From 816fc4807708aeb2b4688ae9234b284f039d053a Mon Sep 17 00:00:00 2001 From: boris Date: Sat, 20 Jun 2026 19:51:38 +0800 Subject: [PATCH] =?UTF-8?q?=E4=BF=AE=E5=A4=8DFiRisk=E7=A6=81=E6=8C=81?= =?UTF-8?q?=E6=B8=85=E4=BB=93=E5=88=A4=E5=AE=9A?= MIME-Version: 1.0 Content-Type: text/plain; charset=UTF-8 Content-Transfer-Encoding: 8bit --- .../fidc-core/src/platform_expr_strategy.rs | 190 +++++++++++++++++- 1 file changed, 188 insertions(+), 2 deletions(-) diff --git a/crates/fidc-core/src/platform_expr_strategy.rs b/crates/fidc-core/src/platform_expr_strategy.rs index 95aa23d..15c1b84 100644 --- a/crates/fidc-core/src/platform_expr_strategy.rs +++ b/crates/fidc-core/src/platform_expr_strategy.rs @@ -5937,6 +5937,35 @@ impl PlatformExprStrategy { self.can_sell_position_at_time(ctx, date, symbol, None) } + fn candidate_requires_firisk_forced_exit( + &self, + ctx: &StrategyContext<'_>, + date: NaiveDate, + symbol: &str, + execution_time: NaiveTime, + ) -> Result { + let Ok(candidate) = ctx.data.require_candidate(date, symbol) else { + return Ok(false); + }; + if candidate.allow_buy || !candidate.allow_sell || candidate.is_paused { + return Ok(false); + } + if !self.can_sell_position(ctx, date, symbol) { + return Ok(false); + } + let stock = match self.stock_state_at_time(ctx, date, symbol, Some(execution_time)) { + Ok(stock) => stock, + Err(BacktestError::Data(crate::data::DataSetError::MissingSnapshot { .. })) => { + return Ok(false); + } + Err(error) => return Err(error), + }; + if stock.upper_limit > 0.0 && stock.last >= stock.upper_limit { + return Ok(false); + } + Ok(true) + } + fn can_sell_position_at_time( &self, ctx: &StrategyContext<'_>, @@ -6633,6 +6662,7 @@ impl Strategy for PlatformExprStrategy { let mut intraday_attempted_buys = BTreeSet::::new(); let mut delayed_sold_symbols = BTreeSet::::new(); let mut unresolved_stop_loss_symbols = BTreeSet::::new(); + let mut pending_firisk_forced_exit_symbols = BTreeSet::::new(); let delayed_limit_exit_time = self .config .delayed_limit_open_exit_time @@ -6820,6 +6850,16 @@ impl Strategy for PlatformExprStrategy { )? { continue; } + if self.candidate_requires_firisk_forced_exit( + ctx, + execution_date, + &position.symbol, + self.intraday_execution_start_time(), + )? { + pending_full_close_symbols.insert(position.symbol.clone()); + pending_firisk_forced_exit_symbols.insert(position.symbol.clone()); + continue; + } let (stop_hit, profit_hit) = self.stop_take_action_for_position(ctx, execution_date, &day, position)?; if stop_hit { @@ -6854,6 +6894,32 @@ impl Strategy for PlatformExprStrategy { } } + for symbol in pending_firisk_forced_exit_symbols { + if delayed_sold_symbols.contains(&symbol) { + continue; + } + exit_symbols.insert(symbol.clone()); + order_intents.push(OrderIntent::TargetValue { + symbol: symbol.clone(), + target_value: 0.0, + reason: "risk_forced_exit".to_string(), + }); + if self + .project_target_zero( + ctx, + &mut projected, + execution_date, + &symbol, + &mut projected_execution_state, + ) + .is_some() + && Self::projected_position_is_flat(&projected, &symbol) + { + same_day_sold_symbols.insert(symbol.clone()); + slot_working_symbols.remove(&symbol); + } + } + if self.config.aiquant_transaction_cost && self.config.rotation_enabled && trading_ratio > 0.0 @@ -10676,7 +10742,119 @@ mod tests { } #[test] - fn platform_aiquant_buy_disabled_does_not_force_exit_existing_position() { + fn platform_aiquant_upper_limit_buy_disabled_does_not_force_exit_existing_position() { + let date = d(2023, 5, 5); + let symbol = "300621.SZ"; + let data = DataSet::from_components( + vec![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(), + }], + vec![DailyMarketSnapshot { + date, + symbol: symbol.to_string(), + timestamp: Some(format!("{date} 10:18:00")), + day_open: 10.0, + open: 10.0, + high: 11.44, + low: 9.8, + close: 11.44, + last_price: 11.44, + bid1: 11.44, + ask1: 0.0, + prev_close: 10.4, + volume: 200_000, + tick_volume: 1_000, + bid1_volume: 2_000, + ask1_volume: 2_000, + trading_phase: Some("continuous".to_string()), + paused: false, + upper_limit: 11.44, + lower_limit: 9.36, + price_tick: 0.01, + }], + vec![DailyFactorSnapshot { + date, + symbol: symbol.to_string(), + market_cap_bn: 20.0, + free_float_cap_bn: 20.0, + pe_ttm: 8.0, + turnover_ratio: Some(1.0), + effective_turnover_ratio: Some(1.0), + extra_factors: BTreeMap::new(), + }], + vec![CandidateEligibility { + date, + symbol: symbol.to_string(), + is_st: false, + is_new_listing: false, + is_paused: false, + allow_buy: false, + allow_sell: true, + is_kcb: false, + is_one_yuan: false, + }], + vec![BenchmarkSnapshot { + date, + benchmark: "000852.SH".to_string(), + open: 1000.0, + close: 1000.0, + prev_close: 999.0, + volume: 1_000_000, + }], + ) + .expect("dataset"); + let mut portfolio = PortfolioState::new(1_000_000.0); + portfolio + .position_mut(symbol) + .buy(d(2023, 5, 4), 30_000, 10.0); + portfolio.apply_cash_delta(-300_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 = symbol.to_string(); + cfg.exposure_expr = "1.0".to_string(); + cfg.selection_limit_expr = "40".to_string(); + cfg.stock_filter_expr = "true".to_string(); + cfg.stop_loss_expr.clear(); + cfg.take_profit_expr.clear(); + let mut strategy = PlatformExprStrategy::new(cfg); + + let decision = strategy.on_day(&ctx).expect("platform decision"); + + assert!(!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 == "risk_forced_exit" + ))); + } + + #[test] + fn platform_aiquant_firisk_buy_disabled_forces_existing_position_exit() { let date = d(2023, 5, 5); let symbol = "300621.SZ"; let data = DataSet::from_components( @@ -10777,7 +10955,7 @@ mod tests { let decision = strategy.on_day(&ctx).expect("platform decision"); - assert!(!decision.order_intents.iter().any(|intent| matches!( + assert!(decision.order_intents.iter().any(|intent| matches!( intent, OrderIntent::TargetValue { symbol: intent_symbol, @@ -10785,6 +10963,14 @@ mod tests { reason, } if intent_symbol == symbol && *target_value == 0.0 && reason == "risk_forced_exit" ))); + assert!(!decision.order_intents.iter().any(|intent| matches!( + intent, + OrderIntent::Shares { + symbol: intent_symbol, + reason, + .. + } if intent_symbol == symbol && reason == "daily_position_target_adjust" + ))); } #[test]