From 9692557746875a7550a5e5ff32a9eb1a5ff23396 Mon Sep 17 00:00:00 2001 From: boris Date: Sat, 20 Jun 2026 16:20:09 +0800 Subject: [PATCH] =?UTF-8?q?=E4=BF=AE=E5=A4=8D=E5=81=9C=E8=BF=90=E7=AA=97?= =?UTF-8?q?=E5=8F=A3=E6=B6=A8=E5=81=9C=E5=BB=B6=E8=BF=9F=E5=8D=96=E5=87=BA?= MIME-Version: 1.0 Content-Type: text/plain; charset=UTF-8 Content-Transfer-Encoding: 8bit --- .../fidc-core/src/platform_expr_strategy.rs | 288 +++++++++++++++++- 1 file changed, 287 insertions(+), 1 deletion(-) diff --git a/crates/fidc-core/src/platform_expr_strategy.rs b/crates/fidc-core/src/platform_expr_strategy.rs index e075034..12b1e7d 100644 --- a/crates/fidc-core/src/platform_expr_strategy.rs +++ b/crates/fidc-core/src/platform_expr_strategy.rs @@ -6725,10 +6725,17 @@ impl Strategy for PlatformExprStrategy { } if in_skip_window { + let mut pending_highlimit_kept = 0usize; for symbol in ctx.portfolio.positions().keys() { if delayed_sold_symbols.contains(symbol) { continue; } + if self.config.delayed_limit_open_exit_enabled + && self.pending_highlimit_holdings.contains(symbol) + { + pending_highlimit_kept += 1; + continue; + } exit_symbols.insert(symbol.clone()); order_intents.push(OrderIntent::TargetValue { symbol: symbol.clone(), @@ -6743,6 +6750,12 @@ impl Strategy for PlatformExprStrategy { delayed_sold_symbols.len() )); } + if pending_highlimit_kept > 0 { + notes.push(format!( + "pending high-limit holdings kept through seasonal stop: {}", + pending_highlimit_kept + )); + } return Ok(StrategyDecision { rebalance: false, target_weights: BTreeMap::new(), @@ -6750,7 +6763,7 @@ impl Strategy for PlatformExprStrategy { order_intents, notes, diagnostics: vec![ - "platform expr skip window forced all cash after delayed open exits" + "platform expr skip window forced all sellable cash after delayed open exits" .to_string(), ], }); @@ -8937,6 +8950,279 @@ mod tests { assert!(!strategy.pending_highlimit_holdings.contains(delayed_symbol)); } + #[test] + fn platform_skip_window_keeps_pending_highlimit_until_open() { + let prev_date = d(2024, 1, 12); + let date = d(2024, 1, 15); + let delayed_symbol = "605081.SH"; + let other_symbol = "002001.SZ"; + let signal_symbol = "000001.SH"; + let data = DataSet::from_components_with_actions_and_quotes( + vec![ + Instrument { + symbol: delayed_symbol.to_string(), + name: delayed_symbol.to_string(), + board: "SH".to_string(), + round_lot: 100, + listed_at: Some(d(2020, 1, 1)), + delisted_at: None, + status: "active".to_string(), + }, + Instrument { + symbol: other_symbol.to_string(), + name: other_symbol.to_string(), + board: "SZ".to_string(), + round_lot: 100, + listed_at: Some(d(2020, 1, 1)), + delisted_at: None, + status: "active".to_string(), + }, + Instrument { + symbol: signal_symbol.to_string(), + name: signal_symbol.to_string(), + board: "SH".to_string(), + round_lot: 100, + listed_at: Some(d(1990, 12, 19)), + delisted_at: None, + status: "active".to_string(), + }, + ], + vec![ + DailyMarketSnapshot { + date, + symbol: delayed_symbol.to_string(), + timestamp: Some("2024-01-15 10:18:00".to_string()), + day_open: 14.63, + open: 14.63, + high: 14.63, + low: 14.63, + close: 14.63, + last_price: 14.63, + bid1: 14.63, + ask1: 14.63, + prev_close: 13.30, + volume: 200_000, + tick_volume: 1_000, + bid1_volume: 1_000, + ask1_volume: 1_000, + trading_phase: Some("continuous".to_string()), + paused: false, + upper_limit: 14.63, + lower_limit: 11.97, + price_tick: 0.01, + }, + DailyMarketSnapshot { + date, + symbol: other_symbol.to_string(), + timestamp: Some("2024-01-15 10:18:00".to_string()), + day_open: 8.00, + open: 8.00, + high: 8.10, + low: 7.90, + close: 8.02, + last_price: 8.02, + bid1: 8.01, + ask1: 8.02, + prev_close: 7.95, + volume: 200_000, + tick_volume: 1_000, + bid1_volume: 1_000, + ask1_volume: 1_000, + trading_phase: Some("continuous".to_string()), + paused: false, + upper_limit: 