diff --git a/crates/fidc-core/src/platform_expr_strategy.rs b/crates/fidc-core/src/platform_expr_strategy.rs index d785685..3fb0913 100644 --- a/crates/fidc-core/src/platform_expr_strategy.rs +++ b/crates/fidc-core/src/platform_expr_strategy.rs @@ -1263,8 +1263,9 @@ pub struct PlatformExprStrategy { stock_text_factors_required: bool, stock_state_cache_date: RefCell>, stock_state_cache_calendar_index: RefCell>, - stock_state_cache: - RefCell, bool), Arc>>, + stock_state_cache: RefCell< + AHashMap<(NaiveDate, u32, Option, bool, bool), Arc>, + >, } #[derive(Debug, Clone, PartialEq)] @@ -4329,7 +4330,17 @@ impl PlatformExprStrategy { S: StockStateSnapshotSource<'a>, { let calendar_index = self.prepare_stock_state_cache_date(ctx, date); - let cache_key = (factor_date, symbol_id, execution_time, use_intraday_quote); + let has_intraday_quote = use_intraday_quote + && self + .scheduled_quote_at_time(ctx, date, symbol, execution_time) + .is_some(); + let cache_key = ( + factor_date, + symbol_id, + execution_time, + use_intraday_quote, + has_intraday_quote, + ); if let Some(state) = self.stock_state_cache.borrow().get(&cache_key) { return Ok(Arc::clone(state)); } @@ -11573,14 +11584,6 @@ impl PlatformExprStrategy { } let scheduled_time = self.intraday_execution_start_time(); if self.uses_intraday_execution_quotes() - && matches!( - self.config.matching_type, - MatchingType::MinuteLast - | MatchingType::MinuteBestOwn - | MatchingType::MinuteBestCounterparty - | MatchingType::Vwap - | MatchingType::Twap - ) && self .scheduled_quote_at_time(ctx, signal_date, symbol, Some(scheduled_time)) .is_none() @@ -18685,6 +18688,152 @@ mod tests { ); } + #[test] + fn timed_current_close_stop_loss_reloads_state_after_quote_arrives() { + let prev_date = d(2025, 10, 10); + let date = d(2025, 10, 13); + let symbol = "603726.SH"; + let instrument = 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(), + }; + let market = DailyMarketSnapshot { + date, + symbol: symbol.to_string(), + timestamp: Some("2025-10-13 15:00:00".to_string()), + day_open: 23.46, + open: 23.46, + high: 26.20, + low: 23.20, + close: 25.90, + last_price: 25.90, + bid1: 25.89, + ask1: 25.90, + prev_close: 26.07, + volume: 1_000_000, + minute_volume: 10_000, + bid1_volume: 10_000, + ask1_volume: 10_000, + trading_phase: Some("continuous".to_string()), + paused: false, + upper_limit: 28.68, + lower_limit: 23.46, + price_tick: 0.01, + }; + let factor = DailyFactorSnapshot { + date, + symbol: symbol.to_string(), + market_cap_bn: 10.0, + free_float_cap_bn: 8.0, + pe_ttm: 8.0, + turnover_ratio: Some(1.0), + effective_turnover_ratio: Some(1.0), + extra_factors: BTreeMap::new(), + }; + let candidate = 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: true, + is_kcb: false, + is_one_yuan: false, + risk_level_code: None, + }; + let benchmark = BenchmarkSnapshot { + date, + benchmark: "000300.SH".to_string(), + open: 4000.0, + close: 4010.0, + prev_close: 3990.0, + volume: 1_000_000, + }; + let without_quote = DataSet::from_components( + vec![instrument.clone()], + vec![market.clone()], + vec![factor.clone()], + vec![candidate.clone()], + vec![benchmark.clone()], + ) + .expect("dataset without quote"); + let with_quote = DataSet::from_components_with_actions_and_quotes( + vec![instrument], + vec![market], + vec![factor], + vec![candidate], + vec![benchmark], + Vec::new(), + vec![IntradayExecutionQuote { + date, + symbol: symbol.to_string(), + timestamp: date.and_hms_opt(9, 30, 0).expect("timestamp"), + last_price: 23.46, + bid1: 23.45, + ask1: 23.46, + bid1_volume: 10_000, + ask1_volume: 10_000, + volume_delta: 10_000, + amount_delta: 234_600.0, + trading_phase: Some("continuous".to_string()), + }], + ) + .expect("dataset with quote"); + let mut portfolio = PortfolioState::new(1_000_000.0); + portfolio + .position_mut(symbol) + .buy(prev_date, 16_400, 26.700856097560973); + let subscriptions = BTreeSet::new(); + let context = |data| StrategyContext { + execution_date: date, + decision_date: date, + decision_index: 40, + 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.rotation_enabled = false; + cfg.matching_type = MatchingType::CurrentBarClose; + cfg.intraday_execution_time = Some(NaiveTime::from_hms_opt(9, 30, 0).expect("time")); + cfg.signal_symbol = symbol.to_string(); + cfg.stop_loss_expr = "holding_return <= -0.08".to_string(); + cfg.take_profit_expr.clear(); + let strategy = PlatformExprStrategy::new(cfg); + let no_quote_ctx = context(&without_quote); + let no_quote_day = strategy.day_state(&no_quote_ctx, date).expect("day state"); + assert_eq!( + strategy + .stop_take_action(&no_quote_ctx, date, date, &no_quote_day, symbol) + .expect("no quote stop check"), + (false, false), + ); + + let quote_ctx = context(&with_quote); + let quote_day = strategy.day_state("e_ctx, date).expect("day state"); + assert_eq!( + strategy + .stop_take_action("e_ctx, date, date, "e_day, symbol) + .expect("quoted stop check"), + (true, false), + ); + } + #[test] fn platform_stop_loss_residual_pending_rechecks_signal_next_day() { let prev_date = d(2025, 1, 6);