diff --git a/crates/fidc-core/src/platform_expr_strategy.rs b/crates/fidc-core/src/platform_expr_strategy.rs index adc26d1..15a6dca 100644 --- a/crates/fidc-core/src/platform_expr_strategy.rs +++ b/crates/fidc-core/src/platform_expr_strategy.rs @@ -7885,12 +7885,23 @@ impl PlatformExprStrategy { if position.quantity == 0 || stop_take_base_price <= 0.0 { return Ok((false, false)); } - let stock = match self.stock_state_at_time( - ctx, - signal_date, - symbol, - Some(self.intraday_execution_start_time()), - ) { + let scheduled_time = self.intraday_execution_start_time(); + if self.config.aiquant_transaction_cost + && matches!( + self.config.matching_type, + MatchingType::MinuteLast + | MatchingType::MinuteBestOwn + | MatchingType::MinuteBestCounterparty + | MatchingType::Vwap + | MatchingType::Twap + ) + && self + .aiquant_scheduled_quote_at_time(ctx, signal_date, symbol, Some(scheduled_time)) + .is_none() + { + return Ok((false, false)); + } + let stock = match self.stock_state_at_time(ctx, signal_date, symbol, Some(scheduled_time)) { Ok(stock) => stock, Err(BacktestError::Data(crate::data::DataSetError::MissingSnapshot { .. })) => { return Ok((false, false)); @@ -13264,6 +13275,123 @@ mod tests { ); } + #[test] + fn platform_aiquant_minute_stop_loss_requires_intraday_quote() { + let prev_date = d(2025, 3, 13); + let date = d(2025, 3, 14); + let symbol = "301076.SZ"; + let data = DataSet::from_components( + vec![Instrument { + symbol: symbol.to_string(), + name: symbol.to_string(), + board: "SZ".to_string(), + round_lot: 100, + listed_at: Some(d(2020, 1, 1)), + delisted_at: None, + status: "active".to_string(), + }], + vec![DailyMarketSnapshot { + date, + symbol: symbol.to_string(), + timestamp: None, + day_open: 9.30, + open: 9.30, + high: 9.35, + low: 9.18, + close: 9.10, + last_price: 9.10, + bid1: 9.10, + ask1: 9.11, + prev_close: 10.00, + volume: 1_000_000, + minute_volume: 0, + bid1_volume: 0, + ask1_volume: 0, + trading_phase: None, + paused: false, + upper_limit: 11.00, + lower_limit: 9.00, + price_tick: 0.01, + }], + vec![DailyFactorSnapshot { + date, + symbol: symbol.to_string(), + market_cap_bn: 3.2, + free_float_cap_bn: 2.1, + pe_ttm: 8.0, + turnover_ratio: Some(3.0), + effective_turnover_ratio: Some(3.0), + extra_factors: BTreeMap::new(), + }], + vec![CandidateEligibility { + date, + symbol: symbol.to_string(), + is_st: false, + is_star_st: false, + is_new_listing: false, + is_paused: false, + allow_buy: true, + allow_sell: true, + is_kcb: false, + is_one_yuan: false, + risk_level_code: None, + }], + vec![BenchmarkSnapshot { + date, + benchmark: "000852.SH".to_string(), + open: 1000.0, + close: 1002.0, + prev_close: 998.0, + volume: 1_000_000, + }], + ) + .expect("dataset"); + let mut portfolio = PortfolioState::new(1_000_000.0); + portfolio.position_mut(symbol).buy(prev_date, 100, 10.0); + + let subscriptions = BTreeSet::new(); + let ctx = StrategyContext { + execution_date: date, + decision_date: date, + decision_index: 40, + 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.rotation_enabled = false; + cfg.aiquant_transaction_cost = true; + cfg.matching_type = MatchingType::MinuteLast; + cfg.intraday_execution_time = Some(NaiveTime::from_hms_opt(10, 18, 0).expect("time")); + cfg.signal_symbol = symbol.to_string(); + cfg.stop_loss_expr = "0.92".to_string(); + cfg.take_profit_expr.clear(); + let mut strategy = PlatformExprStrategy::new(cfg); + + let decision = strategy.on_day(&ctx).expect("platform decision"); + + assert!( + !decision.order_intents.iter().any(|intent| matches!( + intent, + OrderIntent::TargetValue { + symbol: intent_symbol, + target_value, + reason, + } if intent_symbol == symbol && *target_value == 0.0 && reason == "stop_loss_exit" + )), + "{:?}", + decision.order_intents + ); + } + #[test] fn platform_stop_loss_residual_pending_rechecks_signal_next_day() { let prev_date = d(2025, 1, 6);