修正AiQuant补仓预算口径

2026-06-16 08:38:19 +08:00
parent 6ba61ef80b
commit cf2c4fd179
1 changed files with 162 additions and 1 deletions
@@ -1710,6 +1710,31 @@ impl PlatformExprStrategy {
        }
    }

+    fn context_position_value_for_remaining_buy_cash(
+        &self,
+        ctx: &StrategyContext<'_>,
+        date: NaiveDate,
+        symbol: &str,
+    ) -> f64 {
+        let Some(position) = ctx.portfolio.position(symbol) else {
+            return 0.0;
+        };
+        if position.quantity == 0 {
+            return 0.0;
+        }
+        let mark_price = self
+            .aiquant_scheduled_last_price(ctx, date, symbol)
+            .or_else(|| ctx.data.price(date, symbol, PriceField::Last))
+            .or_else(|| ctx.data.price_on_or_before(date, symbol, PriceField::Last))
+            .filter(|price| price.is_finite() && *price > 0.0)
+            .unwrap_or(position.last_price);
+        if mark_price.is_finite() && mark_price > 0.0 {
+            mark_price * position.quantity as f64
+        } else {
+            position.market_value()
+        }
+    }
+
    fn remaining_buy_cash_per_slot(
        &self,
        ctx: &StrategyContext<'_>,
@@ -1732,7 +1757,11 @@ impl PlatformExprStrategy {
            .iter()
            .filter(|symbol| value_symbols.contains(*symbol))
            .map(|symbol| {
-                self.projected_position_value_at_execution_price(ctx, projected, date, symbol)
+                if self.config.aiquant_transaction_cost {
+                    self.context_position_value_for_remaining_buy_cash(ctx, date, symbol)
+                } else {
+                    self.projected_position_value_at_execution_price(ctx, projected, date, symbol)
+                }
            })
            .filter(|value| value.is_finite() && *value > 0.0)
            .sum::<f64>();
@@ -12038,6 +12067,138 @@ mod tests {
        )));
    }

+    #[test]
+    fn platform_aiquant_remaining_buy_cash_uses_strategy_visible_positions() {
+        let prev_date = d(2025, 2, 2);
+        let date = d(2025, 2, 3);
+        let symbols = ["000001.SZ", "000002.SZ"];
+        let data = DataSet::from_components(
+            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("2025-02-03 10:40:00".to_string()),
+                    day_open: 10.0,
+                    open: 10.0,
+                    high: 10.2,
+                    low: 9.8,
+                    close: 10.0,
+                    last_price: 10.0,
+                    bid1: 10.0,
+                    ask1: 10.0,
+                    prev_close: 10.0,
+                    volume: 1_000_000,
+                    tick_volume: 10_000,
+                    bid1_volume: 2_000,
+                    ask1_volume: 2_000,
+                    trading_phase: Some("continuous".to_string()),
+                    paused: false,
+                    upper_limit: 11.0,
+                    lower_limit: 9.0,
+                    price_tick: 0.01,
+                })
+                .collect(),
+            symbols
+                .iter()
+                .enumerate()
+                .map(|(index, symbol)| DailyFactorSnapshot {
+                    date,
+                    symbol: (*symbol).to_string(),
+                    market_cap_bn: 10.0 + index as f64,
+                    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_new_listing: false,
+                    is_paused: false,
+                    allow_buy: true,
+                    allow_sell: true,
+                    is_kcb: false,
+                    is_one_yuan: false,
+                })
+                .collect(),
+            vec![BenchmarkSnapshot {
+                date,
+                benchmark: "000852.SH".to_string(),
+                open: 1000.0,
+                close: 1000.0,
+                prev_close: 1000.0,
+                volume: 1_000_000,
+            }],
+        )
+        .expect("dataset");
+
+        let mut portfolio = PortfolioState::new(10_000.0);
+        portfolio
+            .position_mut("000001.SZ")
+            .buy(prev_date, 900, 10.0);
+        let mut projected = portfolio.clone();
+        projected
+            .position_mut("000001.SZ")
+            .sell(400, 10.0)
+            .expect("projected same-bar adjustment");
+        let subscriptions = BTreeSet::new();
+        let ctx = StrategyContext {
+            execution_date: date,
+            decision_date: date,
+            decision_index: 2,
+            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.aiquant_transaction_cost = true;
+        let strategy = PlatformExprStrategy::new(cfg);
+        let working_symbols = BTreeSet::from(["000001.SZ".to_string()]);
+        let value_symbols = working_symbols.clone();
+
+        let cash = strategy.remaining_buy_cash_per_slot(
+            &ctx,
+            &projected,
+            date,
+            10_000.0,
+            2,
+            &working_symbols,
+            &value_symbols,
+            0.0,
+        );
+
+        assert!(
+            (cash - 1_000.0).abs() < 1e-6,
+            "remaining cash should use strategy-visible 900-share position, got {cash}"
+        );
+    }
+
    #[test]
    fn platform_weak_market_skips_positive_adjust_for_stop_loss_position() {
        let prev_date = d(2025, 2, 2);