zsb/fidc-backtest-engine
1
0
Fork 0
Code Issues Pull Requests Packages Projects Releases Wiki Activity

修正AiQuant固定现金调仓预算

Browse Source
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
Download Patch File Download Diff File Expand all files Collapse all files
crates/fidc-core/src/platform_expr_strategy.rs
+24 -11
View File
@@ -7970,7 +7970,11 @@ impl Strategy for PlatformExprStrategy {
if !self.config.aiquant_transaction_cost {
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 mut rebalance_working_symbols = slot_working_symbols.clone();
if self.config.release_slot_on_exit_signal {
@@ -8052,6 +8056,9 @@ impl Strategy for PlatformExprStrategy {
{
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(
ctx,
&projected,
@@ -8062,7 +8069,8 @@ impl Strategy for PlatformExprStrategy {
&rebalance_value_symbols,
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);
if buy_cash <= 0.0 {
break;
@@ -18383,14 +18391,14 @@ mod tests {
.count();
assert_eq!(
aiquant_periodic_buys, 1,
aiquant_periodic_buys, 2,
"{:?}",
aiquant_decision.order_intents
);
}
#[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 date = d(2025, 5, 14);
let retained_symbols = (1..=17)
@@ -18580,13 +18588,18 @@ mod tests {
"{:?}",
decision.order_intents
);
assert_eq!(periodic_buys, 2, "{:?}", decision.order_intents);
assert_eq!(
periodic_buys,
new_symbols.len(),
"{:?}",
decision.order_intents
);
assert!(
!decision.order_intents.iter().any(|intent| matches!(
intent,
OrderIntent::Value { symbol, reason, .. }
if symbol == &new_symbols[2] && reason == "periodic_rebalance_buy"
)),
decision.order_intents.iter().all(|intent| match intent {
OrderIntent::Value { value, reason, .. } if reason == "periodic_rebalance_buy" =>
(*value - 6_500.0).abs() < 1e-6,
_ => true,
}),
"{:?}",
decision.order_intents
);
@@ -18742,7 +18755,7 @@ mod tests {
reason,
} if symbol == "000002.SZ"
&& reason == "periodic_rebalance_buy"
&& (*value - 10_000.0).abs() < 1e-6
&& (*value - 5_000.0).abs() < 1e-6
)),
"{:?}",
decision.order_intents