From 831edfc8c6b8f0e5aab15d7bcf13914e03e14530 Mon Sep 17 00:00:00 2001 From: boris Date: Mon, 6 Jul 2026 08:52:53 +0800 Subject: [PATCH] =?UTF-8?q?=E4=BF=AE=E5=A4=8D=E5=B9=B3=E5=8F=B0=E7=AD=96?= =?UTF-8?q?=E7=95=A5=E9=83=A8=E5=88=86=E6=B8=85=E4=BB=93=E8=B7=A8=E6=97=A5?= =?UTF-8?q?=E7=BB=AD=E5=8D=96?= MIME-Version: 1.0 Content-Type: text/plain; charset=UTF-8 Content-Transfer-Encoding: 8bit --- .../fidc-core/src/platform_expr_strategy.rs | 239 ++++++++++++++++++ 1 file changed, 239 insertions(+) diff --git a/crates/fidc-core/src/platform_expr_strategy.rs b/crates/fidc-core/src/platform_expr_strategy.rs index 98e3b89..8bfbd59 100644 --- a/crates/fidc-core/src/platform_expr_strategy.rs +++ b/crates/fidc-core/src/platform_expr_strategy.rs @@ -562,6 +562,7 @@ pub struct PlatformExprStrategy { last_rebalance_date: Option, last_trading_ratio: Option, pending_highlimit_holdings: BTreeSet, + pending_full_close_symbols: BTreeSet, position_entry_dates: BTreeMap, /// 已编译表达式 AST 缓存。 /// Key 是经过 normalize/expand_runtime_helpers 之后的完整 script 文本， @@ -741,6 +742,7 @@ impl PlatformExprStrategy { last_rebalance_date: None, last_trading_ratio: None, pending_highlimit_holdings: BTreeSet::new(), + pending_full_close_symbols: BTreeSet::new(), position_entry_dates: BTreeMap::new(), compiled_cache: RefCell::new(HashMap::new()), cache_hits: RefCell::new(0), @@ -8024,6 +8026,57 @@ impl Strategy for PlatformExprStrategy { .collect::>(); let mut pending_full_close_symbols = BTreeSet::::new(); let risk_level_forced_exit_time = self.risk_level_forced_exit_time(); + self.pending_full_close_symbols.retain(|symbol| { + ctx.portfolio + .position(symbol) + .is_some_and(|position| position.quantity > 0) + }); + let carried_full_close_symbols = self + .pending_full_close_symbols + .iter() + .cloned() + .collect::>(); + for symbol in carried_full_close_symbols { + if delayed_sold_symbols.contains(&symbol) + || self.pending_highlimit_holdings.contains(&symbol) + { + continue; + } + if self.regular_sell_should_wait_due_to_highlimit( + ctx, + projection_date, + &symbol, + self.intraday_execution_start_time(), + )? { + continue; + } + pending_full_close_symbols.insert(symbol.clone()); + exit_symbols.insert(symbol.clone()); + order_intents.push(OrderIntent::TargetValue { + symbol: symbol.clone(), + target_value: 0.0, + reason: "pending_full_close_exit".to_string(), + }); + self.forget_position_entry_date(&symbol); + let can_sell = + defer_execution_risk || self.can_sell_position(ctx, execution_date, &symbol); + if can_sell + && self + .project_target_zero( + ctx, + &mut projected, + projection_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); + self.pending_full_close_symbols.remove(&symbol); + } + } if self.config.rotation_enabled && let Some(max_holding_days) = self.config.max_holding_days.filter(|value| *value > 0) { @@ -8037,6 +8090,8 @@ impl Strategy for PlatformExprStrategy { continue; }; pending_full_close_symbols.insert(position.symbol.clone()); + self.pending_full_close_symbols + .insert(position.symbol.clone()); exit_symbols.insert(position.symbol.clone()); order_intents.push(OrderIntent::TargetValue { symbol: position.symbol.clone(), @@ -8060,6 +8115,7 @@ impl Strategy for PlatformExprStrategy { { same_day_sold_symbols.insert(position.symbol.clone()); slot_working_symbols.remove(&position.symbol); + self.pending_full_close_symbols.remove(&position.symbol); } if debug_projection { projection_debug_notes.push(format!