修正平台策略投影撮合价口径

2026-06-16 06:22:40 +08:00
parent 5078aec840
commit d2c65c91b7
1 changed files with 197 additions and 9 deletions
@@ -4,7 +4,7 @@ use std::collections::{BTreeMap, BTreeSet, HashMap};
 use chrono::{Datelike, Duration, NaiveDate, NaiveDateTime, NaiveTime};
 use rhai::{AST, Dynamic, Engine, Map, Scope};

-use crate::broker::SlippageModel;
+use crate::broker::{MatchingType, SlippageModel};
 use crate::cost::ChinaAShareCostModel;
 use crate::data::{
    DailyMarketSnapshot, EligibleUniverseSnapshot, PriceField, decision_free_float_cap_bn,
@@ -215,6 +215,7 @@ pub struct PlatformExprStrategyConfig {
    pub stamp_tax_rate_after_change: Option<f64>,
    pub strict_value_budget: bool,
    pub slippage_model: SlippageModel,
+    pub matching_type: MatchingType,
    pub quote_quantity_limit: bool,
    pub current_day_precomputed_factors: bool,
    pub intraday_execution_time: Option<NaiveTime>,
@@ -282,6 +283,7 @@ fn band_low(index_close) {
            stamp_tax_rate_after_change: None,
            strict_value_budget: false,
            slippage_model: SlippageModel::None,
+            matching_type: MatchingType::NextTickLast,
            quote_quantity_limit: true,
            current_day_precomputed_factors: false,
            intraday_execution_time: None,
@@ -1133,7 +1135,7 @@ impl PlatformExprStrategy {
        symbol: &str,
    ) -> Option<f64> {
        self.aiquant_scheduled_quote(ctx, date, symbol)
-            .and_then(|quote| quote.buy_price())
+            .and_then(|quote| self.projected_quote_raw_price(quote, OrderSide::Buy))
    }

    fn aiquant_scheduled_last_price(
@@ -1211,6 +1213,41 @@ impl PlatformExprStrategy {
        bounded
    }

+    fn projected_quote_raw_price(
+        &self,
+        quote: &crate::data::IntradayExecutionQuote,
+        side: OrderSide,
+    ) -> Option<f64> {
+        let last =
+            || (quote.last_price.is_finite() && quote.last_price > 0.0).then_some(quote.last_price);
+        match self.config.matching_type {
+            MatchingType::NextTickBestOwn => match side {
+                OrderSide::Buy => (quote.bid1.is_finite() && quote.bid1 > 0.0)
+                    .then_some(quote.bid1)
+                    .or_else(last),
+                OrderSide::Sell => (quote.ask1.is_finite() && quote.ask1 > 0.0)
+                    .then_some(quote.ask1)
+                    .or_else(last),
+            },
+            MatchingType::NextTickBestCounterparty | MatchingType::CounterpartyOffer => {
+                match side {
+                    OrderSide::Buy => quote.buy_price(),
+                    OrderSide::Sell => quote.sell_price(),
+                }
+            }
+            MatchingType::NextTickLast | MatchingType::Vwap | MatchingType::Twap => {
+                last().or_else(|| match side {
+                    OrderSide::Buy => quote.buy_price(),
+                    OrderSide::Sell => quote.sell_price(),
+                })
+            }
+            _ => match side {
+                OrderSide::Buy => quote.buy_price(),
+                OrderSide::Sell => quote.sell_price(),
+            },
+        }
+    }
+
    fn projected_execution_limit_rejection_reason(
        market: &DailyMarketSnapshot,
        side: OrderSide,
@@ -1303,10 +1340,7 @@ impl PlatformExprStrategy {
        let mut last_timestamp = None;

        for quote in selected_quotes {
-            let Some(raw_quote_price) = (match side {
-                OrderSide::Buy => quote.buy_price(),
-                OrderSide::Sell => quote.sell_price(),
-            }) else {
+            let Some(raw_quote_price) = self.projected_quote_raw_price(quote, side) else {
                continue;
            };
            let available_qty = if self.config.quote_quantity_limit {
@@ -6975,9 +7009,10 @@ mod tests {
    use crate::{
        AlgoOrderStyle, BenchmarkSnapshot, CandidateEligibility, CorporateAction,
        DailyFactorSnapshot, DailyMarketSnapshot, DataSet, FactorTextValue, FuturesCommissionType,
-        FuturesTradingParameter, Instrument, IntradayExecutionQuote, OpenOrderView, OrderIntent,
-        PortfolioState, ProcessEvent, ProcessEventKind, ScheduleStage, ScheduleTimeRule, Strategy,
-        StrategyContext, TargetPortfolioOrderPricing, TradingCalendar, default_stage_time,
+        FuturesTradingParameter, Instrument, IntradayExecutionQuote, MatchingType, OpenOrderView,
+        OrderIntent, OrderSide, PortfolioState, ProcessEvent, ProcessEventKind, ScheduleStage,
+        ScheduleTimeRule, SlippageModel, Strategy, StrategyContext, TargetPortfolioOrderPricing,
+        TradingCalendar, default_stage_time,
    };

