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修正AiQuant等权调仓预算

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This commit is contained in:
boris
2026-07-01 15:00:55 +08:00
parent eae82128ee
commit cad8877b7a
3 changed files with 26 additions and 26 deletions
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crates/fidc-core/src/engine.rs
+1 -5
View File
@@ -2884,11 +2884,7 @@ where
});
let note = format!(
"cash_dividend_receivable {} share_cash={:.6} quantity={} payable_date={} cash={:.2}",
action.symbol,
action.share_cash,
quantity_after,
payable_date,
cash_delta
action.symbol, action.share_cash, quantity_after, payable_date, cash_delta
);
notes.push(note.clone());
report.account_events.push(AccountEvent {
crates/fidc-core/src/platform_expr_strategy.rs
+5 -11
View File
@@ -7967,14 +7967,8 @@ impl Strategy for PlatformExprStrategy {
slot_working_symbols.remove(symbol);
}
if !self.config.aiquant_transaction_cost {
aiquant_available_cash = projected.cash();
}
let fixed_buy_cash = if self.config.aiquant_transaction_cost {
aiquant_available_cash * trading_ratio / selection_limit as f64
} else {
aiquant_total_value * trading_ratio / selection_limit as f64
};
aiquant_available_cash = projected.cash();
let fixed_buy_cash = aiquant_total_value * trading_ratio / selection_limit as f64;
let target_budget = aiquant_total_value * trading_ratio;
let mut rebalance_working_symbols = slot_working_symbols.clone();
if self.config.release_slot_on_exit_signal {
@@ -18398,7 +18392,7 @@ mod tests {
}
#[test]
fn platform_aiquant_periodic_rebalance_uses_cash_divided_by_top_n_buy_budget() {
fn platform_aiquant_periodic_rebalance_uses_total_value_equal_weight_buy_budget() {
let prev_date = d(2025, 5, 13);
let date = d(2025, 5, 14);
let retained_symbols = (1..=17)
@@ -18597,7 +18591,7 @@ mod tests {
assert!(
decision.order_intents.iter().all(|intent| match intent {
OrderIntent::Value { value, reason, .. } if reason == "periodic_rebalance_buy" =>
(*value - 6_500.0).abs() < 1e-6,
(*value - 126_500.0).abs() < 1e-6,
_ => true,
}),
"{:?}",
@@ -18755,7 +18749,7 @@ mod tests {
reason,
} if symbol == "000002.SZ"
&& reason == "periodic_rebalance_buy"
&& (*value - 5_000.0).abs() < 1e-6
&& (*value - 10_000.0).abs() < 1e-6
)),
"{:?}",
decision.order_intents
crates/fidc-core/tests/corporate_actions.rs
+20 -10
View File
@@ -410,8 +410,14 @@ fn engine_settles_same_day_dividend_after_split_for_aiquant_semantics() {
delisted_at: None,
status: "active".to_string(),
}],
vec![stock_market_snapshot(buy_date), stock_market_snapshot(ex_date)],
vec![stock_factor_snapshot(buy_date), stock_factor_snapshot(ex_date)],
vec![
stock_market_snapshot(buy_date),
stock_market_snapshot(ex_date),
],
vec![
stock_factor_snapshot(buy_date),
stock_factor_snapshot(ex_date),
],
vec![stock_candidate(buy_date), stock_candidate(ex_date)],
vec![benchmark_snapshot(buy_date), benchmark_snapshot(ex_date)],
vec![CorporateAction {
@@ -469,12 +475,16 @@ fn engine_settles_same_day_dividend_after_split_for_aiquant_semantics() {
assert_eq!(reinvest_fill.quantity, 100);
assert!((reinvest_fill.price - ((10.0 - 1.05) / 1.2)).abs() < 1e-9);
assert!(result
.position_events
.iter()
.any(|event| event.reason == "stock_split 1.200000" && event.quantity_after == 1_200));
assert!(result
.account_events
.iter()
.any(|event| event.note.contains("cash_receivable_reinvested")));
assert!(
result
.position_events
.iter()
.any(|event| event.reason == "stock_split 1.200000" && event.quantity_after == 1_200)
);
assert!(
result
.account_events
.iter()
.any(|event| event.note.contains("cash_receivable_reinvested"))
);
}