( @@ -8093,6 +8149,8 @@ impl Strategy for PlatformExprStrategy { defer_execution_risk, )? { pending_full_close_symbols.insert(position.symbol.clone()); + self.pending_full_close_symbols + .insert(position.symbol.clone()); pending_risk_level_forced_exit_symbols.insert(position.symbol.clone()); continue; } @@ -8136,6 +8194,7 @@ impl Strategy for PlatformExprStrategy { continue; } exit_symbols.insert(symbol.clone()); + self.pending_full_close_symbols.insert(symbol.clone()); order_intents.push(OrderIntent::TimedTargetValue { symbol: symbol.clone(), target_value: 0.0, @@ -8159,6 +8218,7 @@ impl Strategy for PlatformExprStrategy { { same_day_sold_symbols.insert(symbol.clone()); slot_working_symbols.remove(&symbol); + self.pending_full_close_symbols.remove(&symbol); } } @@ -8272,6 +8332,8 @@ impl Strategy for PlatformExprStrategy { let can_sell = defer_execution_risk || self.can_sell_position(ctx, execution_date, &position.symbol); if stop_hit { + self.pending_full_close_symbols + .insert(position.symbol.clone()); exit_symbols.insert(position.symbol.clone()); order_intents.push(OrderIntent::TargetValue { symbol: position.symbol.clone(), @@ -8293,6 +8355,7 @@ impl Strategy for PlatformExprStrategy { { same_day_sold_symbols.insert(position.symbol.clone()); slot_working_symbols.remove(&position.symbol); + self.pending_full_close_symbols.remove(&position.symbol); } } else { unresolved_stop_loss_symbols.insert(position.symbol.clone()); @@ -8301,6 +8364,8 @@ impl Strategy for PlatformExprStrategy { } if profit_hit { + self.pending_full_close_symbols + .insert(position.symbol.clone()); exit_symbols.insert(position.symbol.clone()); order_intents.push(OrderIntent::TargetValue { symbol: position.symbol.clone(), @@ -8322,6 +8387,7 @@ impl Strategy for PlatformExprStrategy { { same_day_sold_symbols.insert(position.symbol.clone()); slot_working_symbols.remove(&position.symbol); + self.pending_full_close_symbols.remove(&position.symbol); } } } @@ -8491,6 +8557,7 @@ impl Strategy for PlatformExprStrategy { target_value: 0.0, reason: "periodic_rebalance_sell".to_string(), }); + self.pending_full_close_symbols.insert(symbol.clone()); self.forget_position_entry_date(symbol); if self .project_target_zero( @@ -8504,6 +8571,7 @@ impl Strategy for PlatformExprStrategy { && Self::projected_position_is_flat(&projected, symbol) { same_day_sold_symbols.insert(symbol.clone()); + self.pending_full_close_symbols.remove(symbol); } slot_working_symbols.remove(symbol); } @@ -12693,6 +12761,177 @@ mod tests { ); } + #[test] + fn platform_pending_full_close_carries_after_partial_stop_loss() { + let prev_date = d(2025, 1, 6); + let first_date = d(2025, 1, 7); + let second_date = d(2025, 1, 8); + let symbol = "301129.SZ"; + let instrument = 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(), + }; + let market = |date: NaiveDate, last_price: f64| DailyMarketSnapshot { + date, + symbol: symbol.to_string(), + timestamp: Some(format!("{date} 10:15:00")), + day_open: last_price, + open: last_price, + high: last_price, + low: last_price, + close: last_price, + last_price, + bid1: last_price, + ask1: last_price, + prev_close: 10.0, + volume: 1_000_000, + minute_volume: 0, + bid1_volume: 10_000, + ask1_volume: 10_000, + trading_phase: Some("continuous".to_string()), + paused: false, + upper_limit: 20.0, + lower_limit: 1.0, + price_tick: 0.01, + }; + let factor = |date: NaiveDate| DailyFactorSnapshot { + date, + symbol: symbol.to_string(), + market_cap_bn: 10.0, + free_float_cap_bn: 10.0, + pe_ttm: 8.0, + turnover_ratio: Some(1.0), + effective_turnover_ratio: Some(1.0), + extra_factors: BTreeMap::new(), + }; + let candidate = |date: NaiveDate| CandidateEligibility { + date, + symbol: symbol.to_string(), + is_st: false, + is_star_st: false, + is_new_listing: false, + is_paused: false, + allow_buy: true, + allow_sell: true, + is_kcb: