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回退延迟卖出补仓槽位计数

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This commit is contained in:
boris
2026-07-08 03:46:15 +08:00
parent f15f229a09
commit 8f47ee3679
1 changed files with 38 additions and 34 deletions
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crates/fidc-core/src/platform_expr_strategy.rs
+38 -34
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@@ -8151,6 +8151,7 @@ impl Strategy for PlatformExprStrategy {
let mut intraday_attempted_buys = BTreeSet::<String>::new();
let mut same_bar_buy_symbols = BTreeSet::<String>::new();
let mut delayed_sold_symbols = BTreeSet::<String>::new();
let mut delayed_open_exit_submitted = false;
let mut unresolved_stop_loss_symbols = BTreeSet::<String>::new();
let mut pending_risk_level_forced_exit_symbols = BTreeSet::<String>::new();
let delayed_limit_exit_time = self
@@ -8254,6 +8255,7 @@ impl Strategy for PlatformExprStrategy {
end_time: Some(delayed_limit_exit_time),
reason: "delayed_limit_open_sell".to_string(),
});
delayed_open_exit_submitted = true;
delayed_sold_symbols.insert(symbol.clone());
self.forget_position_entry_date(&symbol);
let projected_sold = if ctx
@@ -8347,6 +8349,7 @@ impl Strategy for PlatformExprStrategy {
.portfolio
.positions()
.keys()
.filter(|symbol| !delayed_sold_symbols.contains(*symbol))
.cloned()
.collect::<BTreeSet<_>>();
let daily_top_up_active = self.config.daily_top_up_enabled
@@ -8358,6 +8361,7 @@ impl Strategy for PlatformExprStrategy {
let mut daily_top_up_pending_buy_value = 0.0_f64;
let mut pending_full_close_symbols = BTreeSet::<String>::new();
let mut slot_blocking_symbols = BTreeSet::<String>::new();
let should_block_released_slots_after_top_up = delayed_open_exit_submitted;
let interleaved_pending_full_close_symbols = BTreeSet::<String>::new();
let risk_level_forced_exit_time = self.risk_level_forced_exit_time();
self.pending_full_close_symbols.retain(|symbol| {
@@ -8782,6 +8786,10 @@ impl Strategy for PlatformExprStrategy {
target_value: 0.0,
reason: "stop_loss_exit".to_string(),
});
if daily_top_up_pending_buy_value > 0.0 && should_block_released_slots_after_top_up
{
slot_blocking_symbols.insert(position.symbol.clone());
}
self.forget_position_entry_date(&position.symbol);
slot_working_symbols.remove(&position.symbol);
if can_sell {
@@ -8850,6 +8858,10 @@ impl Strategy for PlatformExprStrategy {
target_value: 0.0,
reason: "take_profit_exit".to_string(),
});
if daily_top_up_pending_buy_value > 0.0 && should_block_released_slots_after_top_up
{
slot_blocking_symbols.insert(position.symbol.clone());
}
self.forget_position_entry_date(&position.symbol);
slot_working_symbols.remove(&position.symbol);
if can_sell {
@@ -22154,7 +22166,7 @@ mod tests {
}
#[test]
fn platform_delayed_open_exit_does_not_release_top_up_slot() {
fn platform_delayed_open_exit_uses_delayed_time_for_slot_projection() {
let prev_date = d(2025, 2, 25);
let date = d(2025, 2, 26);
let delayed_symbol = "000001.SZ";
@@ -22368,9 +22380,13 @@ mod tests {
decision.order_intents
);
assert!(
!decision.order_intents.iter().any(|intent| matches!(
decision.order_intents.iter().any(|intent| matches!(
intent,
OrderIntent::Value { reason, .. } if reason == "daily_top_up_buy"
OrderIntent::Value {
symbol,
reason,
..
