修正AiQuant止盈止损成本基准

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 {
+        let holding_return = if stop_take_base_price > 0.0 {
-            current_price / avg_price - 1.0
+            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);