    fn d(year: i32, month: u32, day: u32) -> NaiveDate {
@@ -7235,6 +7270,159 @@ mod tests {
        assert_eq!(strategy.value_buy_quantity(4_000.0, 37.40, 100, 100), 100);
        assert_eq!(strategy.value_buy_quantity(4_776.0, 11.93, 100, 100), 300);
        assert_eq!(strategy.value_buy_quantity(4_848.0, 11.93, 100, 100), 400);
+
+        let mut aiquant_cfg = PlatformExprStrategyConfig::microcap_rotation();
+        aiquant_cfg.aiquant_transaction_cost = true;
+        aiquant_cfg.commission_rate = Some(0.0003);
+        aiquant_cfg.minimum_commission = Some(5.0);
+        let aiquant_strategy = PlatformExprStrategy::new(aiquant_cfg);
+        assert_eq!(
+            aiquant_strategy.value_buy_quantity(125_000.0, 5.12022, 100, 100),
+            24_400
+        );
+        assert_eq!(
+            aiquant_strategy.value_buy_quantity(125_000.0, 5.13024, 100, 100),
+            24_300
+        );
+    }
+
+    #[test]
+    fn platform_aiquant_next_tick_last_projection_uses_last_quote_for_buy_budget() {
+        let date = d(2023, 5, 4);
+        let symbol = "000782.SZ";
+        let data = DataSet::from_components_with_actions_and_quotes(
+            vec![Instrument {
+                symbol: symbol.to_string(),
+                name: symbol.to_string(),
+                board: "SZ".to_string(),
+                round_lot: 100,
+                listed_at: Some(d(2010, 1, 1)),
+                delisted_at: None,
+                status: "active".to_string(),
+            }],
+            vec![DailyMarketSnapshot {
+                date,
+                symbol: symbol.to_string(),
+                timestamp: Some("2023-05-04 10:40:00".to_string()),
+                day_open: 5.10,
+                open: 5.10,
+                high: 5.20,
+                low: 5.00,
+                close: 5.20,
+                last_price: 5.11,
+                bid1: 5.11,
+                ask1: 5.12,
+                prev_close: 5.00,
+                volume: 1_000_000,
+                tick_volume: 10_000,
+                bid1_volume: 324,
+                ask1_volume: 1_717,
+                trading_phase: Some("continuous".to_string()),
+                paused: false,
+                upper_limit: 5.50,
+                lower_limit: 4.50,
+                price_tick: 0.01,
+            }],
+            vec![DailyFactorSnapshot {
+                date,
+                symbol: symbol.to_string(),
+                market_cap_bn: 10.0,
+                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(),
+            }],
+            vec![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,
+            }],
+            vec![BenchmarkSnapshot {
+                date,
+                benchmark: "000852.SH".to_string(),
+                open: 1000.0,
+                close: 1000.0,
+                prev_close: 998.0,
+                volume: 1_000_000,
+            }],
+            Vec::new(),
+            vec![IntradayExecutionQuote {
+                date,
+                symbol: symbol.to_string(),
+                timestamp: date.and_hms_opt(10, 40, 0).expect("timestamp"),
+                last_price: 5.11,
+                bid1: 5.11,
+                ask1: 5.12,
+                bid1_volume: 324,
+                ask1_volume: 1_717,
+                volume_delta: 0,
+                amount_delta: 0.0,
+                trading_phase: Some("continuous".to_string()),
+            }],
+        )
+        .expect("dataset");
+
+        let subscriptions = BTreeSet::new();
+        let portfolio = PortfolioState::new(125_000.0);
+        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.aiquant_transaction_cost = true;
+        cfg.commission_rate = Some(0.0003);
+        cfg.minimum_commission = Some(5.0);
+        cfg.strict_value_budget = true;
+        cfg.slippage_model = SlippageModel::PriceRatio(0.002);
+        cfg.matching_type = MatchingType::NextTickLast;
+        cfg.quote_quantity_limit = false;
+        cfg.intraday_execution_time = Some(NaiveTime::from_hms_opt(10, 40, 0).expect("time"));
+        let strategy = PlatformExprStrategy::new(cfg);
+        let quote = ctx
+            .data
+            .execution_quotes_on(date, symbol)
+            .first()
+            .expect("quote");
+
+        assert_eq!(
+            strategy.projected_quote_raw_price(quote, OrderSide::Buy),
+            Some(5.11)
+        );
+
+        let mut projected = portfolio.clone();
+        let mut execution_state = super::ProjectedExecutionState::default();
+        let filled = strategy.project_order_value(
+            &ctx,
+            &mut projected,
+            date,
+            symbol,
+            125_000.0,
+            &mut execution_state,
+        );
+
+        assert_eq!(filled, 24_400);
+        let position = projected.position(symbol).expect("position");
+        assert_eq!(position.quantity, 24_400);
+        assert!((position.average_cost - 5.12022).abs() < 1e-9);
    }

    #[test]