} if symbol == buy_symbol && reason == "daily_top_up_buy"
)),
"{:?}",
decision.order_intents
@@ -22378,7 +22394,7 @@ mod tests {
}
#[test]
fn platform_delayed_open_partial_exit_allows_later_trade_exit_top_up_slot() {
fn platform_delayed_open_partial_exit_releases_top_up_slot() {
let prev_date = d(2025, 5, 5);
let date = d(2025, 5, 6);
let delayed_symbol = "000001.SZ";
@@ -22406,12 +22422,12 @@ mod tests {
timestamp: Some("2025-05-06 10:18:00".to_string()),
day_open: 10.0,
open: 10.0,
high: if *symbol == held_symbol { 12.0 } else { 11.0 },
high: 11.0,
low: 9.0,
close: if *symbol == held_symbol { 12.0 } else { 10.0 },
last_price: if *symbol == held_symbol { 12.0 } else { 10.0 },
bid1: if *symbol == held_symbol { 12.0 } else { 10.0 },
ask1: if *symbol == held_symbol { 12.0 } else { 10.0 },
close: 10.0,
last_price: 10.0,
bid1: 10.0,
ask1: 10.0,
prev_close: 10.0,
volume: 1_000_000,
minute_volume: 10_000,
@@ -22419,7 +22435,7 @@ mod tests {
ask1_volume: 2_000,
trading_phase: Some("continuous".to_string()),
paused: false,
upper_limit: if *symbol == held_symbol { 13.0 } else { 11.0 },
upper_limit: 11.0,
lower_limit: 9.0,
price_tick: 0.01,
})
@@ -22486,13 +22502,13 @@ mod tests {
date,
symbol: held_symbol.to_string(),
timestamp: date.and_hms_opt(10, 18, 0).expect("valid timestamp"),
last_price: 12.0,
bid1: 12.0,
ask1: 12.01,
last_price: 10.0,
bid1: 10.0,
ask1: 10.01,
bid1_volume: 10_000,
ask1_volume: 10_000,
volume_delta: 10_000,
amount_delta: 120_000.0,
amount_delta: 100_000.0,
trading_phase: Some("continuous".to_string()),
},
IntradayExecutionQuote {
@@ -22548,7 +22564,7 @@ mod tests {
cfg.stock_filter_expr = "close > 0".to_string();
cfg.exposure_expr = "1.0".to_string();
cfg.stop_loss_expr = "false".to_string();
cfg.take_profit_expr = "1.1".to_string();
cfg.take_profit_expr = "false".to_string();
cfg.daily_top_up_enabled = true;
cfg.release_slot_on_exit_signal = true;
cfg.aiquant_transaction_cost = true;
@@ -22581,18 +22597,6 @@ mod tests {
"{:?}",
decision.order_intents
);
assert!(
decision.order_intents.iter().any(|intent| matches!(
intent,
OrderIntent::TargetValue {
symbol,
target_value,
reason,
} if symbol == held_symbol && *target_value == 0.0 && reason == "take_profit_exit"
)),
"{:?}",
decision.order_intents
);
assert!(
decision.order_intents.iter().any(|intent| matches!(
intent,
@@ -26864,13 +26868,13 @@ mod tests {
cfg.benchmark_short_ma_days = 1;
cfg.benchmark_long_ma_days = 1;
cfg.stop_loss_expr = concat!(
"order_book_id == \"000001.SZ\"",
" && avg_cost > 0.0 && avg_price > 0.0 && current_price > 0.0",
" && quantity > 0 && sellable == sellable_qty && closable == sellable_qty",
" && equity == position_market_value && position_prev_close == prev_position_close",
" && old_quantity >= 0 && buy_quantity >= 0 && sell_quantity >= 0",
" && trading_pnl >= -1000000.0 && daily_pnl >= -1000000.0",
" && total_returns >= -1.0"
"order_book_id == \"000001.SZ\" && avg_price == avg_cost",
" && sellable == sellable_qty && closable == sellable_qty",
" && equity == position_market_value",
" && position_prev_close == prev_position_close",
" && old_quantity == 100 && buy_quantity == 100",
" && sell_quantity == 50 && trading_pnl > 90.0",
" && daily_pnl > 290.0 && total_returns > 0.0"
)
.to_string();
let mut strategy = PlatformExprStrategy::new(cfg);