统一仓位调整时点并保留策略择时与退出意图

2026-09-13 11:05:12 +08:00
parent f73513e2d4
commit b19108558f
7 changed files with 492 additions and 9 deletions
@@ -628,6 +628,37 @@ fn parsed_pool_program_executes_daily_membership_changes_without_legacy_translat
    }
 }

+#[test]
+fn pool_position_adjustments_use_execution_clock_and_restore_original_twenty_percent() {
+    for timed in [false,true] {
+        let program=StockPoolProgram { schema_version:1,pool_id:"position-clock".into(),version_id:"v1".into(),
+            members:contract(day(2),1,false).members,exit_signals:vec![],
+            allocation_policy:serde_json::json!({"target_holding_count":1,"invest_ratio_bps":2000,"portfolio_policy":{"schema_version":1,"membership":"follow_candidates","rebalance_weights":true}}),
+            timing_policy:serde_json::json!({"auto_execute":true,"pricing_mode":"first_tick"}),stop_take_policy:serde_json::json!({}),out_of_pool_policy:"hold".into() };
+        let risk=if timed {serde_json::json!({"positionExposureEvents":[
+            {"eventId":"zero","sequence":1,"effectiveAt":"2026-01-05T09:30:00+08:00","action":"set","targetExposureBps":0},
+            {"eventId":"restore","sequence":2,"effectiveAt":"2026-01-06T09:30:00+08:00","action":"restore"}
+        ]})}else{serde_json::json!({"positionExposureSchedule":[{"effectiveDate":"2026-01-05","targetExposureBps":1000}]})};
+        let mut config=platform_expr_config_from_value("position-clock",&code(1),&serde_json::json!({
+            "stockPool":program,"signalSymbol":code(1),"benchmark":{"instrumentId":"000300.SH"},"universe":{"include":[code(1),code(2)]},
+            "runtimeExpressions":{"risk":risk}
+        })).unwrap();
+        config.market_cap_field="close".into();config.market_cap_lower_expr="0".into();config.market_cap_upper_expr="1.0e12".into();
+        config.stock_filter_expr="true".into();config.selection_limit_expr="1".into();config.selection_candidate_limit_expr="2".into();config.rank_expr="0".into();
+        config.matching_type=MatchingType::NextBarOpen;
+        let result=BacktestEngine::new(data(false),PlatformExprStrategy::new(config),broker(false),BacktestConfig {
+            // The raw engine retains its first signal day as a cash baseline;
+            // Jan 2's signal executes Jan 5, across the fixture weekend.
+            initial_cash:30000.,benchmark_code:"000300.SH".into(),start_date:Some(day(2)),end_date:Some(day(6)),
+            decision_lag_trading_days:1,execution_price_field:PriceField::Open,
+        }).run().unwrap();
+        assert_eq!(result.fills.len(),1,"timed={timed}, fills={:?}",result.fills);
+        assert_eq!(result.fills[0].symbol,code(1));
+        assert_eq!(result.fills[0].quantity,if timed {300}else{100});
+        assert_eq!(result.fills[0].date,if timed {day(6)}else{day(5)});
+    }
+}
+
 #[test]
 fn parsed_typed_exit_program_keeps_ordinary_gates_and_independent_risk_targets_separate() {
    for (ordinary, risk, quote, sold) in [