false, + is_one_yuan: false, + risk_level_code: None, + }; + let benchmark = |date: NaiveDate| BenchmarkSnapshot { + date, + benchmark: "000852.SH".to_string(), + open: 1000.0, + close: 1000.0, + prev_close: 998.0, + volume: 1_000_000, + }; + let quote = |date: NaiveDate, last_price: f64, volume_delta: u64| IntradayExecutionQuote { + date, + symbol: symbol.to_string(), + timestamp: date.and_hms_opt(10, 15, 0).expect("timestamp"), + last_price, + bid1: last_price, + ask1: last_price, + bid1_volume: 10_000, + ask1_volume: 10_000, + volume_delta, + amount_delta: last_price * volume_delta as f64, + trading_phase: Some("continuous".to_string()), + }; + let data = DataSet::from_components_with_actions_and_quotes( + vec![instrument], + vec![market(first_date, 9.0), market(second_date, 10.5)], + vec![factor(first_date), factor(second_date)], + vec![candidate(first_date), candidate(second_date)], + vec![benchmark(first_date), benchmark(second_date)], + Vec::new(), + vec![ + quote(first_date, 9.0, 2_800), + quote(second_date, 10.5, 100_000), + ], + ) + .expect("dataset"); + let subscriptions = BTreeSet::new(); + let mut cfg = PlatformExprStrategyConfig::microcap_rotation(); + cfg.rotation_enabled = false; + cfg.aiquant_transaction_cost = true; + cfg.matching_type = MatchingType::MinuteLast; + cfg.risk_config.trading_constraints.volume_limit_enabled = true; + cfg.risk_config.trading_constraints.volume_percent = 0.25; + cfg.risk_config.trading_constraints.liquidity_limit_enabled = false; + cfg.intraday_execution_time = Some(NaiveTime::from_hms_opt(10, 15, 0).expect("time")); + cfg.signal_symbol = symbol.to_string(); + cfg.stop_loss_expr = "0.95".to_string(); + cfg.take_profit_expr.clear(); + let mut strategy = PlatformExprStrategy::new(cfg); + + let mut first_portfolio = PortfolioState::new(1_000_000.0); + first_portfolio + .position_mut(symbol) + .buy(prev_date, 1_900, 10.0); + let first_ctx = StrategyContext { + execution_date: first_date, + decision_date: first_date, + decision_index: 0, + data: &data, + portfolio: &first_portfolio, + futures_account: None, + open_orders: &[], + dynamic_universe: None, + subscriptions: &subscriptions, + process_events: &[], + active_process_event: None, + active_datetime: None, + order_events: &[], + fills: &[], + }; + let first_decision = strategy.on_day(&first_ctx).expect("first decision"); + assert!(first_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 == "stop_loss_exit" + ))); + assert!(strategy.pending_full_close_symbols.contains(symbol)); + + let mut second_portfolio = PortfolioState::new(1_000_000.0); + second_portfolio + .position_mut(symbol) + .buy(prev_date, 1_200, 10.0); + let second_ctx = StrategyContext { + execution_date: second_date, + decision_date: second_date, + decision_index: 1, + data: &data, + portfolio: &second_portfolio, + futures_account: None, + open_orders: &[], + dynamic_universe: None, + subscriptions: &subscriptions, + process_events: &[], + active_process_event: None, + active_datetime: None, + order_events: &[], + fills: &[], + }; + let second_decision = strategy.on_day(&second_ctx).expect("second decision"); + assert!(second_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 == "pending_full_close_exit" + ))); + assert!(!second_decision.order_intents.iter().any(|intent| matches!( + intent, + OrderIntent::Shares { symbol: intent_symbol, quantity, reason } + if intent_symbol == symbol && *quantity > 0 && reason == "daily_position_target_adjust" + ))); + assert!(!strategy.pending_full_close_symbols.contains(symbol)); + } + #[test] fn platform_stop_take_fraction_values_are_return_thresholds() { let prev_date = d(2025, 3, 13);