8.75, + lower_limit: 7.16, + price_tick: 0.01, + }, + DailyMarketSnapshot { + date, + symbol: signal_symbol.to_string(), + timestamp: Some("2024-01-15 10:18:00".to_string()), + day_open: 2900.0, + open: 2900.0, + high: 2910.0, + low: 2890.0, + close: 2905.0, + last_price: 2905.0, + bid1: 2905.0, + ask1: 2905.1, + prev_close: 2898.0, + 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: 0.0, + lower_limit: 0.0, + price_tick: 0.01, + }, + ], + vec![ + DailyFactorSnapshot { + date, + symbol: delayed_symbol.to_string(), + market_cap_bn: 24.0, + free_float_cap_bn: 6.0, + pe_ttm: 8.0, + turnover_ratio: Some(20.0), + effective_turnover_ratio: Some(20.0), + extra_factors: BTreeMap::new(), + }, + DailyFactorSnapshot { + date, + symbol: other_symbol.to_string(), + market_cap_bn: 23.0, + free_float_cap_bn: 5.0, + pe_ttm: 8.0, + turnover_ratio: Some(20.0), + effective_turnover_ratio: Some(20.0), + extra_factors: BTreeMap::new(), + }, + ], + vec![ + CandidateEligibility { + date, + symbol: delayed_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, + }, + CandidateEligibility { + date, + symbol: other_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: "932000.CSI".to_string(), + open: 1000.0, + close: 1002.0, + prev_close: 998.0, + volume: 1_000_000, + }], + Vec::new(), + vec![ + IntradayExecutionQuote { + date, + symbol: delayed_symbol.to_string(), + timestamp: date.and_hms_opt(9, 31, 0).expect("valid timestamp"), + last_price: 14.63, + bid1: 14.63, + ask1: 14.63, + bid1_volume: 1_000, + ask1_volume: 1_000, + volume_delta: 10_000, + amount_delta: 146_300.0, + trading_phase: Some("continuous".to_string()), + }, + IntradayExecutionQuote { + date, + symbol: other_symbol.to_string(), + timestamp: date.and_hms_opt(10, 18, 0).expect("valid timestamp"), + last_price: 8.02, + bid1: 8.01, + ask1: 8.02, + bid1_volume: 1_000, + ask1_volume: 1_000, + volume_delta: 10_000, + amount_delta: 80_200.0, + trading_phase: Some("continuous".to_string()), + }, + ], + ) + .expect("dataset"); + let mut portfolio = PortfolioState::new(1_000_000.0); + portfolio + .position_mut(delayed_symbol) + .buy(prev_date, 3_800, 13.30); + portfolio + .position_mut(other_symbol) + .buy(prev_date, 5_000, 7.95); + let subscriptions = BTreeSet::new(); + 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.signal_symbol = signal_symbol.to_string(); + cfg.benchmark_symbol = "932000.CSI".to_string(); + cfg.aiquant_transaction_cost = true; + cfg.intraday_execution_time = Some(NaiveTime::from_hms_opt(10, 18, 0).unwrap()); + cfg.delayed_limit_open_exit_enabled = true; + cfg.delayed_limit_open_exit_time = Some(NaiveTime::from_hms_opt(9, 31, 0).unwrap()); + cfg.skip_month_day_ranges = vec![(Some(2024), 1, 15, 31)]; + let mut strategy = PlatformExprStrategy::new(cfg); + strategy + .pending_highlimit_holdings + .insert(delayed_symbol.to_string()); + + let decision = strategy.on_day(&ctx).expect("platform decision"); + + assert!( + !decision.order_intents.iter().any(|intent| matches!( + intent, + OrderIntent::AlgoValue { + symbol, + reason, + .. + } if symbol == delayed_symbol && reason == "delayed_limit_open_sell" + )), + "{:?}", + decision.order_intents + ); + assert!( + !decision.order_intents.iter().any(|intent| matches!( + intent, + OrderIntent::TargetValue { + symbol, + reason, + .. + } if symbol == delayed_symbol && reason == "seasonal_stop_window" + )), + "{:?}", + decision.order_intents + ); + assert!( + decision.order_intents.iter().any(|intent| matches!( + intent, + OrderIntent::TargetValue { + symbol, + target_value, + reason, + } if symbol == other_symbol + && *target_value == 0.0 + && reason == "seasonal_stop_window" + )), + "{:?}", + decision.order_intents + ); + assert!(strategy.pending_highlimit_holdings.contains(delayed_symbol)); + } + #[test] fn platform_aiquant_marks_highlimit_before_cptrade_time() { let prev_date = d(2024, 3, 1);