修复next-open信号日风控投影
This commit is contained in:
boris
@@ -1628,7 +1628,9 @@ impl PlatformExprStrategy {
|
||||
if quantity == 0 {
|
||||
return None;
|
||||
}
|
||||
if !self.can_sell_position_at_time(ctx, date, symbol, execution_time) {
|
||||
if !Self::defer_projection_execution_risk(ctx, date)
|
||||
&& !self.can_sell_position_at_time(ctx, date, symbol, execution_time)
|
||||
{
|
||||
return None;
|
||||
}
|
||||
let market = ctx.data.market(date, symbol)?;
|
||||
@@ -1735,7 +1737,9 @@ impl PlatformExprStrategy {
|
||||
return (filled > 0).then_some(filled);
|
||||
}
|
||||
|
||||
if !self.can_sell_position(ctx, date, symbol) {
|
||||
if !Self::defer_projection_execution_risk(ctx, date)
|
||||
&& !self.can_sell_position(ctx, date, symbol)
|
||||
{
|
||||
return None;
|
||||
}
|
||||
let sizing_price = self
|
||||
@@ -1944,11 +1948,12 @@ impl PlatformExprStrategy {
|
||||
}
|
||||
Err(_) => return 0,
|
||||
};
|
||||
if self
|
||||
.buy_rejection_reason(ctx, date, symbol, &stock)
|
||||
.ok()
|
||||
.flatten()
|
||||
.is_some()
|
||||
if !Self::defer_projection_execution_risk(ctx, date)
|
||||
&& self
|
||||
.buy_rejection_reason(ctx, date, symbol, &stock)
|
||||
.ok()
|
||||
.flatten()
|
||||
.is_some()
|
||||
{
|
||||
return 0;
|
||||
}
|
||||
@@ -2056,6 +2061,10 @@ impl PlatformExprStrategy {
|
||||
fill.quantity
|
||||
}
|
||||
|
||||
fn defer_projection_execution_risk(ctx: &StrategyContext<'_>, date: NaiveDate) -> bool {
|
||||
ctx.is_lagged_execution() && date == ctx.decision_date
|
||||
}
|
||||
|
||||
fn day_state(
|
||||
&self,
|
||||
ctx: &StrategyContext<'_>,
|
||||
@@ -14268,6 +14277,203 @@ mod tests {
|
||||
);
|
||||
}
|
||||
|
||||
#[test]
|
||||
fn platform_next_open_selection_ignores_decision_day_static_risk_state() {
|
||||
let factor_date = d(2023, 11, 10);
|
||||
let decision_date = d(2023, 11, 13);
|
||||
let execution_date = d(2023, 11, 14);
|
||||
let signal = "000001.SZ";
|
||||
let candidate_symbol = "600462.SH";
|
||||
let market = |date: NaiveDate, symbol: &str, paused: bool| DailyMarketSnapshot {
|
||||
date,
|
||||
symbol: symbol.to_string(),
|
||||
timestamp: Some(format!("{} 09:33:00", date)),
|
||||
day_open: 10.0,
|
||||
open: 10.0,
|
||||
high: 10.0,
|
||||
low: 10.0,
|
||||
close: 10.0,
|
||||
last_price: 10.0,
|
||||
bid1: 10.0,
|
||||
ask1: 10.0,
|
||||
prev_close: 9.9,
|
||||
volume: 1_000_000,
|
||||
minute_volume: 1_000,
|
||||
bid1_volume: 10_000,
|
||||
ask1_volume: 10_000,
|
||||
trading_phase: Some("continuous".to_string()),
|
||||
paused,
|
||||
upper_limit: 11.0,
|
||||
lower_limit: 9.0,
|
||||
price_tick: 0.01,
|
||||
};
|
||||
let candidate = |date: NaiveDate, is_st: bool, is_paused: bool| CandidateEligibility {
|
||||
date,
|
||||
symbol: candidate_symbol.to_string(),
|
||||
is_st,
|
||||
is_star_st: false,
|
||||
is_new_listing: false,
|
||||
is_paused,
|
||||
allow_buy: !is_paused,
|
||||
allow_sell: true,
|
||||
is_kcb: false,
|
||||
is_one_yuan: false,
|
||||
risk_level_code: None,
|
||||
};
|
||||
let data = DataSet::from_components_with_actions_and_quotes(
|
||||
vec![
|
||||
Instrument {
|
||||
symbol: signal.to_string(),
|
||||
name: signal.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: candidate_symbol.to_string(),
|
||||
name: candidate_symbol.to_string(),
|
||||
board: "SH".to_string(),
|
||||
round_lot: 100,
|
||||
listed_at: Some(d(2020, 1, 1)),
|
||||
delisted_at: None,
|
||||
status: "active".to_string(),
|
||||
},
|
||||
],
|
||||
vec![
|
||||
market(factor_date, signal, false),
|
||||
market(decision_date, signal, false),
|
||||
market(execution_date, signal, false),
|
||||
market(decision_date, candidate_symbol, true),
|
||||
market(execution_date, candidate_symbol, false),
|
||||
],
|
||||
vec![
|
||||
DailyFactorSnapshot {
|
||||
date: factor_date,
|
||||
symbol: candidate_symbol.to_string(),
|
||||
market_cap_bn: 1.0,
|
||||
