按需保留股票额外因子状态
This commit is contained in:
boris
@@ -554,6 +554,7 @@ pub struct PlatformExprStrategy {
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compact_stock_filter_expr: String,
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stock_filter_quote_usage: StockFilterQuoteUsage,
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stock_rolling_requirements: StockRollingRequirements,
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stock_extra_factors_required: bool,
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stock_state_cache_date: RefCell<Option<NaiveDate>>,
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stock_state_cache:
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RefCell<HashMap<(NaiveDate, NaiveDate, String, Option<NaiveTime>), StockExpressionState>>,
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@@ -646,6 +647,11 @@ impl PlatformExprStrategy {
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Self::stock_filter_quote_usage_for_expr(&normalized_stock_filter_expr);
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let stock_rolling_requirements =
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Self::stock_rolling_requirements_for_config(&config, &normalized_stock_filter_expr);
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let stock_extra_factors_required = Self::stock_extra_factors_required_for_config(
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&config,
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&normalized_stock_filter_expr,
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&prelude_declared_identifiers,
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);
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Self {
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config,
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engine,
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@@ -663,6 +669,7 @@ impl PlatformExprStrategy {
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compact_stock_filter_expr,
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stock_filter_quote_usage,
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stock_rolling_requirements,
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stock_extra_factors_required,
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stock_state_cache_date: RefCell::new(None),
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stock_state_cache: RefCell::new(HashMap::new()),
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}
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@@ -2461,7 +2468,11 @@ impl PlatformExprStrategy {
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stock_volume_ma20,
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stock_volume_ma60,
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stock_volume_ma100,
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extra_factors: factor.extra_factors.clone(),
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extra_factors: if self.stock_extra_factors_required {
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factor.extra_factors.clone()
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} else {
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BTreeMap::new()
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},
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extra_text_factors: ctx
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.data
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.factor_text_snapshots_on(date)
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@@ -6291,6 +6302,152 @@ impl PlatformExprStrategy {
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requirements
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}
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fn stock_extra_factors_required_for_config(
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config: &PlatformExprStrategyConfig,
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normalized_stock_filter_expr: &str,
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prelude_declared_identifiers: &BTreeSet<String>,
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) -> bool {
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if !config.explicit_actions.is_empty() {
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return true;
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}
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if Self::stock_field_may_use_extra_factors(&config.market_cap_field)
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|| Self::stock_field_may_use_extra_factors(&config.rank_by)
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{
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return true;
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}
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let stock_filter_has_fast_path =
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Self::stock_filter_fast_path_supported(normalized_stock_filter_expr);
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if !stock_filter_has_fast_path
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&& Self::expr_requires_stock_extra_factors(
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&config.stock_filter_expr,
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prelude_declared_identifiers,
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true,
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)
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{
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return true;
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}
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[
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config.buy_scale_expr.as_str(),
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config.stop_loss_expr.as_str(),
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config.take_profit_expr.as_str(),
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config.rank_expr.as_str(),
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]
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.into_iter()
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.any(|expr| {
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Self::expr_requires_stock_extra_factors(expr, prelude_declared_identifiers, true)
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})
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}
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fn expr_requires_stock_extra_factors(
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expr: &str,
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prelude_declared_identifiers: &BTreeSet<String>,
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stock_rolling_helpers_require_extra: bool,
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) -> bool {
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let normalized = Self::normalize_expr(expr);
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let identifiers = Self::extract_identifier_candidates(&normalized);
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if identifiers.contains("factors") || identifiers.contains("factor") {
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return true;
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}
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if stock_rolling_helpers_require_extra
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&& identifiers
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.iter()
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.any(|name| matches!(name.as_str(), "rolling_mean" | "sma" | "ma" | "vma"))
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{
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return true;
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}
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identifiers.into_iter().any(|name| {
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!Self::is_expression_keyword(&name)
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&& !Self::is_runtime_helper(&name)
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&& !Self::is_reserved_scope_name(&name)
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&& !prelude_declared_identifiers.contains(&name)
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})
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}
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fn is_expression_keyword(name: &str) -> bool {
