修正分钟止损缺少quote误触发

2026-07-08 04:58:56 +08:00
parent 188376b75a
commit a30face86a
1 changed files with 134 additions and 6 deletions
@@ -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);