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修复AiQuant止损调仓顺序语义

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This commit is contained in:
boris
2026-07-07 22:11:54 +08:00
parent 6d86eab021
commit a50e59ab1d
1 changed files with 83 additions and 103 deletions
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crates/fidc-core/src/platform_expr_strategy.rs
+65 -85
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@@ -7899,8 +7899,6 @@ impl Strategy for PlatformExprStrategy {
let mut intraday_attempted_buys = BTreeSet::<String>::new();
let mut delayed_sold_symbols = BTreeSet::<String>::new();
let mut unresolved_stop_loss_symbols = BTreeSet::<String>::new();
let mut unsellable_stop_take_attempted_symbols = BTreeSet::<String>::new();
let mut pre_detected_stop_take_exit_symbols = BTreeSet::<String>::new();
let mut pending_risk_level_forced_exit_symbols = BTreeSet::<String>::new();
let delayed_limit_exit_time = self
.config
@@ -8229,31 +8227,8 @@ impl Strategy for PlatformExprStrategy {
pending_risk_level_forced_exit_symbols.insert(position.symbol.clone());
continue;
}
let (stop_hit, profit_hit) =
self.stop_take_action_for_position(ctx, signal_date, &day, position)?;
let can_sell = defer_execution_risk
|| self.can_sell_position(ctx, execution_date, &position.symbol);
if stop_hit || profit_hit {
if can_sell {
pre_detected_stop_take_exit_symbols.insert(position.symbol.clone());
} else {
let reason = if stop_hit {
"stop_loss_exit"
} else {
"take_profit_exit"
};
order_intents.push(OrderIntent::TargetValue {
symbol: position.symbol.clone(),
target_value: 0.0,
reason: reason.to_string(),
});
unsellable_stop_take_attempted_symbols.insert(position.symbol.clone());
if stop_hit {
unresolved_stop_loss_symbols.insert(position.symbol.clone());
}
}
continue;
}
if !can_sell {
continue;
}
@@ -8336,9 +8311,6 @@ impl Strategy for PlatformExprStrategy {
if pending_full_close_symbols.contains(&position.symbol) {
continue;
}
if pre_detected_stop_take_exit_symbols.contains(&position.symbol) {
continue;
}
let current_value = self.projected_position_value_at_execution_price(
ctx,
&projected,
@@ -8373,13 +8345,6 @@ impl Strategy for PlatformExprStrategy {
.map(|projected_position| projected_position.quantity)
.unwrap_or(0);
let quantity_delta = after_qty as i32 - before_qty as i32;
if quantity_delta > 0
&& self.config.daily_top_up_enabled
&& (unsellable_stop_take_attempted_symbols.contains(&position.symbol)
|| unresolved_stop_loss_symbols.contains(&position.symbol))
{
continue;
}
if self
.config
.weak_market_shrink_overweight_threshold
@@ -8429,11 +8394,6 @@ impl Strategy for PlatformExprStrategy {
let can_sell = defer_execution_risk
|| self.can_sell_position(ctx, execution_date, &position.symbol);
if stop_hit {
if unsellable_stop_take_attempted_symbols.contains(&position.symbol) {
continue;
}
self.pending_full_close_symbols
.insert(position.symbol.clone());
exit_symbols.insert(position.symbol.clone());
order_intents.push(OrderIntent::TargetValue {
symbol: position.symbol.clone(),
@@ -8441,6 +8401,7 @@ impl Strategy for PlatformExprStrategy {
reason: "stop_loss_exit".to_string(),
});
self.forget_position_entry_date(&position.symbol);
slot_working_symbols.remove(&position.symbol);
if can_sell {
if self
.project_target_zero(
@@ -8454,7 +8415,6 @@ impl Strategy for PlatformExprStrategy {
&& Self::projected_position_is_flat(&projected, &position.symbol)
{
same_day_sold_symbols.insert(position.symbol.clone());
