修复滞后执行卖出资金投影

2026-07-11 23:39:18 +08:00
parent 1953e92b7b
commit ab3c821e59
1 changed files with 121 additions and 1 deletions
@@ -2003,7 +2003,9 @@ impl PlatformExprStrategy {
                execution_time,
            )
            .or_else(|| {
-                if self.config.aiquant_transaction_cost {
+                if self.config.aiquant_transaction_cost
+                    && !Self::defer_projection_execution_risk(ctx, date)
+                {
                    return None;
                }
                if !self.has_execution_quote_at_or_before_at_time(
@@ -26108,6 +26110,124 @@ mod tests {
        assert!(projected.cash() < portfolio.cash());
    }

+    #[test]
+    fn platform_aiquant_sell_projection_uses_signal_day_market_for_lagged_execution() {
+        let previous_date = d(2025, 5, 13);
+        let decision_date = d(2025, 5, 14);
+        let execution_date = d(2025, 5, 15);
+        let symbol = "000003.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: decision_date,
+                symbol: symbol.to_string(),
+                timestamp: Some("2025-05-14 14:59:00".to_string()),
+                day_open: 10.0,
+                open: 10.0,
+                high: 10.5,
+                low: 9.8,
+                close: 10.0,
+                last_price: 10.0,
+                bid1: 10.0,
+                ask1: 10.0,
+                prev_close: 9.9,
+                volume: 1_000_000,
+                minute_volume: 0,
+                bid1_volume: 0,
+                ask1_volume: 0,
+                trading_phase: Some("continuous".to_string()),
+                paused: false,
+                upper_limit: 11.0,
+                lower_limit: 9.0,
+                price_tick: 0.01,
+            }],
+            vec![DailyFactorSnapshot {
+                date: decision_date,
+                symbol: symbol.to_string(),
+                market_cap_bn: 10.0,
+                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(),
+            }],
+            vec![CandidateEligibility {
+                date: decision_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: decision_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_000.0);
+        portfolio
+            .position_mut(symbol)
+            .buy(previous_date, 1_000, 10.0);
+        let subscriptions = BTreeSet::new();
+        let ctx = StrategyContext {
+            execution_date,
+            decision_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.aiquant_transaction_cost = true;
+        let strategy = PlatformExprStrategy::new(cfg);
+        let mut projected = portfolio.clone();
+        let mut execution_state = super::ProjectedExecutionState::default();
+
+        assert!(ctx.is_lagged_execution());
+        assert!(
+            ctx.data
+                .execution_quotes_on(decision_date, symbol)
+                .is_empty()
+        );
+        let filled = strategy.project_target_zero(
+            &ctx,
+            &mut projected,
+            decision_date,
+            symbol,
+            &mut execution_state,
+        );
+
+        assert_eq!(filled, Some(1_000));
+        assert!(projected.position(symbol).is_none());
+        assert!(projected.cash() > portfolio.cash());
+    }
+
    #[test]
    fn platform_projection_does_not_consume_cash_from_unfillable_sell() {
        let prev_date = d(2025, 3, 18);