zsb/fidc-backtest-engine
1
0
Fork 0
Code Issues Pull Requests Packages Projects Releases Wiki Activity

修复涨停持仓普通调仓提前卖出

Browse Source
This commit is contained in:
boris
2026-06-21 02:53:38 +08:00
parent 8495bf6ad8
commit 7f809fd875
1 changed files with 16 additions and 27 deletions
Download Patch File Download Diff File Expand all files Collapse all files
crates/fidc-core/src/platform_expr_strategy.rs
+16 -27
View File
@@ -2319,27 +2319,6 @@ impl PlatformExprStrategy {
}
}
fn mark_highlimit_for_delayed_exit_at_time(
&mut self,
ctx: &StrategyContext<'_>,
date: NaiveDate,
symbol: &str,
execution_time: NaiveTime,
) -> Result<(), BacktestError> {
if !self.config.delayed_limit_open_exit_enabled
|| self.pending_highlimit_holdings.contains(symbol)
{
return Ok(());
}
if matches!(
self.stock_is_at_upper_limit_at_time(ctx, date, symbol, execution_time)?,
Some(true)
) {
self.pending_highlimit_holdings.insert(symbol.to_string());
}
Ok(())
}
fn stock_state_with_factor_date_and_time(
&self,
ctx: &StrategyContext<'_>,
@@ -7484,12 +7463,14 @@ impl Strategy for PlatformExprStrategy {
if position.quantity == 0 || delayed_sold_symbols.contains(&position.symbol) {
continue;
}
self.mark_highlimit_for_delayed_exit_at_time(
if self.regular_sell_should_wait_due_to_highlimit(
ctx,
execution_date,
&position.symbol,
self.intraday_execution_start_time(),
)?;
)? {
continue;
}
if pending_full_close_symbols.contains(&position.symbol) {
continue;
}
@@ -7768,6 +7749,14 @@ impl Strategy for PlatformExprStrategy {
if stock_list.iter().any(|candidate| candidate == symbol) {
continue;
}
if self.regular_sell_should_wait_due_to_highlimit(
ctx,
execution_date,
symbol,
self.intraday_execution_start_time(),
)? {
continue;
}
if !self.can_sell_position(ctx, execution_date, symbol) {
continue;
}
@@ -11725,7 +11714,7 @@ mod tests {
}
#[test]
fn platform_aiquant_weak_market_allows_pending_highlimit_partial_target_adjust() {
fn platform_aiquant_weak_market_waits_pending_highlimit_target_adjust() {
let prev_date = d(2023, 5, 4);
let date = d(2023, 5, 5);
let symbol = "600148.SH";
@@ -11864,7 +11853,7 @@ mod tests {
let decision = strategy.on_day(&ctx).expect("platform decision");
assert!(
decision.order_intents.iter().any(|intent| matches!(
!decision.order_intents.iter().any(|intent| matches!(
intent,
OrderIntent::Shares {
symbol: intent_symbol,
@@ -11881,7 +11870,7 @@ mod tests {
}
#[test]
fn platform_aiquant_weak_market_marks_intraday_highlimit_before_target_adjust() {
fn platform_aiquant_weak_market_waits_when_intraday_highlimit_reached() {
let prev_date = d(2023, 5, 4);
let date = d(2023, 5, 5);
let symbol = "600148.SH";
@@ -12020,7 +12009,7 @@ mod tests {
let decision = strategy.on_day(&ctx).expect("platform decision");
assert!(
decision.order_intents.iter().any(|intent| matches!(
!decision.order_intents.iter().any(|intent| matches!(
intent,
OrderIntent::Shares {
symbol: intent_symbol,