slot_working_symbols.remove(&position.symbol);
self.pending_full_close_symbols.remove(&position.symbol);
}
} else {
@@ -8464,11 +8424,6 @@ impl Strategy for PlatformExprStrategy {
}
if profit_hit {
if unsellable_stop_take_attempted_symbols.contains(&position.symbol) {
continue;
}
self.pending_full_close_symbols
.insert(position.symbol.clone());
exit_symbols.insert(position.symbol.clone());
order_intents.push(OrderIntent::TargetValue {
symbol: position.symbol.clone(),
@@ -8476,6 +8431,7 @@ impl Strategy for PlatformExprStrategy {
reason: "take_profit_exit".to_string(),
});
self.forget_position_entry_date(&position.symbol);
slot_working_symbols.remove(&position.symbol);
if can_sell
&& self
.project_target_zero(
@@ -8489,7 +8445,6 @@ impl Strategy for PlatformExprStrategy {
&& Self::projected_position_is_flat(&projected, &position.symbol)
{
same_day_sold_symbols.insert(position.symbol.clone());
slot_working_symbols.remove(&position.symbol);
self.pending_full_close_symbols.remove(&position.symbol);
}
}
@@ -12933,7 +12888,7 @@ mod tests {
}
#[test]
fn platform_pending_full_close_carries_after_partial_stop_loss() {
fn platform_stop_loss_does_not_carry_synthetic_pending_full_close() {
let prev_date = d(2025, 1, 6);
let first_date = d(2025, 1, 7);
let second_date = d(2025, 1, 8);
@@ -13067,7 +13022,7 @@ mod tests {
OrderIntent::TargetValue { symbol: intent_symbol, target_value, reason }
if intent_symbol == symbol && *target_value == 0.0 && reason == "stop_loss_exit"
)));
assert!(strategy.pending_full_close_symbols.contains(symbol));
assert!(!strategy.pending_full_close_symbols.contains(symbol));
let mut second_portfolio = PortfolioState::new(1_000_000.0);
second_portfolio
@@ -13090,16 +13045,11 @@ mod tests {
fills: &[],
};
let second_decision = strategy.on_day(&second_ctx).expect("second decision");
assert!(second_decision.order_intents.iter().any(|intent| matches!(
assert!(!second_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 == "pending_full_close_exit"
)));
assert!(!second_decision.order_intents.iter().any(|intent| matches!(
intent,
OrderIntent::Shares { symbol: intent_symbol, quantity, reason }
if intent_symbol == symbol && *quantity > 0 && reason == "daily_position_target_adjust"
)));
assert!(!strategy.pending_full_close_symbols.contains(symbol));
}
@@ -19890,7 +19840,7 @@ mod tests {
}
#[test]
fn platform_weak_market_skips_positive_adjust_for_stop_loss_position() {
fn platform_weak_market_adjusts_before_stop_loss_position() {
let prev_date = d(2025, 2, 2);
let date = d(2025, 2, 3);
let symbols = ["000001.SZ", "000002.SZ"];
@@ -20030,7 +19980,7 @@ mod tests {
})
.expect("stop-loss exit");
assert!(
!decision.order_intents[..stop_loss_index]
decision.order_intents[..stop_loss_index]
.iter()
.any(|intent| matches!(
intent,
@@ -20041,17 +19991,19 @@ mod tests {
} if symbol == "000001.SZ"
&& reason == "daily_position_target_adjust"
&& *quantity > 0
))
)),
"{:?}",
decision.order_intents
);
assert!(!decision.order_intents.iter().any(|intent| matches!(
assert!(decision.order_intents.iter().any(|intent| matches!(
intent,
OrderIntent::Value { symbol, reason, .. } | OrderIntent::Shares { symbol, reason, .. }
if symbol == "000001.SZ" && reason == "daily_top_up_buy"
OrderIntent::Value { symbol, reason, .. }
if symbol == "000002.SZ" && reason == "daily_top_up_buy"
)));
}
#[test]
fn platform_weak_market_skips_positive_adjust_when_stop_loss_sell_blocked() {
fn platform_weak_market_adjusts_before_lower_limit_blocked_stop_loss() {
