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修正AiQuant固定现金调仓预算

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This commit is contained in:
boris
2026-07-01 14:32:52 +08:00
parent 6b1afc975e
commit 9f188f6313
1 changed files with 34 additions and 21 deletions
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crates/fidc-core/src/platform_expr_strategy.rs
+24 -11
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@@ -7970,7 +7970,11 @@ impl Strategy for PlatformExprStrategy {
if !self.config.aiquant_transaction_cost { if !self.config.aiquant_transaction_cost {
aiquant_available_cash = projected.cash(); aiquant_available_cash = projected.cash();
} }
let fixed_buy_cash = aiquant_total_value * trading_ratio / selection_limit as f64; let fixed_buy_cash = if self.config.aiquant_transaction_cost {
aiquant_available_cash * trading_ratio / selection_limit as f64
} else {
aiquant_total_value * trading_ratio / selection_limit as f64
};
let target_budget = aiquant_total_value * trading_ratio; let target_budget = aiquant_total_value * trading_ratio;
let mut rebalance_working_symbols = slot_working_symbols.clone(); let mut rebalance_working_symbols = slot_working_symbols.clone();
if self.config.release_slot_on_exit_signal { if self.config.release_slot_on_exit_signal {
@@ -8052,6 +8056,9 @@ impl Strategy for PlatformExprStrategy {
{ {
continue; continue;
} }
let target_cash = if self.config.aiquant_transaction_cost {
fixed_buy_cash * stock_scale
} else {
let slot_buy_cash = self.remaining_buy_cash_per_slot( let slot_buy_cash = self.remaining_buy_cash_per_slot(
ctx, ctx,
&projected, &projected,
@@ -8062,7 +8069,8 @@ impl Strategy for PlatformExprStrategy {
&rebalance_value_symbols, &rebalance_value_symbols,
rebalance_pending_buy_value, rebalance_pending_buy_value,
); );
let target_cash = slot_buy_cash * stock_scale; slot_buy_cash * stock_scale
};
let buy_cash = target_cash.min(aiquant_available_cash); let buy_cash = target_cash.min(aiquant_available_cash);
if buy_cash <= 0.0 { if buy_cash <= 0.0 {
break; break;
@@ -18383,14 +18391,14 @@ mod tests {
.count(); .count();
assert_eq!( assert_eq!(
aiquant_periodic_buys, 1, aiquant_periodic_buys, 2,
"{:?}", "{:?}",
aiquant_decision.order_intents aiquant_decision.order_intents
); );
} }
#[test] #[test]
fn platform_aiquant_periodic_rebalance_does_not_reuse_same_callback_sell_cash() { fn platform_aiquant_periodic_rebalance_uses_cash_divided_by_top_n_buy_budget() {
let prev_date = d(2025, 5, 13); let prev_date = d(2025, 5, 13);
let date = d(2025, 5, 14); let date = d(2025, 5, 14);
let retained_symbols = (1..=17) let retained_symbols = (1..=17)
@@ -18580,13 +18588,18 @@ mod tests {
"{:?}", "{:?}",
decision.order_intents decision.order_intents
); );
assert_eq!(periodic_buys, 2, "{:?}", decision.order_intents); assert_eq!(
periodic_buys,
new_symbols.len(),
"{:?}",
decision.order_intents
);
assert!( assert!(
!decision.order_intents.iter().any(|intent| matches!( decision.order_intents.iter().all(|intent| match intent {
intent, OrderIntent::Value { value, reason, .. } if reason == "periodic_rebalance_buy" =>
OrderIntent::Value { symbol, reason, .. } (*value - 6_500.0).abs() < 1e-6,
if symbol == &new_symbols[2] && reason == "periodic_rebalance_buy" _ => true,
)), }),
"{:?}", "{:?}",
decision.order_intents decision.order_intents
); );
@@ -18742,7 +18755,7 @@ mod tests {
reason, reason,
} if symbol == "000002.SZ" } if symbol == "000002.SZ"
&& reason == "periodic_rebalance_buy" && reason == "periodic_rebalance_buy"
&& (*value - 10_000.0).abs() < 1e-6 && (*value - 5_000.0).abs() < 1e-6
)), )),
"{:?}", "{:?}",
decision.order_intents decision.order_intents