diff --git a/crates/fidc-core/src/platform_expr_strategy.rs b/crates/fidc-core/src/platform_expr_strategy.rs index 17ec636..df09067 100644 --- a/crates/fidc-core/src/platform_expr_strategy.rs +++ b/crates/fidc-core/src/platform_expr_strategy.rs @@ -1444,6 +1444,9 @@ impl PlatformExprStrategy { continue; } let symbol = position.symbol.clone(); + if persistent_model_lifecycle && self.pending_full_close_symbols.contains(&symbol) { + continue; + } self.position_entry_dates .entry(symbol.clone()) .or_insert(signal_date); @@ -7150,6 +7153,12 @@ impl PlatformExprStrategy { if position.quantity == 0 { continue; } + if self.uses_persistent_model_lifecycle() + && self.pending_full_close_symbols.contains(&position.symbol) + { + symbols.insert(position.symbol.clone()); + continue; + } let (stop_hit, profit_hit) = self.stop_take_action_for_position(ctx, signal_date, day, position)?; if stop_hit || profit_hit { @@ -8984,6 +8993,7 @@ impl Strategy for PlatformExprStrategy { let execution_date = ctx.execution_date; let decision_date = ctx.decision_date; let defer_execution_risk = ctx.is_lagged_execution(); + let persistent_model_lifecycle = self.uses_persistent_model_lifecycle(); let signal_date = decision_date; let projection_date = if defer_execution_risk { signal_date @@ -9005,7 +9015,7 @@ impl Strategy for PlatformExprStrategy { }) .cloned() .collect::>(); - if self.uses_persistent_model_lifecycle() { + if persistent_model_lifecycle { for symbol in self.position_entry_dates.keys() { if ctx .portfolio @@ -9092,7 +9102,7 @@ impl Strategy for PlatformExprStrategy { .keys() .cloned() .collect::>(); - if self.uses_persistent_model_lifecycle() { + if persistent_model_lifecycle { held_symbols.extend(self.position_entry_dates.keys().cloned()); } let selected = Self::buffered_selection( @@ -9371,7 +9381,7 @@ impl Strategy for PlatformExprStrategy { .filter(|symbol| !delayed_sold_symbols.contains(*symbol)) .cloned() .collect::>(); - if self.uses_persistent_model_lifecycle() { + if persistent_model_lifecycle { slot_working_symbols.extend(self.position_entry_dates.keys().cloned()); } let daily_top_up_active = self.config.daily_top_up_enabled @@ -9437,7 +9447,9 @@ impl Strategy for PlatformExprStrategy { { same_day_sold_symbols.insert(position.symbol.clone()); slot_working_symbols.remove(&position.symbol); - self.pending_full_close_symbols.remove(&position.symbol); + if !persistent_model_lifecycle { + self.pending_full_close_symbols.remove(&position.symbol); + } } if debug_projection { projection_debug_notes.push(format!( @@ -9530,7 +9542,9 @@ impl Strategy for PlatformExprStrategy { { same_day_sold_symbols.insert(symbol.clone()); slot_working_symbols.remove(&symbol); - self.pending_full_close_symbols.remove(&symbol); + if !persistent_model_lifecycle { + self.pending_full_close_symbols.remove(&symbol); + } } } @@ -9543,8 +9557,7 @@ impl Strategy for PlatformExprStrategy { && (self.config.target_portfolio_daily_enabled || trading_ratio < 1.0) && selection_limit > 0 && (!ctx.portfolio.positions().is_empty() - || (self.uses_persistent_model_lifecycle() - && !self.position_entry_dates.is_empty())) + || (persistent_model_lifecycle && !self.position_entry_dates.is_empty())) { if aiquant_total_value.is_finite() && aiquant_total_value > 0.0 { for position in ctx.portfolio.positions().values() { @@ -9651,9 +9664,7 @@ impl Strategy for PlatformExprStrategy { } } } - if self.uses_persistent_model_lifecycle() - && self.config.target_portfolio_daily_enabled - { + if persistent_model_lifecycle && self.config.target_portfolio_daily_enabled { let model_only_symbols = self .position_entry_dates .keys() @@ -9700,6 +9711,7 @@ impl Strategy for PlatformExprStrategy { target_value, reason: "model_position_target_retry".to_string(), }); + intraday_attempted_buys.insert(symbol.clone()); if defer_execution_risk { deferred_daily_target_values.insert(symbol.clone(), target_value); } @@ -9808,13 +9820,19 @@ impl Strategy for PlatformExprStrategy { )? { continue; } - let (stop_hit, profit_hit) = - self.stop_take_action_for_position(ctx, signal_date, &day, projected_position)?; let is_carried_full_close = carried_full_close_symbols.contains(&position.symbol); + let (stop_hit, profit_hit) = if is_carried_full_close && persistent_model_lifecycle { + (true, false) + } else { + self.stop_take_action_for_position(ctx, signal_date, &day, projected_position)? + }; if