diff --git a/crates/fidc-core/src/platform_expr_strategy.rs b/crates/fidc-core/src/platform_expr_strategy.rs index 7ba87a7..8795fd2 100644 --- a/crates/fidc-core/src/platform_expr_strategy.rs +++ b/crates/fidc-core/src/platform_expr_strategy.rs @@ -8858,10 +8858,6 @@ impl Strategy for PlatformExprStrategy { target_value: 0.0, reason: "take_profit_exit".to_string(), }); - if daily_top_up_pending_buy_value > 0.0 && should_block_released_slots_after_top_up - { - slot_blocking_symbols.insert(position.symbol.clone()); - } self.forget_position_entry_date(&position.symbol); slot_working_symbols.remove(&position.symbol); if can_sell { @@ -22615,6 +22611,246 @@ mod tests { ); } + #[test] + fn platform_delayed_open_day_take_profit_releases_second_top_up_slot() { + let prev_date = d(2025, 5, 19); + let date = d(2025, 5, 20); + let buy_first = "000001.SZ"; + let buy_second = "000002.SZ"; + let delayed_symbol = "000100.SZ"; + let keep_before = "000101.SZ"; + let take_profit = "000102.SZ"; + let keep_after = "000103.SZ"; + let symbols = [ + buy_first, + buy_second, + delayed_symbol, + keep_before, + take_profit, + keep_after, + ]; + let data = DataSet::from_components_with_actions_and_quotes( + symbols + .iter() + .map(|symbol| Instrument { + symbol: (*symbol).to_string(), + name: (*symbol).to_string(), + board: "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).to_string(), + timestamp: Some("2025-05-20 10:18:00".to_string()), + day_open: 10.0, + open: 10.0, + high: 11.0, + low: 9.0, + close: 10.0, + last_price: 10.0, + bid1: 10.0, + ask1: 10.0, + prev_close: 10.0, + volume: 1_000_000, + minute_volume: 20_000, + bid1_volume: 20_000, + ask1_volume: 20_000, + trading_phase: Some("continuous".to_string()), + paused: false, + upper_limit: 11.0, + lower_limit: 9.0, + price_tick: 0.01, + }) + .collect(), + symbols + .iter() + .map(|symbol| DailyFactorSnapshot { + date, + symbol: (*symbol).to_string(), + market_cap_bn: match *symbol { + s if s == buy_first => 1.0, + s if s == buy_second => 2.0, + s if s == keep_before => 3.0, + s if s == keep_after => 4.0, + s if s == delayed_symbol => 5.0, + _ => 100.0, + }, + 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).to_string(), + is_st: false, + is_star_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() + .flat_map(|symbol| { + let mut quotes = Vec::new(); + if *symbol == delayed_symbol { + quotes.push(IntradayExecutionQuote { + date, + symbol: (*symbol).to_string(), + timestamp: date.and_hms_opt(9, 31, 0).expect("valid timestamp"), + last_price: 10.5, + bid1: 10.5, + ask1: 10.51, + bid1_volume: 20_000, + ask1_volume: 20_000, + volume_delta: 20_000, + amount_delta: 210_000.0, + trading_phase: Some("continuous".to_string()), + }); + } + quotes.push(IntradayExecutionQuote { + date, + symbol: (*symbol).to_string(), + timestamp: date.and_hms_opt(10, 18, 0).expect("valid timestamp"), + last_price: 10.0, + bid1: 10.0, + ask1: 10.01, + bid1_volume: 20_000, + ask1_volume: 20_000, + volume_delta: 20_000, + amount_delta: 200_000.0, + trading_phase: Some("continuous".to_string()), + }); + quotes + }) + .collect(), + ) + .expect("dataset"); + + let mut portfolio = PortfolioState::new(30_000.0); + portfolio + .position_mut(delayed_symbol) + .buy(prev_date, 100, 10.0); + portfolio + .position_mut(keep_before) + .buy(prev_date, 100, 10.0); + portfolio.position_mut(take_profit).buy(prev_date, 100, 8.0); + portfolio.position_mut(keep_after).buy(prev_date, 100, 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 = delayed_symbol.to_string(); + cfg.refresh_rate = 99; + cfg.max_positions = 4; + 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 = "4".to_string(); + cfg.stock_filter_expr = "close > 0".to_string(); + cfg.exposure_expr = "1.0".to_string(); + cfg.stop_loss_expr = "false".to_string(); + cfg.take_profit_expr = "1.1".to_string(); + cfg.daily_top_up_enabled = true; + cfg.release_slot_on_exit_signal = true; + cfg.aiquant_transaction_cost = true; + cfg.intraday_execution_time = Some(NaiveTime::from_hms_opt(10, 18, 0).unwrap()); + cfg.delayed_limit_open_exit_enabled = true; + cfg.delayed_limit_open_exit_time = Some(NaiveTime::from_hms_opt(9, 31, 0).unwrap()); + let mut strategy = PlatformExprStrategy::new(cfg); + strategy.rebalance_day_counter = 2; + strategy + .pending_highlimit_holdings + .insert(delayed_symbol.to_string()); + + let decision = strategy.on_day(&ctx).expect("platform decision"); + let top_up_symbols = decision + .order_intents + .iter() + .filter_map(|intent| match intent { + OrderIntent::Value { symbol, reason, .. } if reason == "daily_top_up_buy" => { + Some(symbol.as_str()) + } + _ => None, + }) + .collect::>(); + + assert!( + decision.order_intents.iter().any(|intent| matches!( + intent, + OrderIntent::AlgoValue { + symbol, + reason, + start_time, + .. + } if symbol == delayed_symbol + && reason == "delayed_limit_open_sell" + && *start_time == Some(NaiveTime::from_hms_opt(9, 31, 0).unwrap()) + )), + "{:?}", + decision.order_intents + ); + assert!( + decision.order_intents.iter().any(|intent| matches!( + intent, + OrderIntent::TargetValue { + symbol, + target_value, + reason, + } if symbol == take_profit + && *target_value == 0.0 + && reason == "take_profit_exit" + )), + "{:?}", + decision.order_intents + ); + assert_eq!( + top_up_symbols, + vec![buy_first, buy_second], + "{:?}", + decision.order_intents + ); + } + #[test] fn platform_daily_top_up_releases_unsellable_stop_loss_slot() { let prev_date = d(2026, 3, 31);