补充表达式决策日变量

2026-07-01 09:06:44 +08:00
parent eeaf061932
commit 8ba4b4d2c1
1 changed files with 134 additions and 0 deletions
@@ -2556,9 +2556,13 @@ impl PlatformExprStrategy {
    ) -> Scope<'static> {
        let mut scope = Scope::new();
        let trade_date = day.date.format("%Y-%m-%d").to_string();
+        let decision_date = ctx.decision_date.format("%Y-%m-%d").to_string();
+        let execution_date = ctx.execution_date.format("%Y-%m-%d").to_string();
        scope.push("trade_date", trade_date.clone());
        scope.push("current_date", trade_date.clone());
        scope.push("date", trade_date);
+        scope.push("decision_date", decision_date);
+        scope.push("execution_date", execution_date);
        scope.push("signal_open", day.signal_open);
        scope.push("signal_close", day.signal_close);
        scope.push("benchmark_open", day.benchmark_open);
@@ -20332,6 +20336,136 @@ mod tests {
        }
    }

+    #[test]
+    fn target_portfolio_smart_exposes_decision_and_execution_dates() {
+        let decision_date = d(2023, 1, 3);
+        let execution_date = d(2023, 1, 4);
+        let signal = "000001.SH";
+        let data = DataSet::from_components(
+            vec![],
+            vec![
+                DailyMarketSnapshot {
+                    date: decision_date,
+                    symbol: signal.to_string(),
+                    timestamp: Some("2023-01-03 10:18:00".to_string()),
+                    day_open: 1000.0,
+                    open: 1000.0,
+                    high: 1002.0,
+                    low: 998.0,
+                    close: 1001.0,
+                    last_price: 1001.0,
+                    bid1: 1000.5,
+                    ask1: 1001.5,
+                    prev_close: 999.0,
+                    volume: 100_000,
+                    minute_volume: 5_000,
+                    bid1_volume: 2_500,
+                    ask1_volume: 2_500,
+                    trading_phase: Some("continuous".to_string()),
+                    paused: false,
+                    upper_limit: 1098.9,
+                    lower_limit: 899.1,
+                    price_tick: 0.01,
+                },
+                DailyMarketSnapshot {
+                    date: execution_date,
+                    symbol: signal.to_string(),
+                    timestamp: Some("2023-01-04 10:18:00".to_string()),
+                    day_open: 1002.0,
+                    open: 1002.0,
+                    high: 1004.0,
+                    low: 1000.0,
+                    close: 1003.0,
+                    last_price: 1003.0,
+                    bid1: 1002.5,
+                    ask1: 1003.5,
+                    prev_close: 1001.0,
+                    volume: 100_000,
+                    minute_volume: 5_000,
+                    bid1_volume: 2_500,
+                    ask1_volume: 2_500,
+                    trading_phase: Some("continuous".to_string()),
+                    paused: false,
+                    upper_limit: 1101.1,
+                    lower_limit: 900.9,
+                    price_tick: 0.01,
+                },
+            ],
+            vec![],
+            vec![],
+            vec![
+                BenchmarkSnapshot {
+                    date: decision_date,
+                    benchmark: "000852.SH".to_string(),
+                    open: 1000.0,
+                    close: 1001.0,
+                    prev_close: 999.0,
+                    volume: 100_000,
+                },
+                BenchmarkSnapshot {
+                    date: execution_date,
+                    benchmark: "000852.SH".to_string(),
+                    open: 1002.0,
+                    close: 1003.0,
+                    prev_close: 1001.0,
+                    volume: 100_000,
+                },
+            ],
+        )
+        .expect("dataset");
+        let portfolio = PortfolioState::new(1_000_000.0);
+        let subscriptions = BTreeSet::new();
+        let ctx = StrategyContext {
+            execution_date,
+            decision_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.signal_symbol = signal.to_string();
+        cfg.rotation_enabled = false;
+        cfg.benchmark_short_ma_days = 1;
+        cfg.benchmark_long_ma_days = 1;
+        cfg.explicit_actions = vec![PlatformTradeAction::TargetPortfolioSmart {
+            target_weights_expr: concat!(
+                "{",
+                "\"000521.SZ\": if decision_date == \"2023-01-03\" && execution_date == \"2023-01-04\" { 0.025 } else { 0.0 },",
+                "\"000333.SZ\": if current_date == \"2023-01-03\" { 0.05 } else { 0.0 }",
+                "}"
+            )
+            .to_string(),
+            order_prices_expr: None,
+            valuation_prices_expr: None,
+            when_expr: Some(
+                "decision_date == \"2023-01-03\" && execution_date == \"2023-01-04\""
+                    .to_string(),
+            ),
+            reason: "decision_date_conditioned_target_weights".to_string(),
+        }];
+        let mut strategy = PlatformExprStrategy::new(cfg);
+
+        let decision = strategy.on_day(&ctx).expect("platform decision");
+
+        assert_eq!(decision.order_intents.len(), 1);
+        match &decision.order_intents[0] {
+            crate::strategy::OrderIntent::TargetPortfolioSmart { target_weights, .. } => {
+                assert_eq!(target_weights.get("000521.SZ").copied(), Some(0.025));
+                assert_eq!(target_weights.get("000333.SZ").copied(), Some(0.05));
+            }
+            other => panic!("unexpected explicit target portfolio intent: {other:?}"),
+        }
+    }
+
    #[test]
    fn platform_strategy_emits_target_portfolio_smart_algo_order_style() {
        let date = d(2025, 2, 3);