From 938f4fec13de575e03ea3dbb1601c69cde8eb187 Mon Sep 17 00:00:00 2001 From: boris Date: Thu, 18 Jun 2026 20:43:53 +0800 Subject: [PATCH] =?UTF-8?q?=E4=BF=AE=E6=AD=A3AiQuant=E6=AD=A2=E7=9B=88?= =?UTF-8?q?=E6=AD=A2=E6=8D=9F=E6=88=90=E6=9C=AC=E5=9F=BA=E5=87=86?= MIME-Version: 1.0 Content-Type: text/plain; charset=UTF-8 Content-Transfer-Encoding: 8bit --- .../fidc-core/src/platform_expr_strategy.rs | 160 +++++++++++++++++- 1 file changed, 151 insertions(+), 9 deletions(-) diff --git a/crates/fidc-core/src/platform_expr_strategy.rs b/crates/fidc-core/src/platform_expr_strategy.rs index 589363d..abb1267 100644 --- a/crates/fidc-core/src/platform_expr_strategy.rs +++ b/crates/fidc-core/src/platform_expr_strategy.rs @@ -6231,11 +6231,19 @@ impl PlatformExprStrategy { { return Ok((false, false)); } - let avg_price = position + let entry_avg_price = position .average_entry_price() .filter(|value| value.is_finite() && *value > 0.0) .unwrap_or(position.average_cost); - if position.quantity == 0 || avg_price <= 0.0 { + let stop_take_base_price = if self.config.aiquant_transaction_cost + && position.average_cost.is_finite() + && position.average_cost > 0.0 + { + position.average_cost + } else { + entry_avg_price + }; + if position.quantity == 0 || stop_take_base_price <= 0.0 { return Ok((false, false)); } let stock = match self.stock_state_at_time( @@ -6251,8 +6259,8 @@ impl PlatformExprStrategy { Err(error) => return Err(error), }; let current_price = stock.last; - let holding_return = if avg_price > 0.0 { - current_price / avg_price - 1.0 + let holding_return = if stop_take_base_price > 0.0 { + current_price / stop_take_base_price - 1.0 } else { 0.0 }; @@ -6265,7 +6273,7 @@ impl PlatformExprStrategy { let position_state = PositionExpressionState { order_book_id: position.symbol.clone(), avg_cost: position.average_cost, - avg_price, + avg_price: entry_avg_price, current_price, prev_close: stock.prev_close, holding_return, @@ -6308,10 +6316,10 @@ impl PlatformExprStrategy { if multiplier > 0.0 && multiplier < 0.5 { holding_return <= -multiplier } else { - current_price <= avg_price * multiplier + current_price <= stop_take_base_price * multiplier } } else if let Some(multiplier) = stop_result.try_cast::() { - current_price <= avg_price * multiplier as f64 + current_price <= stop_take_base_price * multiplier as f64 } else { false } @@ -6332,10 +6340,10 @@ impl PlatformExprStrategy { if multiplier <= 1.0 { holding_return > multiplier } else { - current_price / avg_price > multiplier + current_price / stop_take_base_price > multiplier } } else if let Some(multiplier) = take_result.try_cast::() { - current_price / avg_price > multiplier as f64 + current_price / stop_take_base_price > multiplier as f64 } else { false } @@ -8854,6 +8862,140 @@ mod tests { ); } + #[test] + fn platform_aiquant_stop_loss_uses_fee_cost_basis_avg_cost() { + let prev_date = d(2025, 3, 13); + let date = d(2025, 3, 14); + let symbol = "301076.SZ"; + let data = DataSet::from_components_with_actions_and_quotes( + vec![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(), + }], + vec![DailyMarketSnapshot { + date, + symbol: symbol.to_string(), + timestamp: Some("2025-03-14 10:18:00".to_string()), + day_open: 9.30, + open: 9.30, + high: 9.35, + low: 9.18, + close: 9.20, + last_price: 9.20, + bid1: 9.20, + ask1: 9.21, + prev_close: 10.00, + volume: 1_000_000, + tick_volume: 1_000, + bid1_volume: 1_000, + ask1_volume: 1_000, + trading_phase: Some("continuous".to_string()), + paused: false, + upper_limit: 11.00, + lower_limit: 9.00, + price_tick: 0.01, + }], + vec![DailyFactorSnapshot { + date, + symbol: symbol.to_string(), + market_cap_bn: 3.2, + free_float_cap_bn: 2.1, + pe_ttm: 8.0, + turnover_ratio: Some(3.0), + effective_turnover_ratio: Some(3.0), + extra_factors: BTreeMap::new(), + }], + vec![CandidateEligibility { + date, + symbol: symbol.to_string(), + is_st: false, + is_new_listing: false, + is_paused: false, + allow_buy: false, + allow_sell: true, + is_kcb: false, + is_one_yuan: false, + }], + vec![BenchmarkSnapshot { + date, + benchmark: "000852.SH".to_string(), + open: 1000.0, + close: 1002.0, + prev_close: 998.0, + volume: 1_000_000, + }], + Vec::new(), + vec![IntradayExecutionQuote { + date, + symbol: symbol.to_string(), + timestamp: date.and_hms_opt(10, 18, 0).expect("timestamp"), + last_price: 9.205, + bid1: 9.20, + ask1: 9.21, + bid1_volume: 1_000, + ask1_volume: 1_000, + volume_delta: 1_000, + amount_delta: 9_205.0, + trading_phase: Some("continuous".to_string()), + }], + ) + .expect("dataset"); + let mut portfolio = PortfolioState::new(1_000_000.0); + portfolio.position_mut(symbol).buy(prev_date, 100, 10.0); + portfolio.position_mut(symbol).record_buy_trade_cost(100, 1.0); + let position = portfolio.position(symbol).expect("position"); + assert!((position.average_entry_price().unwrap() - 10.0).abs() < 1e-12); + assert!((position.average_cost - 10.01).abs() < 1e-12); + assert!(9.205 > position.average_entry_price().unwrap() * 0.92); + assert!(9.205 <= position.average_cost * 0.92); + + let subscriptions = BTreeSet::new(); + let ctx = StrategyContext { + execution_date: date, + decision_date: date, + decision_index: 40, + 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.rotation_enabled = false; + cfg.aiquant_transaction_cost = true; + cfg.intraday_execution_time = Some(NaiveTime::from_hms_opt(10, 18, 0).expect("time")); + cfg.signal_symbol = symbol.to_string(); + cfg.stop_loss_expr = "0.92".to_string(); + cfg.take_profit_expr.clear(); + let mut strategy = PlatformExprStrategy::new(cfg); + + let decision = strategy.on_day(&ctx).expect("platform decision"); + + assert!( + 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" + )), + "{:?}", + decision.order_intents + ); + } + #[test] fn platform_stop_take_fraction_values_are_return_thresholds() { let prev_date = d(2025, 3, 13);