| OrderIntent::LimitTargetValue {
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symbol,
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target_value,
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..
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} => Some(target_value_side(symbol, *target_value)),
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OrderIntent::Value { value, .. } | OrderIntent::LimitValue { value, .. } => {
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Some(if *value < 0.0 {
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OrderSide::Sell
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} else {
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OrderSide::Buy
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})
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}
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OrderIntent::Percent { percent, .. } | OrderIntent::LimitPercent { percent, .. } => {
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Some(if *percent < 0.0 {
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OrderSide::Sell
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} else {
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OrderSide::Buy
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})
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}
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OrderIntent::TargetPercent {
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symbol,
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target_percent,
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..
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}
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| OrderIntent::LimitTargetPercent {
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symbol,
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target_percent,
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..
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} => {
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let total_equity = self
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.runtime_decision_total_equity
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.get()
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.filter(|value| value.is_finite() && *value >= 0.0)
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.unwrap_or_else(|| portfolio.total_equity());
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Some(target_value_side(
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symbol,
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total_equity * target_percent.max(0.0),
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))
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}
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_ => None,
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}
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}
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fn value_order_sizing_price(
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&self,
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date: NaiveDate,
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@@ -786,7 +895,24 @@ where
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&mut report,
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)?;
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if !decision.order_intents.is_empty() {
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for intent in &decision.order_intents {
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let mut ordered_intents = decision.order_intents.iter().collect::<Vec<_>>();
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if self.effective_rebalance_cash_mode() != RebalanceCashMode::PreOpenCash
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&& ordered_intents.iter().all(|intent| {
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self.cash_rebalance_intent_side(date, portfolio, data, intent)
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.is_some()
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})
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{
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ordered_intents.sort_by_key(|intent| {
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if self.cash_rebalance_intent_side(date, portfolio, data, intent)
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== Some(OrderSide::Sell)
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{
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0
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} else {
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1
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}
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});
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}
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for intent in ordered_intents {
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self.process_order_intent(
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date,
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portfolio,
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@@ -8279,6 +8405,105 @@ mod tests {
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);
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}
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#[test]
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fn target_value_batch_executes_reductions_before_increases_when_sell_cash_is_reusable() {
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let date = chrono::NaiveDate::from_ymd_opt(2025, 1, 2).expect("valid date");
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let prev_date = chrono::NaiveDate::from_ymd_opt(2025, 1, 1).expect("valid date");
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let symbols = ["000001.SZ", "000002.SZ"];
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let instruments = symbols
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.iter()
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.map(|symbol| Instrument {
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symbol: (*symbol).to_string(),
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name: (*symbol).to_string(),
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board: "SZ".to_string(),
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round_lot: 100,
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listed_at: None,
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delisted_at: None,
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status: "active".to_string(),
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})
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.collect::<Vec<_>>();
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let snapshots = symbols
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.iter()
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.map(|symbol| {
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let mut snapshot = limit_test_snapshot();
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snapshot.symbol = (*symbol).to_string();
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snapshot
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})
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.collect::<Vec<_>>();
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let candidates = symbols
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.iter()
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.map(|symbol| {
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let mut candidate = limit_test_candidate(true, true);
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candidate.symbol = (*symbol).to_string();
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candidate
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})
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.collect::<Vec<_>>();
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let data = DataSet::from_components_with_actions_and_quotes(
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instruments,
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snapshots,
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Vec::new(),
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candidates,
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vec![limit_test_benchmark()],
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Vec::new(),
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Vec::new(),
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)
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.expect("valid dataset");
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let decision = StrategyDecision {
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order_intents: vec![
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OrderIntent::TargetValue {
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symbol: "000002.SZ".to_string(),
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target_value: 9_000.0,
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reason: "buy_submitted_first".to_string(),
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},
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OrderIntent::TargetValue {
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symbol: "000001.SZ".to_string(),
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target_value: 0.0,
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reason: "sell_submitted_second".to_string(),
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},
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],
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..StrategyDecision::default()
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};
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for mode in [
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RebalanceCashMode::SamePointNet,
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RebalanceCashMode::SellThenBuy,
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] {
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let broker = BrokerSimulator::new_with_execution_price(
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ChinaAShareCostModel::default(),
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ChinaEquityRuleHooks,
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PriceField::Open,
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)
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.with_aiquant_execution_rules(true)
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.with_rebalance_cash_mode(mode)
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.with_volume_limit(false)
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.with_liquidity_limit(false)
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.with_inactive_limit(false);
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let mut portfolio = PortfolioState::new(0.0);
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portfolio
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.position_mut("000001.SZ")
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.buy(prev_date, 1_000, 10.0);
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let report = broker
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.execute(date, &mut portfolio, &data, &decision)
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.expect("target-value batch execution");
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assert!(portfolio.position("000001.SZ").is_none(), "{mode:?}");
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assert!(
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portfolio
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.position("000002.SZ")
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.is_some_and(|position| position.quantity > 0),
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"mode={mode:?} fills={:?}",
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report.fill_events
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);
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assert_eq!(
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report.fill_events.first().map(|fill| fill.side),
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Some(OrderSide::Sell),
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"mode={mode:?} fills={:?}",
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report.fill_events
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);
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}
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}
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#[test]
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fn target_portfolio_smart_open_auction_uses_day_open_for_valuation() {
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let date = chrono::NaiveDate::from_ymd_opt(2025, 1, 2).expect("valid date");
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