diff --git a/crates/fidc-core/src/platform_expr_strategy.rs b/crates/fidc-core/src/platform_expr_strategy.rs index 8795fd2..4f049b1 100644 --- a/crates/fidc-core/src/platform_expr_strategy.rs +++ b/crates/fidc-core/src/platform_expr_strategy.rs @@ -8362,6 +8362,8 @@ impl Strategy for PlatformExprStrategy { let mut pending_full_close_symbols = BTreeSet::::new(); let mut slot_blocking_symbols = BTreeSet::::new(); let should_block_released_slots_after_top_up = delayed_open_exit_submitted; + let should_block_partial_stop_residual_slot = + should_block_released_slots_after_top_up || trading_ratio < 1.0; let interleaved_pending_full_close_symbols = BTreeSet::::new(); let risk_level_forced_exit_time = self.risk_level_forced_exit_time(); self.pending_full_close_symbols.retain(|symbol| { @@ -8809,7 +8811,9 @@ impl Strategy for PlatformExprStrategy { self.pending_full_close_symbols.remove(&position.symbol); } else { pending_full_close_symbols.insert(position.symbol.clone()); - slot_blocking_symbols.insert(position.symbol.clone()); + if should_block_partial_stop_residual_slot { + slot_blocking_symbols.insert(position.symbol.clone()); + } self.pending_full_close_symbols .insert(position.symbol.clone()); } @@ -21801,6 +21805,222 @@ mod tests { ); } + fn partial_stop_loss_top_up_symbols_for_exposure(exposure_expr: &str) -> Vec { + let prev_date = d(2025, 5, 13); + let date = d(2025, 5, 14); + let buy_first = "000001.SZ"; + let buy_second = "000002.SZ"; + let stop_loss = "000101.SZ"; + let take_profit = "000102.SZ"; + let keep = "000103.SZ"; + let symbols = [buy_first, buy_second, stop_loss, take_profit, keep]; + 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("2025-05-14 10:18:00".to_string()), + day_open: 10.0, + open: 10.0, + high: 10.5, + low: 9.8, + close: 10.0, + last_price: 10.0, + bid1: 10.0, + ask1: 10.0, + prev_close: 10.0, + volume: 1_000_000, + minute_volume: 10_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 == stop_loss => 3.0, + s if s == take_profit => 4.0, + _ => 5.0, + }, + 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() + .map(|symbol| 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: 10.0, + bid1_volume: 20_000, + ask1_volume: 20_000, + volume_delta: if *symbol == stop_loss { 400 } else { 20_000 }, + amount_delta: if *symbol == stop_loss { + 4_000.0 + } else { + 200_000.0 + }, + trading_phase: Some("continuous".to_string()), + }) + .collect(), + ) + .expect("dataset"); + + let mut portfolio = PortfolioState::new(80_000.0); + portfolio + .position_mut(stop_loss) + .buy(prev_date, 1_000, 12.0); + portfolio.position_mut(take_profit).buy(prev_date, 100, 8.0); + portfolio.position_mut(keep).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 = keep.to_string(); + cfg.refresh_rate = 99; + cfg.max_positions = 3; + 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 = "3".to_string(); + cfg.stock_filter_expr = "close > 0".to_string(); + cfg.exposure_expr = exposure_expr.to_string(); + cfg.stop_loss_expr = "0.9".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.risk_config.trading_constraints.volume_limit_enabled = true; + cfg.risk_config.trading_constraints.volume_percent = 1.0; + cfg.risk_config.trading_constraints.liquidity_limit_enabled = false; + cfg.intraday_execution_time = Some(NaiveTime::from_hms_opt(10, 18, 0).unwrap()); + let mut strategy = PlatformExprStrategy::new(cfg); + strategy.rebalance_day_counter = 2; + + let decision = strategy.on_day(&ctx).expect("platform decision"); + + assert!( + decision.order_intents.iter().any(|intent| matches!( + intent, + OrderIntent::TargetValue { + symbol, + target_value, + reason, + } if symbol == stop_loss + && *target_value == 0.0 + && reason == "stop_loss_exit" + )), + "{:?}", + 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 + ); + + decision + .order_intents + .iter() + .filter_map(|intent| match intent { + OrderIntent::Value { symbol, reason, .. } if reason == "daily_top_up_buy" => { + Some(symbol.clone()) + } + _ => None, + }) + .collect() + } + + #[test] + fn platform_full_exposure_partial_stop_loss_releases_second_top_up_slot() { + let top_up_symbols = partial_stop_loss_top_up_symbols_for_exposure("1.0"); + assert_eq!(top_up_symbols, vec!["000001.SZ", "000002.SZ"]); + } + + #[test] + fn platform_weak_exposure_partial_stop_loss_keeps_residual_slot() { + let top_up_symbols = partial_stop_loss_top_up_symbols_for_exposure("0.5"); + assert_eq!(top_up_symbols, vec!["000001.SZ"]); + } + #[test] fn platform_aiquant_carried_full_close_does_not_release_new_top_up_slot() { let prev_date = d(2025, 4, 29);