is_carried_full_close { if !stop_hit && !profit_hit { self.pending_full_close_symbols.remove(&position.symbol); } else { + pending_full_close_symbols.insert(position.symbol.clone()); + self.pending_full_close_symbols + .insert(position.symbol.clone()); exit_symbols.insert(position.symbol.clone()); if should_block_partial_exit_residual_slot { slot_blocking_symbols.insert(position.symbol.clone()); @@ -9841,8 +9859,10 @@ impl Strategy for PlatformExprStrategy { slot_working_symbols.remove(&position.symbol); if Self::projected_position_is_flat(&projected, &position.symbol) { same_day_sold_symbols.insert(position.symbol.clone()); - pending_full_close_symbols.remove(&position.symbol); - self.pending_full_close_symbols.remove(&position.symbol); + if !persistent_model_lifecycle { + pending_full_close_symbols.remove(&position.symbol); + self.pending_full_close_symbols.remove(&position.symbol); + } } else { pending_full_close_symbols.insert(position.symbol.clone()); if should_block_partial_exit_residual_slot { @@ -9893,6 +9913,11 @@ impl Strategy for PlatformExprStrategy { let can_sell = defer_execution_risk || self.can_sell_position(ctx, execution_date, &position.symbol); if stop_hit { + if persistent_model_lifecycle { + pending_full_close_symbols.insert(position.symbol.clone()); + self.pending_full_close_symbols + .insert(position.symbol.clone()); + } exit_symbols.insert(position.symbol.clone()); order_intents.push(OrderIntent::TargetValue { symbol: position.symbol.clone(), @@ -9917,8 +9942,10 @@ impl Strategy for PlatformExprStrategy { if close_submitted { if Self::projected_position_is_flat(&projected, &position.symbol) { same_day_sold_symbols.insert(position.symbol.clone()); - pending_full_close_symbols.remove(&position.symbol); - self.pending_full_close_symbols.remove(&position.symbol); + if !persistent_model_lifecycle { + pending_full_close_symbols.remove(&position.symbol); + self.pending_full_close_symbols.remove(&position.symbol); + } } else { pending_full_close_symbols.insert(position.symbol.clone()); if should_block_partial_exit_residual_slot { @@ -9967,6 +9994,11 @@ impl Strategy for PlatformExprStrategy { } if profit_hit { + if persistent_model_lifecycle { + pending_full_close_symbols.insert(position.symbol.clone()); + self.pending_full_close_symbols + .insert(position.symbol.clone()); + } exit_symbols.insert(position.symbol.clone()); order_intents.push(OrderIntent::TargetValue { symbol: position.symbol.clone(), @@ -9988,8 +10020,10 @@ impl Strategy for PlatformExprStrategy { if close_submitted { if Self::projected_position_is_flat(&projected, &position.symbol) { same_day_sold_symbols.insert(position.symbol.clone()); - pending_full_close_symbols.remove(&position.symbol); - self.pending_full_close_symbols.remove(&position.symbol); + if !persistent_model_lifecycle { + pending_full_close_symbols.remove(&position.symbol); + self.pending_full_close_symbols.remove(&position.symbol); + } } else { pending_full_close_symbols.insert(position.symbol.clone()); if should_block_partial_exit_residual_slot { @@ -24420,6 +24454,45 @@ mod tests { assert!(decision.exit_symbols.contains(symbol), "{decision:?}"); assert!(!strategy.position_entry_dates.contains_key(symbol)); assert_eq!(strategy.position_holding_days.get(symbol), None); + + strategy + .pending_full_close_symbols + .insert(symbol.to_string()); + let mut held_portfolio = PortfolioState::new(10_000_000.0); + held_portfolio + .position_mut(symbol) + .buy(entry_date, 1_000, 10.0); + let carried_ctx = StrategyContext { + execution_date: d(2024, 1, 23), + decision_date: signal_date, + decision_index: 2, + data: &data, + portfolio: &held_portfolio, + futures_account: None, + open_orders: &[], + dynamic_universe: None, + subscriptions: &subscriptions, + process_events: &[], + active_process_event: None, + active_datetime: None, + order_events: &[], + fills: &[], + }; + + let carried_decision = strategy.on_day(&carried_ctx).expect("carried decision"); + + assert!(carried_decision.order_intents.iter().any(|intent| matches!( + intent, + OrderIntent::TargetValue { + symbol: intent_symbol, + target_value, + reason, + } if intent_symbol == symbol + && *target_value == 0.0 + && reason == "pending_full_close_exit" + ))); + assert!(strategy.pending_full_close_symbols.contains(symbol)); + assert!(!strategy.position_entry_dates.contains_key(symbol)); } #[test]