修复停运窗口涨停延迟卖出

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);