修正弱市减仓涨停待开板处理

2026-06-20 14:07:13 +08:00
parent 5e66e9799c
commit 8df6bfd19c
1 changed files with 333 additions and 0 deletions
@@ -2158,6 +2158,24 @@ impl PlatformExprStrategy {
        ))
    }

+    fn pending_highlimit_sell_should_wait(
+        &self,
+        ctx: &StrategyContext<'_>,
+        date: NaiveDate,
+        symbol: &str,
+        execution_time: NaiveTime,
+    ) -> Result<bool, BacktestError> {
+        if !self.config.delayed_limit_open_exit_enabled
+            || !self.pending_highlimit_holdings.contains(symbol)
+        {
+            return Ok(false);
+        }
+        match self.stock_is_at_upper_limit_at_time(ctx, date, symbol, execution_time)? {
+            Some(is_locked) => Ok(is_locked),
+            None => Ok(true),
+        }
+    }
+
    fn stock_state_with_factor_date_and_time(
        &self,
        ctx: &StrategyContext<'_>,
@@ -6807,6 +6825,14 @@ impl Strategy for PlatformExprStrategy {
                    if position.quantity == 0 || delayed_sold_symbols.contains(&position.symbol) {
                        continue;
                    }
+                    if self.pending_highlimit_sell_should_wait(
+                        ctx,
+                        execution_date,
+                        &position.symbol,
+                        self.intraday_execution_start_time(),
+                    )? {
+                        continue;
+                    }
                    if pending_full_close_symbols.contains(&position.symbol) {
                        continue;
                    }
@@ -10511,6 +10537,313 @@ mod tests {
        )));
    }