let prev_date = d(2025, 2, 2);
let date = d(2025, 2, 3);
let symbols = ["000001.SZ", "000002.SZ"];
@@ -20176,8 +20128,24 @@ mod tests {
let decision = strategy.on_day(&ctx).expect("platform decision");
let stop_loss_index = decision
.order_intents
.iter()
.position(|intent| {
matches!(
intent,
OrderIntent::TargetValue {
symbol,
target_value,
reason,
} if symbol == "000001.SZ" && *target_value == 0.0 && reason == "stop_loss_exit"
)
})
.expect("stop-loss exit");
assert!(
!decision.order_intents.iter().any(|intent| matches!(
decision.order_intents[..stop_loss_index]
.iter()
.any(|intent| matches!(
intent,
OrderIntent::Shares {
symbol,
@@ -20192,16 +20160,13 @@ mod tests {
);
assert!(decision.order_intents.iter().any(|intent| matches!(
intent,
OrderIntent::TargetValue {
symbol,
target_value,
reason,
} if symbol == "000001.SZ" && *target_value == 0.0 && reason == "stop_loss_exit"
OrderIntent::Value { symbol, reason, .. }
if symbol == "000002.SZ" && reason == "daily_top_up_buy"
)));
}
#[test]
fn platform_weak_market_skips_positive_adjust_when_intraday_stop_loss_sell_blocked() {
fn platform_weak_market_adjusts_before_intraday_stop_loss_sell_blocked() {
let prev_date = d(2025, 2, 2);
let date = d(2025, 2, 3);
let symbols = ["000001.SZ", "000002.SZ"];
@@ -20345,8 +20310,24 @@ mod tests {
let decision = strategy.on_day(&ctx).expect("platform decision");
let stop_loss_index = decision
.order_intents
.iter()
.position(|intent| {
matches!(
intent,
OrderIntent::TargetValue {
symbol,
target_value,
reason,
} if symbol == "000001.SZ" && *target_value == 0.0 && reason == "stop_loss_exit"
)
})
.expect("stop-loss exit");
assert!(
!decision.order_intents.iter().any(|intent| matches!(
decision.order_intents[..stop_loss_index]
.iter()
.any(|intent| matches!(
intent,
OrderIntent::Shares {
symbol,
@@ -20361,11 +20342,8 @@ mod tests {
);
assert!(decision.order_intents.iter().any(|intent| matches!(
intent,
OrderIntent::TargetValue {
symbol,
target_value,
reason,
} if symbol == "000001.SZ" && *target_value == 0.0 && reason == "stop_loss_exit"
OrderIntent::Value { symbol, reason, .. }
if symbol == "000002.SZ" && reason == "daily_top_up_buy"
)));
}
@@ -21702,7 +21680,7 @@ mod tests {
}
#[test]
fn platform_daily_top_up_keeps_unsellable_stop_loss_in_target_count() {
fn platform_daily_top_up_releases_unsellable_stop_loss_slot() {
let prev_date = d(2026, 3, 31);
let date = d(2026, 4, 1);
let symbols = ["000001.SZ", "000002.SZ", "000003.SZ"];
@@ -21843,17 +21821,18 @@ mod tests {
decision.order_intents
);
assert!(
!decision
.order_intents
.iter()
.any(|intent| matches!(intent, OrderIntent::Value { .. })),
decision.order_intents.iter().any(|intent| matches!(
intent,
OrderIntent::Value { symbol, reason, .. }
if symbol == "000003.SZ" && reason == "daily_top_up_buy"
)),
"{:?}",
decision.order_intents
);
}
#[test]
fn platform_daily_top_up_does_not_release_unsellable_exit_signal_slot() {
fn platform_daily_top_up_release_slot_flag_matches_aiquant_exit_signal_state() {
let prev_date = d(2026, 3, 31);
let date = d(2026, 4, 1);
let symbols = ["000001.SZ", "000002.SZ", "000003.SZ"];
@@ -21995,10 +21974,11 @@ mod tests {
decision.order_intents
);
assert!(
!decision
.order_intents
.iter()
.any(|intent| matches!(intent, OrderIntent::Value { .. })),
decision.order_intents.iter().any(|intent| matches!(
intent,
OrderIntent::Value { symbol, reason, .. }
if symbol == "000003.SZ" && reason == "daily_top_up_buy"
)),
"{:?}",
decision.order_intents
);