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修正ALV残余清仓重判逻辑

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boris
2026-07-08 02:38:19 +08:00
parent 0febd3d644
commit ca0471799b
1 changed files with 11 additions and 49 deletions
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crates/fidc-core/src/platform_expr_strategy.rs
+11 -49
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@@ -8337,7 +8337,7 @@ impl Strategy for PlatformExprStrategy {
let mut slot_blocking_symbols = delayed_exit_slot_blocking_symbols.clone();
let should_block_released_slots_after_top_up =
!delayed_exit_slot_blocking_symbols.is_empty();
let mut interleaved_pending_full_close_symbols = BTreeSet::<String>::new();
let interleaved_pending_full_close_symbols = BTreeSet::<String>::new();
let risk_level_forced_exit_time = self.risk_level_forced_exit_time();
self.pending_full_close_symbols.retain(|symbol| {
ctx.portfolio
@@ -8348,52 +8348,7 @@ impl Strategy for PlatformExprStrategy {
.pending_full_close_symbols
.iter()
.cloned()
.collect::<Vec<_>>();
for symbol in carried_full_close_symbols {
if delayed_sold_symbols.contains(&symbol)
|| self.pending_highlimit_holdings.contains(&symbol)
{
continue;
}
if self.regular_sell_should_wait_due_to_highlimit(
ctx,
projection_date,
&symbol,
self.intraday_execution_start_time(),
)? {
continue;
}
pending_full_close_symbols.insert(symbol.clone());
if daily_top_up_active {
interleaved_pending_full_close_symbols.insert(symbol);
continue;
}
exit_symbols.insert(symbol.clone());
order_intents.push(OrderIntent::TargetValue {
symbol: symbol.clone(),
target_value: 0.0,
reason: "pending_full_close_exit".to_string(),
});
self.forget_position_entry_date(&symbol);
let can_sell =
defer_execution_risk || self.can_sell_position(ctx, execution_date, &symbol);
if can_sell
&& self
.project_target_zero(
ctx,
&mut projected,
projection_date,
&symbol,
&mut projected_execution_state,
)
.is_some()
&& Self::projected_position_is_flat(&projected, &symbol)
{
same_day_sold_symbols.insert(symbol.clone());
slot_working_symbols.remove(&symbol);
self.pending_full_close_symbols.remove(&symbol);
}
}
.collect::<BTreeSet<_>>();
if self.config.rotation_enabled
&& let Some(max_holding_days) = self.config.max_holding_days.filter(|value| *value > 0)
{
@@ -8753,6 +8708,9 @@ impl Strategy for PlatformExprStrategy {
}
let (stop_hit, profit_hit) =
self.stop_take_action_for_position(ctx, signal_date, &day, projected_position)?;
if carried_full_close_symbols.contains(&position.symbol) && !stop_hit && !profit_hit {
self.pending_full_close_symbols.remove(&position.symbol);
}
let can_sell = defer_execution_risk
|| self.can_sell_position(ctx, execution_date, &position.symbol);
if stop_hit {
@@ -8786,6 +8744,8 @@ impl Strategy for PlatformExprStrategy {
} else {
pending_full_close_symbols.insert(position.symbol.clone());
slot_blocking_symbols.insert(position.symbol.clone());
self.pending_full_close_symbols
.insert(position.symbol.clone());
}
}
} else {
@@ -8856,6 +8816,8 @@ impl Strategy for PlatformExprStrategy {
} else {
pending_full_close_symbols.insert(position.symbol.clone());
slot_blocking_symbols.insert(position.symbol.clone());
self.pending_full_close_symbols
.insert(position.symbol.clone());
}
}
}
@@ -13199,7 +13161,7 @@ mod tests {
}
#[test]
fn platform_stop_loss_does_not_carry_synthetic_pending_full_close() {
fn platform_stop_loss_residual_pending_rechecks_signal_next_day() {
let prev_date = d(2025, 1, 6);
let first_date = d(2025, 1, 7);
let second_date = d(2025, 1, 8);
@@ -13333,7 +13295,7 @@ mod tests {
OrderIntent::TargetValue { symbol: intent_symbol, target_value, reason }
if intent_symbol == symbol && *target_value == 0.0 && reason == "stop_loss_exit"
)));
assert!(!strategy.pending_full_close_symbols.contains(symbol));
assert!(strategy.pending_full_close_symbols.contains(symbol));
let mut second_portfolio = PortfolioState::new(1_000_000.0);
second_portfolio