free_float_cap_bn: 1.0,
|
||||
pe_ttm: 8.0,
|
||||
turnover_ratio: Some(1.0),
|
||||
effective_turnover_ratio: Some(1.0),
|
||||
extra_factors: BTreeMap::new(),
|
||||
},
|
||||
DailyFactorSnapshot {
|
||||
date: decision_date,
|
||||
symbol: candidate_symbol.to_string(),
|
||||
market_cap_bn: 1.0,
|
||||
free_float_cap_bn: 1.0,
|
||||
pe_ttm: 8.0,
|
||||
turnover_ratio: Some(1.0),
|
||||
effective_turnover_ratio: Some(1.0),
|
||||
extra_factors: BTreeMap::new(),
|
||||
},
|
||||
DailyFactorSnapshot {
|
||||
date: execution_date,
|
||||
symbol: candidate_symbol.to_string(),
|
||||
market_cap_bn: 1.0,
|
||||
free_float_cap_bn: 1.0,
|
||||
pe_ttm: 8.0,
|
||||
turnover_ratio: Some(1.0),
|
||||
effective_turnover_ratio: Some(1.0),
|
||||
extra_factors: BTreeMap::new(),
|
||||
},
|
||||
],
|
||||
vec![
|
||||
candidate(decision_date, true, true),
|
||||
candidate(execution_date, false, false),
|
||||
],
|
||||
[factor_date, decision_date, execution_date]
|
||||
.into_iter()
|
||||
.map(|date| BenchmarkSnapshot {
|
||||
date,
|
||||
benchmark: "000852.SH".to_string(),
|
||||
open: 1000.0,
|
||||
close: 1002.0,
|
||||
prev_close: 998.0,
|
||||
volume: 1_000_000,
|
||||
})
|
||||
.collect(),
|
||||
Vec::new(),
|
||||
vec![IntradayExecutionQuote {
|
||||
date: execution_date,
|
||||
symbol: candidate_symbol.to_string(),
|
||||
timestamp: execution_date.and_hms_opt(9, 33, 0).unwrap(),
|
||||
last_price: 10.0,
|
||||
bid1: 10.0,
|
||||
ask1: 10.0,
|
||||
bid1_volume: 10_000,
|
||||
ask1_volume: 10_000,
|
||||
volume_delta: 100,
|
||||
amount_delta: 1_000.0,
|
||||
trading_phase: Some("continuous".to_string()),
|
||||
}],
|
||||
)
|
||||
.expect("dataset");
|
||||
let portfolio = PortfolioState::new(500_000.0);
|
||||
let subscriptions = BTreeSet::new();
|
||||
let ctx = StrategyContext {
|
||||
execution_date,
|
||||
decision_date,
|
||||
decision_index: 2,
|
||||
data: &data,
|
||||
portfolio: &portfolio,
|
||||
futures_account: None,
|
||||
open_orders: &[],
|
||||
dynamic_universe: None,
|
||||
subscriptions: &subscriptions,
|
||||
process_events: &[],
|
||||
active_process_event: None,
|
||||
active_datetime: Some(execution_date.and_hms_opt(9, 33, 0).unwrap()),
|
||||
order_events: &[],
|
||||
fills: &[],
|
||||
};
|
||||
let mut cfg = PlatformExprStrategyConfig::microcap_rotation();
|
||||
cfg.aiquant_transaction_cost = true;
|
||||
cfg.intraday_execution_time = Some(NaiveTime::from_hms_opt(9, 33, 0).unwrap());
|
||||
cfg.signal_symbol = signal.to_string();
|
||||
cfg.max_positions = 1;
|
||||
cfg.market_cap_lower_expr = "0".to_string();
|
||||
cfg.market_cap_upper_expr = "100".to_string();
|
||||
cfg.selection_limit_expr = "1".to_string();
|
||||
cfg.stock_filter_expr = "close > 0".to_string();
|
||||
cfg.exposure_expr = "1.0".to_string();
|
||||
let mut strategy = PlatformExprStrategy::new(cfg);
|
||||
|
||||
let decision = strategy.on_day(&ctx).expect("platform decision");
|
||||
|
||||
assert!(
|
||||
decision
|
||||
.diagnostics
|
||||
.iter()
|
||||
.any(|item| item == "selected_symbols=600462.SH"),
|
||||
"{:?}",
|
||||
decision.diagnostics
|
||||
);
|
||||
assert!(
|
||||
decision
|
||||
.diagnostics
|
||||
.iter()
|
||||
.all(|item| !item.contains("600462.SH rejected by")),
|
||||
"{:?}",
|
||||
decision.diagnostics
|
||||
);
|
||||
assert!(
|
||||
decision.order_intents.iter().any(|intent| match intent {
|
||||
OrderIntent::Shares {
|
||||
symbol, quantity, ..
|
||||
} => symbol == candidate_symbol && *quantity > 0,
|
||||
OrderIntent::Value { symbol, value, .. } => {
|
||||
symbol == candidate_symbol && *value > 0.0
|
||||
}
|
||||
_ => false,
|
||||
}),
|
||||
"{:?}",
|
||||
decision.order_intents
|
||||
);
|
||||
}
|
||||
|
||||
#[test]
|
||||
fn platform_buy_rejection_allows_lower_limit_buy_when_ask_is_available() {
|
||||
let date = d(2025, 4, 7);
|
||||
|
||||
Reference in New Issue
Block a user