修正弱市缩仓补买预算

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);