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修复停运窗口涨停延迟卖出

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boris
2026-06-20 16:20:09 +08:00
parent 8df6bfd19c
commit 9692557746
1 changed files with 287 additions and 1 deletions
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crates/fidc-core/src/platform_expr_strategy.rs
+287 -1
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@@ -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);