修正弱市缩仓补买预算
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boris
@@ -6820,7 +6820,13 @@ impl Strategy for PlatformExprStrategy {
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&& selection_limit > 0
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{
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let target_budget = aiquant_total_value * trading_ratio;
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let fixed_slot_buy_cash = if self.config.aiquant_transaction_cost {
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let use_fixed_slot_buy_cash = self.config.aiquant_transaction_cost
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&& !(weak_market_shrink_due
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&& self
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.config
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.weak_market_shrink_overweight_threshold
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.is_some());
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let fixed_slot_buy_cash = if use_fixed_slot_buy_cash {
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target_budget / selection_limit as f64
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} else {
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0.0
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@@ -6838,7 +6844,7 @@ impl Strategy for PlatformExprStrategy {
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if working_symbols.len() >= selection_limit {
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break;
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}
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let slot_buy_cash = if self.config.aiquant_transaction_cost {
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let slot_buy_cash = if use_fixed_slot_buy_cash {
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fixed_slot_buy_cash
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} else {
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self.remaining_buy_cash_per_slot(
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@@ -9802,6 +9808,167 @@ mod tests {
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)));
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}
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#[test]
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fn platform_aiquant_weak_market_threshold_top_up_uses_remaining_budget() {
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let prev_date = d(2023, 5, 4);
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let date = d(2023, 5, 5);
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let symbols = ["000001.SZ", "000002.SZ", "000003.SZ"];
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let data = DataSet::from_components_with_actions_and_quotes(
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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: Some(d(2020, 1, 1)),
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delisted_at: None,
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status: "active".to_string(),
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})
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.collect(),
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symbols
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.iter()
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.map(|symbol| DailyMarketSnapshot {
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date,
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symbol: (*symbol).to_string(),
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timestamp: Some(format!("{date} 10:18:00")),
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day_open: 10.0,
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open: 10.0,
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high: 10.2,
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low: 9.8,
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close: 10.0,
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last_price: 10.0,
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bid1: 10.0,
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ask1: 10.01,
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prev_close: 10.0,
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volume: 1_000_000,
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tick_volume: 10_000,
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bid1_volume: 2_000,
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ask1_volume: 2_000,
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trading_phase: Some("continuous".to_string()),
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paused: false,
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upper_limit: 11.0,
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lower_limit: 9.0,
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price_tick: 0.01,
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})
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.collect(),
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symbols
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.iter()
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.enumerate()
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.map(|(index, symbol)| DailyFactorSnapshot {
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date,
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symbol: (*symbol).to_string(),
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market_cap_bn: 10.0 + index as f64,
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free_float_cap_bn: 10.0 + index as f64,
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pe_ttm: 8.0,
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turnover_ratio: Some(1.0),
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effective_turnover_ratio: Some(1.0),
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extra_factors: BTreeMap::new(),
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})
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.collect(),
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symbols
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.iter()
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.map(|symbol| CandidateEligibility {
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date,
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symbol: (*symbol).to_string(),
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is_st: false,
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is_new_listing: false,
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is_paused: false,
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allow_buy: true,
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allow_sell: true,
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is_kcb: false,
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is_one_yuan: false,
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})
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.collect(),
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vec![BenchmarkSnapshot {
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date,
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benchmark: "000852.SH".to_string(),
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open: 1000.0,
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close: 1000.0,
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prev_close: 999.0,
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volume: 1_000_000,
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}],
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Vec::new(),
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symbols
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.iter()
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.map(|symbol| IntradayExecutionQuote {
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date,
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symbol: (*symbol).to_string(),
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timestamp: date.and_hms_opt(10, 18, 0).expect("timestamp"),
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last_price: 10.0,
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bid1: 10.0,
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ask1: 10.01,
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bid1_volume: 10,
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ask1_volume: 10,
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volume_delta: 10_000,
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amount_delta: 100_000.0,
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trading_phase: Some("continuous".to_string()),
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})
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.collect(),
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)
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.expect("dataset");
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let mut portfolio = PortfolioState::new(100_000.0);
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portfolio
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.position_mut("000001.SZ")
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.buy(prev_date, 3_000, 10.0);
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portfolio
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.position_mut("000002.SZ")
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.buy(prev_date, 2_400, 10.0);
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portfolio.apply_cash_delta(-54_000.0);
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let subscriptions = BTreeSet::new();
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let ctx = StrategyContext {
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execution_date: date,
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decision_date: date,
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decision_index: 1,
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data: &data,
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portfolio: &portfolio,
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futures_account: None,
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open_orders: &[],
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dynamic_universe: None,
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subscriptions: &subscriptions,
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process_events: &[],
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active_process_event: None,
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active_datetime: None,
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order_events: &[],
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fills: &[],
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};
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let mut cfg = PlatformExprStrategyConfig::microcap_rotation();
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cfg.aiquant_transaction_cost = true;
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cfg.signal_symbol = "000001.SZ".to_string();
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cfg.max_positions = 3;
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cfg.selection_limit_expr = "3".to_string();
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cfg.market_cap_lower_expr = "0".to_string();
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cfg.market_cap_upper_expr = "1000".to_string();
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cfg.stock_filter_expr = "close > 0".to_string();
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cfg.exposure_expr = "0.5".to_string();
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cfg.stop_loss_expr.clear();
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cfg.take_profit_expr.clear();
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cfg.daily_top_up_enabled = true;
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cfg.weak_market_shrink_overweight_threshold = Some(1.10);
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cfg.intraday_execution_time = Some(NaiveTime::from_hms_opt(10, 18, 0).expect("time"));
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let mut strategy = PlatformExprStrategy::new(cfg);
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strategy.rebalance_day_counter = 1;
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let decision = strategy.on_day(&ctx).expect("platform decision");
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assert!(
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decision.order_intents.iter().any(|intent| matches!(
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intent,
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OrderIntent::Shares {
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reason,
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quantity,
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..
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} if reason == "daily_position_target_adjust" && *quantity < 0
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)),
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"{:?}",
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decision.order_intents
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);
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assert!(!decision.order_intents.iter().any(|intent| matches!(
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intent,
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OrderIntent::Value { reason, .. } if reason == "daily_top_up_buy"
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)));
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}
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#[test]
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fn platform_aiquant_weak_market_does_not_retarget_same_ratio_every_day() {
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let first_date = d(2023, 5, 4);
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