修正延迟调仓剩余仓位预算

crates/fidc-core/src/platform_expr_strategy.rs

@@ -2578,6 +2578,7 @@ impl PlatformExprStrategy {
         working_symbols: &BTreeSet<String>,
         value_symbols: &BTreeSet<String>,
         pending_buy_value: f64,
+        deferred_target_values: Option<&BTreeMap<String, f64>>,
         slot_blocking_symbols: &BTreeSet<String>,
     ) -> f64 {
         if selection_limit == 0 || !target_budget.is_finite() || target_budget <= 0.0 {
@@ -2597,6 +2598,7 @@ impl PlatformExprStrategy {
             date,
             working_symbols,
             value_symbols,
+            deferred_target_values,
         );
         let working_value = active_value + pending_buy_value.max(0.0);
         let per_slot_budget = (target_budget - working_value).max(0.0) / slots_remaining as f64;
@@ -2632,6 +2634,7 @@ impl PlatformExprStrategy {
         delayed_sold_symbols: &BTreeSet<String>,
         intraday_attempted_buys: &mut BTreeSet<String>,
         pending_buy_value: &mut f64,
+        deferred_target_values: &BTreeMap<String, f64>,
         debug_daily_top_up: bool,
         daily_top_up_debug_notes: &mut Vec<String>,
     ) -> Result<bool, BacktestError> {
@@ -2668,6 +2671,7 @@ impl PlatformExprStrategy {
                     projection_date,
                     &budget_working_symbols,
                     &value_symbols,
+                    Some(deferred_target_values),
                 )
             } else {
                 0.0
@@ -2681,6 +2685,7 @@ impl PlatformExprStrategy {
                 &budget_working_symbols,
                 &value_symbols,
                 *pending_buy_value,
+                Some(deferred_target_values),
                 slot_blocking_symbols,
             );
             let available_buy_cash = slot_buy_cash.min(*aiquant_available_cash);
@@ -2832,11 +2837,18 @@ impl PlatformExprStrategy {
         date: NaiveDate,
         working_symbols: &BTreeSet<String>,
         value_symbols: &BTreeSet<String>,
+        deferred_target_values: Option<&BTreeMap<String, f64>>,
     ) -> f64 {
         working_symbols
             .iter()
             .filter(|symbol| value_symbols.contains(*symbol))
             .map(|symbol| {
+                if let Some(target_value) = deferred_target_values
+                    .and_then(|target_values| target_values.get(symbol))
+                    .filter(|target_value| target_value.is_finite() && **target_value >= 0.0)
+                {
+                    return *target_value;
+                }
                 if self.config.aiquant_transaction_cost {
                     self.projected_strategy_visible_position_value_for_remaining_buy_cash(
                         ctx, projected, date, symbol,
@@ -9261,6 +9273,7 @@ impl Strategy for PlatformExprStrategy {
             && selection_limit > 0;
         let daily_top_up_target_budget = aiquant_total_value * trading_ratio;
         let mut daily_top_up_pending_buy_value = 0.0_f64;
+        let mut deferred_daily_target_values = BTreeMap::<String, f64>::new();
         let mut pending_full_close_symbols = BTreeSet::<String>::new();
         let mut slot_blocking_symbols = BTreeSet::<String>::new();
         let should_block_partial_exit_residual_slot = trading_ratio < 1.0;
@@ -9506,6 +9519,10 @@ impl Strategy for PlatformExprStrategy {
                             target_value,
                             reason: "daily_position_target_adjust".to_string(),
                         });
+                        if defer_execution_risk {
+                            deferred_daily_target_values
+                                .insert(position.symbol.clone(), target_value);
+                        }
                         if quantity_delta > 0 {
                             same_bar_buy_symbols.insert(position.symbol.clone());
                         }
@@ -9592,6 +9609,7 @@ impl Strategy for PlatformExprStrategy {
                         &delayed_sold_symbols,
                         &mut intraday_attempted_buys,
                         &mut daily_top_up_pending_buy_value,
+                        &deferred_daily_target_values,
                         debug_daily_top_up,
                         &mut daily_top_up_debug_notes,
                     )?;
@@ -9691,6 +9709,7 @@ impl Strategy for PlatformExprStrategy {
                             &delayed_sold_symbols,
                             &mut intraday_attempted_buys,
                             &mut daily_top_up_pending_buy_value,
+                            &deferred_daily_target_values,
                             debug_daily_top_up,
                             &mut daily_top_up_debug_notes,
                         )?;
@@ -9766,6 +9785,7 @@ impl Strategy for PlatformExprStrategy {
                         &delayed_sold_symbols,
                         &mut intraday_attempted_buys,
                         &mut daily_top_up_pending_buy_value,
+                        &deferred_daily_target_values,
                         debug_daily_top_up,
                         &mut daily_top_up_debug_notes,
                     )?;
@@ -9835,6 +9855,7 @@ impl Strategy for PlatformExprStrategy {
                     &delayed_sold_symbols,
                     &mut intraday_attempted_buys,
                     &mut daily_top_up_pending_buy_value,
+                    &deferred_daily_target_values,
                     debug_daily_top_up,
                     &mut daily_top_up_debug_notes,
                 )?;
@@ -10084,6 +10105,7 @@ impl Strategy for PlatformExprStrategy {
                     &rebalance_working_symbols,
                     &rebalance_value_symbols,
                     rebalance_pending_buy_value,
+                    None,
                     &pending_full_close_symbols,
                 );
                 let target_cash = slot_buy_cash * stock_scale;
@@ -21850,6 +21872,7 @@ mod tests {
             &working_symbols,
             &value_symbols,
             0.0,
+            None,
             &BTreeSet::new(),
         );
 
@@ -21857,6 +21880,24 @@ mod tests {
             (cash - 5_000.0).abs() < 1e-6,
             "remaining cash should use strategy-visible price and projected 500-share quantity, got {cash}"
         );
+
+        let deferred_targets = BTreeMap::from([("000001.SZ".to_string(), 2_000.0)]);
+        let deferred_cash = strategy.remaining_buy_cash_per_slot(
+            &ctx,
+            &projected,
+            date,
+            6_000.0,
+            2,
+            &working_symbols,
+            &value_symbols,
+            0.0,
+            Some(&deferred_targets),
+            &BTreeSet::new(),
+        );
+        assert!(
+            (deferred_cash - 3_000.0).abs() < 1e-6,
+            "lagged target reductions should reserve their frozen target value, got {deferred_cash}"
+        );
     }
 
     #[test]