修正延迟卖出日止盈补仓槽位
This commit is contained in:
boris
@@ -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::<Vec<_>>();
|
||||
|
||||
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);
|
||||
|
||||
Reference in New Issue
Block a user