From a562a8e2ed0349e5f7511db323fc544ec6dc3fa3 Mon Sep 17 00:00:00 2001 From: boris Date: Wed, 8 Jul 2026 04:38:21 +0800 Subject: [PATCH] =?UTF-8?q?=E4=BF=AE=E6=AD=A3=E5=BB=B6=E8=BF=9F=E6=97=A5?= =?UTF-8?q?=E5=BE=85=E6=B8=85=E4=BB=93=E8=A1=A5=E4=BB=93=E6=A7=BD=E4=BD=8D?= MIME-Version: 1.0 Content-Type: text/plain; charset=UTF-8 Content-Transfer-Encoding: 8bit --- .../fidc-core/src/platform_expr_strategy.rs | 261 ++++++++++++++++++ 1 file changed, 261 insertions(+) diff --git a/crates/fidc-core/src/platform_expr_strategy.rs b/crates/fidc-core/src/platform_expr_strategy.rs index 441b6f7..c24fe49 100644 --- a/crates/fidc-core/src/platform_expr_strategy.rs +++ b/crates/fidc-core/src/platform_expr_strategy.rs @@ -8780,6 +8780,37 @@ impl Strategy for PlatformExprStrategy { } else if stop_hit { unresolved_stop_loss_symbols.insert(position.symbol.clone()); } + if daily_top_up_active { + self.try_daily_top_up_at_position( + ctx, + &day, + &stock_list, + decision_date, + execution_date, + projection_date, + selection_factor_date, + signal_date, + daily_top_up_target_budget, + selection_limit, + defer_execution_risk, + Some(position.symbol.as_str()), + &mut projected, + &mut projected_execution_state, + &mut order_intents, + &mut aiquant_available_cash, + &mut slot_working_symbols, + &mut same_bar_buy_symbols, + &pending_full_close_symbols, + &slot_blocking_symbols, + &same_day_sold_symbols, + &exit_symbols, + &delayed_sold_symbols, + &mut intraday_attempted_buys, + &mut daily_top_up_pending_buy_value, + debug_daily_top_up, + &mut daily_top_up_debug_notes, + )?; + } continue; } } @@ -23081,6 +23112,236 @@ mod tests { ); } + #[test] + fn platform_delayed_open_day_carried_full_close_releases_second_top_up_slot() { + let prev_date = d(2025, 5, 19); + let date = d(2025, 5, 20); + let buy_first = "000001.SZ"; + let buy_second = "000002.SZ"; + let delayed_symbol = "000100.SZ"; + let take_profit_before = "000101.SZ"; + let carried_full_close = "000102.SZ"; + let keep_after = "000103.SZ"; + let symbols = [ + buy_first, + buy_second, + delayed_symbol, + take_profit_before, + carried_full_close, + keep_after, + ]; + let data = DataSet::from_components_with_actions_and_quotes( + symbols + .iter() + .map(|symbol| 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(), + }) + .collect(), + symbols + .iter() + .map(|symbol| DailyMarketSnapshot { + date, + symbol: (*symbol).to_string(), + timestamp: Some("2025-05-20 10:18:00".to_string()), + day_open: 10.0, + open: 10.0, + high: 11.0, + low: 9.0, + close: 10.0, + last_price: 10.0, + bid1: 10.0, + ask1: 10.0, + prev_close: 10.0, + volume: 1_000_000, + minute_volume: 20_000, + bid1_volume: 20_000, + ask1_volume: 20_000, + trading_phase: Some("continuous".to_string()), + paused: false, + upper_limit: 11.0, + lower_limit: 9.0, + price_tick: 0.01, + }) + .collect(), + symbols + .iter() + .map(|symbol| DailyFactorSnapshot { + date, + symbol: (*symbol).to_string(), + market_cap_bn: match *symbol { + s if s == buy_first => 1.0, + s if s == buy_second => 2.0, + s if s == take_profit_before => 3.0, + s if s == keep_after => 4.0, + s if s == delayed_symbol => 5.0, + _ => 100.0, + }, + free_float_cap_bn: 10.0, + pe_ttm: 8.0, + turnover_ratio: Some(1.0), + effective_turnover_ratio: Some(1.0), + extra_factors: BTreeMap::new(), + }) + .collect(), + symbols + .iter() + .map(|symbol| 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, + }) + .collect(), + vec![BenchmarkSnapshot { + date, + benchmark: "000852.SH".to_string(), + open: 1000.0, + close: 1002.0, + prev_close: 998.0, + volume: 1_000_000, + }], + Vec::new(), + symbols + .iter() + .flat_map(|symbol| { + let mut quotes = Vec::new(); + if *symbol == delayed_symbol { + quotes.push(IntradayExecutionQuote { + date, + symbol: (*symbol).to_string(), + timestamp: date.and_hms_opt(9, 31, 0).expect("valid timestamp"), + last_price: 10.5, + bid1: 10.5, + ask1: 10.51, + bid1_volume: 20_000, + ask1_volume: 20_000, + volume_delta: 20_000, + amount_delta: 210_000.0, + trading_phase: Some("continuous".to_string()), + }); + } + quotes.push(IntradayExecutionQuote { + date, + symbol: (*symbol).to_string(), + timestamp: date.and_hms_opt(10, 18, 0).expect("valid timestamp"), + last_price: 10.0, + bid1: 10.0, + ask1: 10.01, + bid1_volume: 20_000, + ask1_volume: 20_000, + volume_delta: 20_000, + amount_delta: 200_000.0, + trading_phase: Some("continuous".to_string()), + }); + quotes + }) + .collect(), + ) + .expect("dataset"); + + let mut portfolio = PortfolioState::new(30_000.0); + portfolio + .position_mut(delayed_symbol) + .buy(prev_date, 100, 10.0); + portfolio + .position_mut(take_profit_before) + .buy(prev_date, 100, 8.0); + portfolio + .position_mut(carried_full_close) + .buy(prev_date, 100, 8.0); + portfolio.position_mut(keep_after).buy(prev_date, 100, 10.0); + let subscriptions = BTreeSet::new(); + let ctx = StrategyContext { + execution_date: date, + decision_date: date, + decision_index: 20, + 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.signal_symbol = delayed_symbol.to_string(); + cfg.refresh_rate = 99; + cfg.max_positions = 4; + cfg.benchmark_short_ma_days = 1; + cfg.benchmark_long_ma_days = 1; + cfg.market_cap_lower_expr = "0".to_string(); + cfg.market_cap_upper_expr = "1000".to_string(); + cfg.selection_limit_expr = "4".to_string(); + cfg.stock_filter_expr = "close > 0".to_string(); + cfg.exposure_expr = "1.0".to_string(); + cfg.stop_loss_expr = "false".to_string(); + cfg.take_profit_expr = "1.1".to_string(); + cfg.daily_top_up_enabled = true; + cfg.release_slot_on_exit_signal = true; + cfg.aiquant_transaction_cost = true; + cfg.intraday_execution_time = Some(NaiveTime::from_hms_opt(10, 18, 0).unwrap()); + cfg.delayed_limit_open_exit_enabled = true; + cfg.delayed_limit_open_exit_time = Some(NaiveTime::from_hms_opt(9, 31, 0).unwrap()); + let mut strategy = PlatformExprStrategy::new(cfg); + strategy.rebalance_day_counter = 2; + strategy + .pending_highlimit_holdings + .insert(delayed_symbol.to_string()); + strategy + .pending_full_close_symbols + .insert(carried_full_close.to_string()); + + let decision = strategy.on_day(&ctx).expect("platform decision"); + let top_up_symbols = decision + .order_intents + .iter() + .filter_map(|intent| match intent { + OrderIntent::Value { symbol, reason, .. } if reason == "daily_top_up_buy" => { + Some(symbol.as_str()) + } + _ => None, + }) + .collect::>(); + + assert!( + decision.order_intents.iter().any(|intent| matches!( + intent, + OrderIntent::TargetValue { + symbol, + target_value, + reason, + } if symbol == carried_full_close + && *target_value == 0.0 + && reason == "pending_full_close_exit" + )), + "{:?}", + decision.order_intents + ); + assert_eq!( + top_up_symbols, + vec![buy_first, buy_second], + "{:?}", + decision.order_intents + ); + } + #[test] fn platform_daily_top_up_releases_unsellable_stop_loss_slot() { let prev_date = d(2026, 3, 31);