+    #[test]
+    fn platform_aiquant_weak_market_skips_pending_highlimit_target_adjust_until_open() {
+        let prev_date = d(2023, 5, 4);
+        let date = d(2023, 5, 5);
+        let symbol = "600148.SH";
+        let data = DataSet::from_components_with_actions_and_quotes(
+            vec![Instrument {
+                symbol: symbol.to_string(),
+                name: symbol.to_string(),
+                board: "SH".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: 11.0,
+                open: 11.0,
+                high: 11.0,
+                low: 10.8,
+                close: 11.0,
+                last_price: 11.0,
+                bid1: 11.0,
+                ask1: 11.0,
+                prev_close: 10.0,
+                volume: 1_000_000,
+                tick_volume: 10_000,
+                bid1_volume: 10_000,
+                ask1_volume: 10_000,
+                trading_phase: Some("continuous".to_string()),
+                paused: false,
+                upper_limit: 11.0,
+                lower_limit: 9.0,
+                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: true,
+                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,
+            }],
+            Vec::new(),
+            vec![
+                IntradayExecutionQuote {
+                    date,
+                    symbol: symbol.to_string(),
+                    timestamp: date.and_hms_opt(9, 31, 0).expect("timestamp"),
+                    last_price: 11.0,
+                    bid1: 11.0,
+                    ask1: 11.0,
+                    bid1_volume: 10_000,
+                    ask1_volume: 10_000,
+                    volume_delta: 10_000,
+                    amount_delta: 110_000.0,
+                    trading_phase: Some("continuous".to_string()),
+                },
+                IntradayExecutionQuote {
+                    date,
+                    symbol: symbol.to_string(),
+                    timestamp: date.and_hms_opt(10, 18, 0).expect("timestamp"),
+                    last_price: 11.0,
+                    bid1: 11.0,
+                    ask1: 11.0,
+                    bid1_volume: 10_000,
+                    ask1_volume: 10_000,
+                    volume_delta: 10_000,
+                    amount_delta: 110_000.0,
+                    trading_phase: Some("continuous".to_string()),
+                },
+            ],
+        )
+        .expect("dataset");
+        let mut portfolio = PortfolioState::new(100_000.0);
+        portfolio.position_mut(symbol).buy(prev_date, 3_000, 10.0);
+        portfolio.apply_cash_delta(-30_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.max_positions = 2;
+        cfg.selection_limit_expr = "2".to_string();
+        cfg.market_cap_lower_expr = "0".to_string();
+        cfg.market_cap_upper_expr = "1000".to_string();
+        cfg.stock_filter_expr = "false".to_string();
+        cfg.exposure_expr = "0.5".to_string();
+        cfg.stop_loss_expr.clear();
+        cfg.take_profit_expr.clear();
+        cfg.delayed_limit_open_exit_enabled = true;
+        cfg.delayed_limit_open_exit_time = Some(NaiveTime::from_hms_opt(9, 31, 0).expect("time"));
+        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 {
+                    symbol: intent_symbol,
+                    reason,
+                    ..
+                } if intent_symbol == symbol && reason == "daily_position_target_adjust"
+            )),
+            "{:?}",
+            decision.order_intents
+        );
+        assert!(strategy.pending_highlimit_holdings.contains(symbol));
+    }
+
+    #[test]
+    fn platform_aiquant_weak_market_allows_pending_highlimit_target_adjust_after_open() {
+        let prev_date = d(2023, 5, 4);
+        let date = d(2023, 5, 5);
+        let symbol = "600148.SH";
+        let data = DataSet::from_components_with_actions_and_quotes(
+            vec![Instrument {
+                symbol: symbol.to_string(),
+                name: symbol.to_string(),
+                board: "SH".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: 11.0,
+                open: 11.0,
+                high: 11.0,
+                low: 10.7,
+                close: 10.8,
+                last_price: 10.8,
+                bid1: 10.8,
+                ask1: 10.8,
+                prev_close: 10.0,
+                volume: 1_000_000,
+                tick_volume: 10_000,
+                bid1_volume: 10_000,
+                ask1_volume: 10_000,
+                trading_phase: Some("continuous".to_string()),
+                paused: false,
+                upper_limit: 11.0,
+                lower_limit: 9.0,
+                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: true,
+                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,
+            }],
+            Vec::new(),
+            vec![
+                IntradayExecutionQuote {
+                    date,
+                    symbol: symbol.to_string(),
+                    timestamp: date.and_hms_opt(9, 31, 0).expect("timestamp"),
+                    last_price: 11.0,
+                    bid1: 11.0,
+                    ask1: 11.0,
+                    bid1_volume: 10_000,
+                    ask1_volume: 10_000,
+                    volume_delta: 10_000,
+                    amount_delta: 110_000.0,
+                    trading_phase: Some("continuous".to_string()),
+                },
+                IntradayExecutionQuote {
+                    date,
+                    symbol: symbol.to_string(),
+                    timestamp: date.and_hms_opt(10, 18, 0).expect("timestamp"),
+                    last_price: 10.8,
+                    bid1: 10.8,
+                    ask1: 10.8,
+                    bid1_volume: 10_000,
+                    ask1_volume: 10_000,
+                    volume_delta: 10_000,
+                    amount_delta: 108_000.0,
+                    trading_phase: Some("continuous".to_string()),
+                },
+            ],
+        )
+        .expect("dataset");
+        let mut portfolio = PortfolioState::new(100_000.0);
+        portfolio.position_mut(symbol).buy(prev_date, 3_000, 10.0);
+        portfolio.apply_cash_delta(-30_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.max_positions = 2;
+        cfg.selection_limit_expr = "2".to_string();
+        cfg.market_cap_lower_expr = "0".to_string();
+        cfg.market_cap_upper_expr = "1000".to_string();
+        cfg.stock_filter_expr = "false".to_string();
+        cfg.exposure_expr = "0.5".to_string();
+        cfg.stop_loss_expr.clear();
+        cfg.take_profit_expr.clear();
+        cfg.delayed_limit_open_exit_enabled = true;
+        cfg.delayed_limit_open_exit_time = Some(NaiveTime::from_hms_opt(9, 31, 0).expect("time"));
+        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 {
+                    symbol: intent_symbol,
+                    quantity,
+                    reason,
+                } if intent_symbol == symbol
+                    && reason == "daily_position_target_adjust"
+                    && *quantity < 0
+            )),
+            "{:?}",
+            decision.order_intents
+        );
+    }
+
    #[test]
    fn platform_aiquant_weak_market_threshold_top_up_uses_remaining_budget() {
        let prev_date = d(2023, 5, 4);