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修正AiQuant止盈止损成本基准

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This commit is contained in:
boris
2026-06-18 20:43:53 +08:00
parent daa505152a
commit 938f4fec13
1 changed files with 151 additions and 9 deletions
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crates/fidc-core/src/platform_expr_strategy.rs
+151 -9
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@@ -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::<i64>() {
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::<i64>() {
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);