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matches!(
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name,
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"true" | "false" | "let" | "if" | "else" | "return" | "and" | "or" | "not"
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)
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}
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fn stock_field_may_use_extra_factors(field: &str) -> bool {
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let field = field.trim();
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if field.is_empty() {
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return false;
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}
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!Self::stock_field_is_builtin(field)
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}
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fn stock_field_is_builtin(field: &str) -> bool {
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matches!(
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field.trim(),
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"market_cap"
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| "market_cap_bn"
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| "free_float_cap"
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| "free_float_market_cap"
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| "free_float_cap_bn"
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| "pe_ttm"
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| "volume"
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| "tick_volume"
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| "bid1_volume"
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| "ask1_volume"
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| "turnover"
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| "turnover_ratio"
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| "effective_turnover_ratio"
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| "open"
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| "high"
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| "low"
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| "close"
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| "last"
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| "last_price"
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| "prev_close"
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| "amount"
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| "upper_limit"
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| "lower_limit"
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| "price_tick"
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| "round_lot"
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| "minimum_order_quantity"
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| "order_step_size"
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| "listed_days"
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| "stock_ma_short"
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| "stock_ma_mid"
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| "stock_ma_long"
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| "stock_ma5"
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| "stock_ma10"
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| "stock_ma20"
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| "stock_ma30"
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| "ma5"
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| "ma10"
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| "ma20"
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| "ma30"
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| "stock_volume_ma5"
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| "stock_volume_ma10"
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| "stock_volume_ma20"
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| "stock_volume_ma60"
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| "stock_volume_ma100"
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| "volume_ma5"
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| "volume_ma10"
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| "volume_ma20"
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| "volume_ma60"
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| "volume_ma100"
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| "allow_buy"
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| "allow_sell"
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| "touched_upper_limit"
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| "hit_upper_limit"
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| "touched_lower_limit"
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| "hit_lower_limit"
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| "paused"
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| "is_st"
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| "is_kcb"
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| "is_one_yuan"
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| "is_new_listing"
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| "candidate_market_cap"
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| "candidate_market_cap_bn"
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| "candidate_free_float_cap"
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| "candidate_free_float_cap_bn"
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)
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}
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fn require_stock_rollings_for_identifiers(
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requirements: &mut StockRollingRequirements,
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config: &PlatformExprStrategyConfig,
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@@ -6368,6 +6525,28 @@ impl PlatformExprStrategy {
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}
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}
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fn stock_filter_fast_path_supported(normalized_stock_filter_expr: &str) -> bool {
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let compact = Self::compact_expr(normalized_stock_filter_expr);
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if compact == "stock_ma_short>stock_ma_mid*ma_ratio&&stock_ma_mid>stock_ma_long" {
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return true;
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}
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let mut filter_body = compact.as_str();
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if let Some(rest) = filter_body.strip_prefix("listed_days>=min_listed_days&&") {
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filter_body = rest;
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}
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let base_microcap_filter = "rolling_mean(\"close\",5)>rolling_mean(\"close\",10)*ma_ratio&&rolling_mean(\"close\",10)>rolling_mean(\"close\",30)*ma_ratio&&rolling_mean(\"volume\",5)<rolling_mean(\"volume\",100)*max_volume_ratio";
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filter_body == base_microcap_filter
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|| filter_body
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.strip_prefix(base_microcap_filter)
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.is_some_and(|tail| {
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matches!(
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tail,
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"&&rolling_mean(\"volume\",5)>0&&rolling_mean(\"volume\",100)>0"
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| "&&rolling_mean(\"volume\",5)>0.0&&rolling_mean(\"volume\",100)>0.0"
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)
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})
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}
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fn stock_filter_uses_intraday_quote_fields(&self) -> bool {
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self.stock_filter_quote_usage() != StockFilterQuoteUsage::DailyOnly
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}
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