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修正AiQuant目标市值估值口径

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This commit is contained in:
boris
2026-06-16 07:49:10 +08:00
parent 9a411f2403
commit 8e6c912a07
2 changed files with 164 additions and 22 deletions
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crates/fidc-core/src/broker.rs
+14 -12
View File
@@ -2848,8 +2848,15 @@ where
return Ok(());
}
let current_value = if self.aiquant_rqalpha_execution_rules {
portfolio
.position(symbol)
.map(|position| position.market_value())
.unwrap_or(0.0)
} else {
let valuation_price = self.target_value_valuation_price(date, data, symbol, snapshot);
let current_value = valuation_price * current_qty as f64;
valuation_price * current_qty as f64
};
let cash_delta = target_value.max(0.0) - current_value;
if cash_delta.abs() > f64::EPSILON {
@@ -5278,7 +5285,7 @@ mod tests {
}
#[test]
fn aiquant_target_value_valuation_uses_scheduled_tick_last_price() {
fn aiquant_target_value_delta_uses_position_market_value() {
let date = chrono::NaiveDate::from_ymd_opt(2023, 5, 8).expect("valid date");
let symbol = "603101.SH";
let broker = BrokerSimulator::new_with_execution_price(
@@ -5369,12 +5376,6 @@ mod tests {
vec![quote],
)
.expect("valid dataset");
let snapshot = data.market(date, symbol).expect("market snapshot");
assert_eq!(
broker.target_value_valuation_price(date, &data, symbol, snapshot),
5.83
);
let mut portfolio = PortfolioState::new(8_261_416.62);
portfolio.position_mut(symbol).buy(date, 21_200, 5.8817);
let mut report = BrokerExecutionReport::default();
@@ -5396,11 +5397,12 @@ mod tests {
assert_eq!(
portfolio.position(symbol).map(|pos| pos.quantity),
Some(21_400)
Some(21_200)
);
let order = report.order_events.last().expect("target value order");
assert_eq!(order.requested_quantity, 200);
assert_eq!(order.filled_quantity, 200);
if let Some(order) = report.order_events.last() {
assert_eq!(order.requested_quantity, 0);
assert_eq!(order.filled_quantity, 0);
}
}
#[test]
crates/fidc-core/src/platform_expr_strategy.rs
+149 -9
View File
@@ -1580,7 +1580,7 @@ impl PlatformExprStrategy {
}
let market = ctx.data.market(date, symbol)?;
let current_value = if self.config.aiquant_transaction_cost {
self.projected_position_value_at_execution_price(ctx, projected, date, symbol)
projected.position(symbol)?.market_value()
} else {
let valuation_price = if market.close.is_finite() && market.close > 0.0 {
market.close
@@ -1600,14 +1600,9 @@ impl PlatformExprStrategy {
return None;
}
if cash_delta > 0.0 {
return Some(self.project_order_value(
ctx,
projected,
date,
symbol,
cash_delta,
execution_state,
));
let filled =
self.project_order_value(ctx, projected, date, symbol, cash_delta, execution_state);
return (filled > 0).then_some(filled);
}
if !self.can_sell_position(ctx, date, symbol) {
@@ -7432,6 +7427,151 @@ mod tests {
assert!((position.average_cost - 5.12022).abs() < 1e-9);
}
#[test]
fn platform_aiquant_target_value_uses_position_market_value_for_delta() {
let prev_date = d(2023, 5, 11);
let date = d(2023, 5, 12);
let symbol = "603176.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(2010, 1, 1)),
delisted_at: None,
status: "active".to_string(),
}],
vec![DailyMarketSnapshot {
date,
symbol: symbol.to_string(),
timestamp: Some("2023-05-12 10:40:00".to_string()),
day_open: 6.70,
open: 6.70,
high: 6.72,
low: 6.48,
close: 6.48,
last_price: 6.5369,
bid1: 6.5369,
ask1: 6.5369,
prev_close: 6.72,
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: 7.39,
lower_limit: 6.05,
price_tick: 0.01,
}],
vec![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(),
}],
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: 998.0,
volume: 1_000_000,
}],
Vec::new(),
vec![IntradayExecutionQuote {
date,
symbol: symbol.to_string(),
timestamp: date.and_hms_opt(10, 40, 0).expect("timestamp"),
last_price: 6.5369,
bid1: 6.5369,
ask1: 6.5369,
bid1_volume: 10_000,
ask1_volume: 10_000,
volume_delta: 10_000,
amount_delta: 65_369.0,
trading_phase: Some("continuous".to_string()),
}],
)
.expect("dataset");
let subscriptions = BTreeSet::new();
let mut portfolio = PortfolioState::new(500_000.0);
portfolio
.position_mut(symbol)
.buy_with_mark_price(prev_date, 18_600, 7.22, 6.72);
let target_value = 124_995.0;
assert!(
portfolio.position(symbol).unwrap().market_value() < target_value,
"fixture must be slightly below target by position.market_value"
);
assert!(
target_value - portfolio.position(symbol).unwrap().market_value() < 100.0 * 6.5369,
"fixture must be below one lot when position.market_value is used"
);
assert!(
18_600.0 * 6.5369 < target_value,
"fixture must be below target if tick price is used incorrectly"
);
let ctx = StrategyContext {
execution_date: date,
decision_date: date,
decision_index: 20,
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.commission_rate = Some(0.0003);
cfg.minimum_commission = Some(5.0);
cfg.strict_value_budget = true;
cfg.slippage_model = SlippageModel::PriceRatio(0.002);
cfg.matching_type = MatchingType::NextTickLast;
cfg.quote_quantity_limit = false;
cfg.intraday_execution_time = Some(NaiveTime::from_hms_opt(10, 40, 0).expect("time"));
let strategy = PlatformExprStrategy::new(cfg);
let mut projected = portfolio.clone();
let mut execution_state = super::ProjectedExecutionState::default();
let filled = strategy.project_target_value(
&ctx,
&mut projected,
date,
symbol,
target_value,
&mut execution_state,
);
assert_eq!(filled, None);
assert_eq!(projected.position(symbol).unwrap().quantity, 18_600);
}
#[test]
fn platform_marked_total_value_uses_current_day_close() {
let prev_date = d(2025, 6, 20);