修正平台策略弱市调仓顺序

crates/fidc-core/src/platform_expr_strategy.rs

@@ -6083,6 +6083,7 @@ impl PlatformExprStrategy {
         })
     }
 
+    #[cfg(test)]
     fn stop_take_action(
         &self,
         ctx: &StrategyContext<'_>,
@@ -6094,6 +6095,17 @@ impl PlatformExprStrategy {
         let Some(position) = ctx.portfolio.position(symbol) else {
             return Ok((false, false));
         };
+        self.stop_take_action_for_position(ctx, execution_date, day, position)
+    }
+
+    fn stop_take_action_for_position(
+        &self,
+        ctx: &StrategyContext<'_>,
+        execution_date: NaiveDate,
+        day: &DayExpressionState,
+        position: &crate::portfolio::Position,
+    ) -> Result<(bool, bool), BacktestError> {
+        let symbol = position.symbol.as_str();
         if self.config.stop_loss_expr.trim().is_empty()
             && self.config.take_profit_expr.trim().is_empty()
         {
@@ -6447,26 +6459,58 @@ impl Strategy for PlatformExprStrategy {
             .cloned()
             .collect::<BTreeSet<_>>();
 
+        if self.config.aiquant_transaction_cost
+            && self.config.rotation_enabled
+            && trading_ratio > 0.0
+            && trading_ratio < 1.0
+            && selection_limit > 0
+            && !ctx.portfolio.positions().is_empty()
+        {
+            let target_value = aiquant_total_value * trading_ratio / selection_limit as f64;
+            if target_value.is_finite() && target_value > 0.0 {
+                for position in ctx.portfolio.positions().values() {
+                    if position.quantity == 0 || delayed_sold_symbols.contains(&position.symbol) {
+                        continue;
+                    }
+                    order_intents.push(OrderIntent::TargetValue {
+                        symbol: position.symbol.clone(),
+                        target_value,
+                        reason: "daily_position_target_adjust".to_string(),
+                    });
+                    self.project_target_value(
+                        ctx,
+                        &mut projected,
+                        execution_date,
+                        &position.symbol,
+                        target_value,
+                        &mut projected_execution_state,
+                    );
+                }
+                aiquant_available_cash = projected.cash();
+            }
+        }
+
         for position in ctx.portfolio.positions().values() {
             if delayed_sold_symbols.contains(&position.symbol) {
                 continue;
             }
+            let projected_position = projected.position(&position.symbol).unwrap_or(position);
             let avg_price = if self.config.aiquant_transaction_cost
-                && position.average_cost.is_finite()
+                && projected_position.average_cost.is_finite()
-                && position.average_cost > 0.0
+                && projected_position.average_cost > 0.0
             {
-                position.average_cost
+                projected_position.average_cost
             } else {
-                position
+                projected_position
                     .average_entry_price()
                     .filter(|value| value.is_finite() && *value > 0.0)
-                    .unwrap_or(position.average_cost)
+                    .unwrap_or(projected_position.average_cost)
             };
-            if position.quantity == 0 || avg_price <= 0.0 {
+            if projected_position.quantity == 0 || avg_price <= 0.0 {
                 continue;
             }
             let (stop_hit, profit_hit) =
-                self.stop_take_action(ctx, decision_date, execution_date, &day, &position.symbol)?;
+                self.stop_take_action_for_position(ctx, execution_date, &day, projected_position)?;
             let can_sell = self.can_sell_position(ctx, execution_date, &position.symbol);
             if stop_hit {
                 exit_symbols.insert(position.symbol.clone());
@@ -6547,43 +6591,6 @@ impl Strategy for PlatformExprStrategy {
             }
         }
 
-        if self.config.aiquant_transaction_cost
-            && self.config.rotation_enabled
-            && trading_ratio > 0.0
-            && trading_ratio < 1.0
-            && selection_limit > 0
-            && !ctx.portfolio.positions().is_empty()
-        {
-            let target_value = aiquant_total_value * trading_ratio / selection_limit as f64;
-            if target_value.is_finite() && target_value > 0.0 {
-                for position in ctx.portfolio.positions().values() {
-                    if position.quantity == 0
-                        || delayed_sold_symbols.contains(&position.symbol)
-                        || exit_symbols.contains(&position.symbol)
-                        || same_day_sold_symbols.contains(&position.symbol)
-                        || unresolved_stop_loss_symbols.contains(&position.symbol)
-                        || self.pending_highlimit_holdings.contains(&position.symbol)
-                    {
-                        continue;
-                    }
-                    order_intents.push(OrderIntent::TargetValue {
-                        symbol: position.symbol.clone(),
-                        target_value,
-                        reason: "daily_position_target_adjust".to_string(),
-                    });
-                    self.project_target_value(
-                        ctx,
-                        &mut projected,
-                        execution_date,
-                        &position.symbol,
-                        target_value,
-                        &mut projected_execution_state,
-                    );
-                }
-                aiquant_available_cash = projected.cash();
-            }
-        }
-
         if self.config.daily_top_up_enabled
             && self.config.rotation_enabled
             && !periodic_rebalance
@@ -11690,7 +11697,7 @@ mod tests {
     }
 
     #[test]
-    fn platform_stop_loss_skips_weak_market_top_up_for_exiting_position() {
+    fn platform_weak_market_adjusts_before_stop_loss_and_skips_top_up_for_exiting_position() {
         let prev_date = d(2025, 2, 2);
         let date = d(2025, 2, 3);
         let symbols = ["000001.SZ", "000002.SZ"];
@@ -11807,23 +11814,42 @@ mod tests {
         cfg.stop_loss_expr = "0.92".to_string();
         cfg.take_profit_expr.clear();
         cfg.daily_top_up_enabled = true;
+        cfg.aiquant_transaction_cost = true;
         let mut strategy = PlatformExprStrategy::new(cfg);
         strategy.rebalance_day_counter = 2;
 
         let decision = strategy.on_day(&ctx).expect("platform decision");
 
-        assert!(decision.order_intents.iter().any(|intent| matches!(
+        let target_adjust_index = decision
+            .order_intents
+            .iter()
+            .position(|intent| {
+                matches!(
+                    intent,
+                    OrderIntent::TargetValue { symbol, reason, .. }
+                        if symbol == "000001.SZ" && reason == "daily_position_target_adjust"
+                )
+            })
+            .expect("weak-market target adjustment should run before stop-loss");
+        let stop_loss_index = decision
+            .order_intents
+            .iter()
+            .position(|intent| {
+                matches!(
                     intent,
                     OrderIntent::TargetValue {
                         symbol,
                         target_value,
                         reason,
                     } if symbol == "000001.SZ" && *target_value == 0.0 && reason == "stop_loss_exit"
-        )));
+                )
+            })
+            .expect("stop-loss exit");
+        assert!(target_adjust_index < stop_loss_index);
         assert!(!decision.order_intents.iter().any(|intent| matches!(
             intent,
-            OrderIntent::TargetValue { symbol, reason, .. }
+            OrderIntent::Value { symbol, reason, .. } | OrderIntent::Shares { symbol, reason, .. }
-                if symbol == "000001.SZ" && reason == "daily_position_target_adjust"
+                if symbol == "000001.SZ" && reason == "daily_top_up_buy"
         )));
     }