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补充分钟买入投影调试信息

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boris
2026-07-06 07:26:20 +08:00
parent 3e3bebf3e0
commit a3415095a7
1 changed files with 61 additions and 2 deletions
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crates/fidc-core/src/platform_expr_strategy.rs
+61 -2
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@@ -8687,7 +8687,18 @@ impl Strategy for PlatformExprStrategy {
let market = ctx.data.market(projection_date, symbol);
let candidate = ctx.data.candidate(projection_date, symbol);
let factor = ctx.data.factor(selection_factor_date, symbol);
let quote_count = ctx.data.execution_quotes_on(projection_date, symbol).len();
let quotes = ctx.data.execution_quotes_on(projection_date, symbol);
let quote_count = quotes.len();
let quote_cursor = self.projected_execution_start_cursor(
ctx,
projection_date,
symbol,
&projected_execution_state,
);
let latest_quote = quotes
.iter()
.filter(|quote| quote.timestamp <= quote_cursor)
.max_by_key(|quote| quote.timestamp);
let sizing_price = market.map(|market| {
let raw = if self.config.aiquant_transaction_cost {
self.aiquant_scheduled_last_price(ctx, projection_date, symbol)
@@ -8699,8 +8710,35 @@ impl Strategy for PlatformExprStrategy {
};
self.projected_apply_slippage(market, OrderSide::Buy, raw, None)
});
let projected_qty = sizing_price
.map(|price| {
self.value_buy_quantity(
buy_cash,
price,
self.projected_minimum_order_quantity(ctx, symbol),
self.projected_order_step_size(ctx, symbol),
)
})
.unwrap_or_default();
let fillable_qty = market
.and_then(|market| {
self.projected_market_fillable_quantity(
market,
latest_quote,
symbol,
OrderSide::Buy,
projected_qty,
self.projected_round_lot(ctx, symbol),
self.projected_minimum_order_quantity(ctx, symbol),
self.projected_order_step_size(ctx, symbol),
false,
0,
&projected_execution_state,
)
})
.unwrap_or_default();
projection_debug_notes.push(format!(
"periodic_buy_project_zero symbol={} buy_cash={:.4} target_cash={:.4} available_cash={:.4} projection_date={} execution_date={} market={} factor={} candidate={} has_day_quotes={} quote_count={} sizing_price={:.4} market_volume={} minute_volume={} paused={} allow_buy={} is_kcb={} upper_limit={:.4} lower_limit={:.4}",
"periodic_buy_project_zero symbol={} buy_cash={:.4} target_cash={:.4} available_cash={:.4} projection_date={} execution_date={} market={} factor={} candidate={} has_day_quotes={} quote_count={} quote_cursor={} quote_ts={} quote_last={:.4} quote_volume_delta={} quote_bid1_volume={} quote_ask1_volume={} sizing_price={:.4} projected_qty={} fillable_qty={} quote_quantity_limit={} volume_limit={} liquidity_limit={} volume_percent={:.4} market_volume={} minute_volume={} paused={} allow_buy={} is_kcb={} upper_limit={:.4} lower_limit={:.4}",
symbol,
buy_cash,
target_cash,
@@ -8712,7 +8750,28 @@ impl Strategy for PlatformExprStrategy {
candidate.is_some(),
ctx.data.has_execution_quotes_on_date(projection_date),
quote_count,
quote_cursor,
latest_quote
.map(|quote| quote.timestamp.to_string())
.unwrap_or_else(|| "-".to_string()),
latest_quote
.map(|quote| quote.last_price)
.unwrap_or(f64::NAN),
latest_quote
.map(|quote| quote.volume_delta)
.unwrap_or_default(),
latest_quote.map(|quote| quote.bid1_volume).unwrap_or_default(),
latest_quote.map(|quote| quote.ask1_volume).unwrap_or_default(),
sizing_price.unwrap_or(f64::NAN),
projected_qty,
fillable_qty,
self.config.quote_quantity_limit,
self.config.risk_config.trading_constraints.volume_limit_enabled,
self.config
.risk_config
.trading_constraints
.liquidity_limit_enabled,
self.config.risk_config.trading_constraints.volume_percent,
market.map(|item| item.volume).unwrap_or(0),
market.map(|item| item.minute_volume).unwrap_or(0),
market.map(|item| item.paused).unwrap_or(false),