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修正AiQuant兼容回测语义

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This commit is contained in:
boris
2026-06-23 09:25:12 +08:00
parent c83526a6a4
commit ad405d130e
2 changed files with 251 additions and 6 deletions
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crates/fidc-core/src/platform_expr_strategy.rs
+203
View File
@@ -18101,6 +18101,209 @@ mod tests {
);
}
#[test]
fn platform_aiquant_periodic_rebalance_does_not_reuse_same_callback_sell_cash() {
let prev_date = d(2025, 5, 13);
let date = d(2025, 5, 14);
let retained_symbols = (1..=17)
.map(|index| format!("000{index:03}.SZ"))
.collect::<Vec<_>>();
let new_symbols = (18..=40)
.map(|index| format!("000{index:03}.SZ"))
.collect::<Vec<_>>();
let old_symbols = (1..=23)
.map(|index| format!("600{index:03}.SH"))
.collect::<Vec<_>>();
let symbols = retained_symbols
.iter()
.chain(new_symbols.iter())
.chain(old_symbols.iter())
.cloned()
.collect::<Vec<_>>();
let data = DataSet::from_components_with_actions_and_quotes(
symbols
.iter()
.map(|symbol| Instrument {
symbol: symbol.clone(),
name: symbol.clone(),
board: symbol
.rsplit_once('.')
.map(|(_, suffix)| suffix.to_string())
.unwrap_or_else(|| "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.clone(),
timestamp: Some("2025-05-14 10:18:00".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,
tick_volume: 10_000,
bid1_volume: 2_000,
ask1_volume: 2_000,
trading_phase: Some("continuous".to_string()),
paused: false,
upper_limit: 11.0,
lower_limit: 9.0,
price_tick: 0.01,
})
.collect(),
symbols
.iter()
.enumerate()
.map(|(index, symbol)| DailyFactorSnapshot {
date,
symbol: symbol.clone(),
market_cap_bn: if old_symbols.contains(symbol) {
100.0 + index as f64
} else {
1.0 + index as f64
},
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.clone(),
is_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()
.map(|symbol| IntradayExecutionQuote {
date,
symbol: symbol.clone(),
timestamp: date.and_hms_opt(10, 18, 0).expect("valid timestamp"),
last_price: 10.0,
bid1: 10.0,
ask1: 10.0,
bid1_volume: 10_000,
ask1_volume: 10_000,
volume_delta: 10_000,
amount_delta: 100_000.0,
trading_phase: Some("continuous".to_string()),
})
.collect(),
)
.expect("dataset");
let mut portfolio = PortfolioState::new(260_000.0);
for symbol in retained_symbols.iter().chain(old_symbols.iter()) {
portfolio.position_mut(symbol).buy(prev_date, 12_000, 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 = "000001.SZ".to_string();
cfg.refresh_rate = 20;
cfg.max_positions = 40;
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 = "40".to_string();
cfg.stock_filter_expr = "close > 0".to_string();
cfg.take_profit_expr.clear();
cfg.stop_loss_expr.clear();
cfg.daily_top_up_enabled = true;
cfg.release_slot_on_exit_signal = true;
cfg.aiquant_transaction_cost = true;
cfg.strict_value_budget = true;
cfg.intraday_execution_time = Some(NaiveTime::from_hms_opt(10, 18, 0).unwrap());
let mut strategy = PlatformExprStrategy::new(cfg);
strategy.rebalance_day_counter = 20;
let decision = strategy.on_day(&ctx).expect("platform decision");
let periodic_sells = decision
.order_intents
.iter()
.filter(|intent| {
matches!(
intent,
OrderIntent::TargetValue { reason, .. } if reason == "periodic_rebalance_sell"
)
})
.count();
let periodic_buys = decision
.order_intents
.iter()
.filter(|intent| {
matches!(
intent,
OrderIntent::Value { reason, .. } if reason == "periodic_rebalance_buy"
)
})
.count();
assert_eq!(
periodic_sells,
old_symbols.len(),
"{:?}",
decision.order_intents
);
assert_eq!(periodic_buys, 2, "{:?}", decision.order_intents);
assert!(
!decision.order_intents.iter().any(|intent| matches!(
intent,
OrderIntent::Value { symbol, reason, .. }
if symbol == &new_symbols[2] && reason == "periodic_rebalance_buy"
)),
"{:?}",
decision.order_intents
);
}
#[test]
fn platform_periodic_rebalance_caps_empty_slot_to_equal_weight_target() {
let prev_date = d(2025, 5, 13);
crates/fidc-core/src/platform_strategy_spec.rs
+47 -5
View File
@@ -96,6 +96,10 @@ pub struct StrategyEngineConfig {
#[serde(default)]
pub template_id: Option<String>,
#[serde(default)]
pub compatibility_profile: Option<String>,
#[serde(default)]
pub profile_name: Option<String>,
#[serde(default)]
pub benchmark_symbol: Option<String>,
#[serde(default)]
pub signal_symbol: Option<String>,
@@ -389,6 +393,12 @@ fn valid_non_negative(value: Option<f64>) -> Option<f64> {
value.filter(|item| item.is_finite() && *item >= 0.0)
}
fn is_aiquant_compatibility_profile(value: Option<&str>) -> bool {
value
.map(|item| item.trim().to_ascii_lowercase().replace('-', "_"))
.is_some_and(|item| item == "aiquant_rqalpha" || item == "aiquant")
}
fn apply_cost_overrides(
cfg: &mut PlatformExprStrategyConfig,
commission_rate: Option<f64>,
@@ -1101,12 +1111,19 @@ pub fn platform_expr_config_from_spec(
if !cfg.benchmark_symbol.trim().is_empty() {
cfg.benchmark_symbol = normalize_symbol(&cfg.benchmark_symbol, None);
}
let aiquant_compat = spec
.execution
let aiquant_compat = is_aiquant_compatibility_profile(
spec.execution
.as_ref()
.and_then(|execution| execution.compatibility_profile.as_deref())
.map(|value| value.trim().to_ascii_lowercase())
.is_some_and(|value| value == "aiquant_rqalpha" || value == "aiquant");
.and_then(|execution| execution.compatibility_profile.as_deref()),
) || is_aiquant_compatibility_profile(
spec.engine_config
.as_ref()
.and_then(|engine| engine.compatibility_profile.as_deref()),
) || is_aiquant_compatibility_profile(
spec.engine_config
.as_ref()
.and_then(|engine| engine.profile_name.as_deref()),
);
if aiquant_compat {
cfg.aiquant_transaction_cost = true;
let trading = spec
@@ -1756,6 +1773,31 @@ mod tests {
assert!(!cfg.retry_empty_rebalance);
}
#[test]
fn engine_config_aiquant_profile_enables_aiquant_semantics() {
let spec = serde_json::json!({
"engineConfig": {
"compatibilityProfile": "aiquant_rqalpha"
}
});
let cfg = platform_expr_config_from_value("", "", &spec).expect("config");
assert!(cfg.aiquant_transaction_cost);
assert!(cfg.daily_top_up_enabled);
assert!(cfg.retry_empty_rebalance);
let spec = serde_json::json!({
"engineConfig": {
"profileName": "aiquant-rqalpha"
}
});
let cfg = platform_expr_config_from_value("", "", &spec).expect("config");
assert!(cfg.aiquant_transaction_cost);
}
#[test]
fn runtime_expressions_infer_ma_windows_from_literal_strategy_logic() {
let spec = serde_json::json!({