From 7ff443898c8153e7f2b78c81d510abf7fa4b442e Mon Sep 17 00:00:00 2001 From: boris Date: Thu, 18 Jun 2026 11:51:16 +0800 Subject: [PATCH] =?UTF-8?q?=E4=BF=AE=E6=AD=A3=E5=BC=B1=E5=B8=82=E7=BC=A9?= =?UTF-8?q?=E4=BB=93=E8=A1=A5=E4=B9=B0=E9=A2=84=E7=AE=97?= MIME-Version: 1.0 Content-Type: text/plain; charset=UTF-8 Content-Transfer-Encoding: 8bit --- .../fidc-core/src/platform_expr_strategy.rs | 171 +++++++++++++++++- 1 file changed, 169 insertions(+), 2 deletions(-) diff --git a/crates/fidc-core/src/platform_expr_strategy.rs b/crates/fidc-core/src/platform_expr_strategy.rs index 14e9de0..769c574 100644 --- a/crates/fidc-core/src/platform_expr_strategy.rs +++ b/crates/fidc-core/src/platform_expr_strategy.rs @@ -6820,7 +6820,13 @@ impl Strategy for PlatformExprStrategy { && selection_limit > 0 { let target_budget = aiquant_total_value * trading_ratio; - let fixed_slot_buy_cash = if self.config.aiquant_transaction_cost { + let use_fixed_slot_buy_cash = self.config.aiquant_transaction_cost + && !(weak_market_shrink_due + && self + .config + .weak_market_shrink_overweight_threshold + .is_some()); + let fixed_slot_buy_cash = if use_fixed_slot_buy_cash { target_budget / selection_limit as f64 } else { 0.0 @@ -6838,7 +6844,7 @@ impl Strategy for PlatformExprStrategy { if working_symbols.len() >= selection_limit { break; } - let slot_buy_cash = if self.config.aiquant_transaction_cost { + let slot_buy_cash = if use_fixed_slot_buy_cash { fixed_slot_buy_cash } else { self.remaining_buy_cash_per_slot( @@ -9802,6 +9808,167 @@ mod tests { ))); } + #[test] + fn platform_aiquant_weak_market_threshold_top_up_uses_remaining_budget() { + let prev_date = d(2023, 5, 4); + let date = d(2023, 5, 5); + 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(format!("{date} 10:18:00")), + day_open: 10.0, + open: 10.0, + high: 10.2, + low: 9.8, + close: 10.0, + last_price: 10.0, + bid1: 10.0, + ask1: 10.01, + prev_close: 10.0, + volume: 1_000_000, + tick_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() + .enumerate() + .map(|(index, symbol)| DailyFactorSnapshot { + date, + symbol: (*symbol).to_string(), + market_cap_bn: 10.0 + index as f64, + free_float_cap_bn: 10.0 + index as f64, + 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_new_listing: false, + is_paused: false, + allow_buy: true, + allow_sell: true, + is_kcb: false, + is_one_yuan: false, + }) + .collect(), + vec![BenchmarkSnapshot { + date, + benchmark: "000852.SH".to_string(), + open: 1000.0, + close: 1000.0, + prev_close: 999.0, + 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("timestamp"), + last_price: 10.0, + bid1: 10.0, + ask1: 10.01, + bid1_volume: 10, + ask1_volume: 10, + volume_delta: 10_000, + amount_delta: 100_000.0, + trading_phase: Some("continuous".to_string()), + }) + .collect(), + ) + .expect("dataset"); + let mut portfolio = PortfolioState::new(100_000.0); + portfolio + .position_mut("000001.SZ") + .buy(prev_date, 3_000, 10.0); + portfolio + .position_mut("000002.SZ") + .buy(prev_date, 2_400, 10.0); + portfolio.apply_cash_delta(-54_000.0); + let subscriptions = BTreeSet::new(); + let ctx = StrategyContext { + execution_date: date, + decision_date: date, + decision_index: 1, + 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.aiquant_transaction_cost = true; + cfg.signal_symbol = "000001.SZ".to_string(); + cfg.max_positions = 3; + cfg.selection_limit_expr = "3".to_string(); + cfg.market_cap_lower_expr = "0".to_string(); + cfg.market_cap_upper_expr = "1000".to_string(); + cfg.stock_filter_expr = "close > 0".to_string(); + cfg.exposure_expr = "0.5".to_string(); + cfg.stop_loss_expr.clear(); + cfg.take_profit_expr.clear(); + cfg.daily_top_up_enabled = true; + cfg.weak_market_shrink_overweight_threshold = Some(1.10); + cfg.intraday_execution_time = Some(NaiveTime::from_hms_opt(10, 18, 0).expect("time")); + let mut strategy = PlatformExprStrategy::new(cfg); + strategy.rebalance_day_counter = 1; + + let decision = strategy.on_day(&ctx).expect("platform decision"); + + assert!( + decision.order_intents.iter().any(|intent| matches!( + intent, + OrderIntent::Shares { + reason, + quantity, + .. + } if reason == "daily_position_target_adjust" && *quantity < 0 + )), + "{:?}", + decision.order_intents + ); + assert!(!decision.order_intents.iter().any(|intent| matches!( + intent, + OrderIntent::Value { reason, .. } if reason == "daily_top_up_buy" + ))); + } + #[test] fn platform_aiquant_weak_market_does_not_retarget_same_ratio_every_day() { let first_date = d(2023, 5, 4);