修正弱市部分止损补仓槽位
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boris
@@ -8362,6 +8362,8 @@ impl Strategy for PlatformExprStrategy {
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let mut pending_full_close_symbols = BTreeSet::<String>::new();
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let mut slot_blocking_symbols = BTreeSet::<String>::new();
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let should_block_released_slots_after_top_up = delayed_open_exit_submitted;
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let should_block_partial_stop_residual_slot =
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should_block_released_slots_after_top_up || trading_ratio < 1.0;
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let interleaved_pending_full_close_symbols = BTreeSet::<String>::new();
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let risk_level_forced_exit_time = self.risk_level_forced_exit_time();
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self.pending_full_close_symbols.retain(|symbol| {
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@@ -8809,7 +8811,9 @@ impl Strategy for PlatformExprStrategy {
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self.pending_full_close_symbols.remove(&position.symbol);
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} else {
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pending_full_close_symbols.insert(position.symbol.clone());
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slot_blocking_symbols.insert(position.symbol.clone());
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if should_block_partial_stop_residual_slot {
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slot_blocking_symbols.insert(position.symbol.clone());
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}
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self.pending_full_close_symbols
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.insert(position.symbol.clone());
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}
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@@ -21801,6 +21805,222 @@ mod tests {
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);
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}
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fn partial_stop_loss_top_up_symbols_for_exposure(exposure_expr: &str) -> Vec<String> {
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let prev_date = d(2025, 5, 13);
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let date = d(2025, 5, 14);
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let buy_first = "000001.SZ";
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let buy_second = "000002.SZ";
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let stop_loss = "000101.SZ";
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let take_profit = "000102.SZ";
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let keep = "000103.SZ";
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let symbols = [buy_first, buy_second, stop_loss, take_profit, keep];
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let data = DataSet::from_components_with_actions_and_quotes(
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symbols
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.iter()
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.map(|symbol| Instrument {
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symbol: (*symbol).to_string(),
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name: (*symbol).to_string(),
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board: "SZ".to_string(),
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round_lot: 100,
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listed_at: Some(d(2020, 1, 1)),
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delisted_at: None,
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status: "active".to_string(),
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})
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.collect(),
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symbols
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.iter()
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.map(|symbol| DailyMarketSnapshot {
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date,
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symbol: (*symbol).to_string(),
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timestamp: Some("2025-05-14 10:18:00".to_string()),
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day_open: 10.0,
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open: 10.0,
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high: 10.5,
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low: 9.8,
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close: 10.0,
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last_price: 10.0,
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bid1: 10.0,
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ask1: 10.0,
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prev_close: 10.0,
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volume: 1_000_000,
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minute_volume: 10_000,
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bid1_volume: 20_000,
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ask1_volume: 20_000,
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trading_phase: Some("continuous".to_string()),
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paused: false,
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upper_limit: 11.0,
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lower_limit: 9.0,
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price_tick: 0.01,
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})
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.collect(),
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symbols
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.iter()
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.map(|symbol| DailyFactorSnapshot {
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date,
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symbol: (*symbol).to_string(),
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market_cap_bn: match *symbol {
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s if s == buy_first => 1.0,
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s if s == buy_second => 2.0,
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s if s == stop_loss => 3.0,
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s if s == take_profit => 4.0,
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_ => 5.0,
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},
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free_float_cap_bn: 10.0,
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pe_ttm: 8.0,
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turnover_ratio: Some(1.0),
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effective_turnover_ratio: Some(1.0),
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extra_factors: BTreeMap::new(),
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})
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.collect(),
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symbols
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.iter()
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.map(|symbol| CandidateEligibility {
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date,
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symbol: (*symbol).to_string(),
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is_st: false,
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is_star_st: false,
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is_new_listing: false,
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is_paused: false,
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allow_buy: true,
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allow_sell: true,
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is_kcb: false,
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is_one_yuan: false,
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risk_level_code: None,
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})
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.collect(),
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vec![BenchmarkSnapshot {
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date,
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benchmark: "000852.SH".to_string(),
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open: 1000.0,
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close: 1002.0,
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prev_close: 998.0,
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volume: 1_000_000,
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}],
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Vec::new(),
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symbols
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.iter()
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.map(|symbol| IntradayExecutionQuote {
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date,
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symbol: (*symbol).to_string(),
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timestamp: date.and_hms_opt(10, 18, 0).expect("valid timestamp"),
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last_price: 10.0,
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bid1: 10.0,
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ask1: 10.0,
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bid1_volume: 20_000,
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ask1_volume: 20_000,
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volume_delta: if *symbol == stop_loss { 400 } else { 20_000 },
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amount_delta: if *symbol == stop_loss {
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4_000.0
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} else {
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200_000.0
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},
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trading_phase: Some("continuous".to_string()),
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})
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.collect(),
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)
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.expect("dataset");
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let mut portfolio = PortfolioState::new(80_000.0);
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portfolio
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.position_mut(stop_loss)
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.buy(prev_date, 1_000, 12.0);
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portfolio.position_mut(take_profit).buy(prev_date, 100, 8.0);
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portfolio.position_mut(keep).buy(prev_date, 100, 10.0);
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let subscriptions = BTreeSet::new();
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let ctx = StrategyContext {
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execution_date: date,
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decision_date: date,
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decision_index: 20,
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data: &data,
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portfolio: &portfolio,
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futures_account: None,
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open_orders: &[],
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dynamic_universe: None,
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subscriptions: &subscriptions,
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process_events: &[],
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active_process_event: None,
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active_datetime: None,
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order_events: &[],
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fills: &[],
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};
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let mut cfg = PlatformExprStrategyConfig::microcap_rotation();
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cfg.signal_symbol = keep.to_string();
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cfg.refresh_rate = 99;
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cfg.max_positions = 3;
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cfg.benchmark_short_ma_days = 1;
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cfg.benchmark_long_ma_days = 1;
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cfg.market_cap_lower_expr = "0".to_string();
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cfg.market_cap_upper_expr = "1000".to_string();
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cfg.selection_limit_expr = "3".to_string();
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cfg.stock_filter_expr = "close > 0".to_string();
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cfg.exposure_expr = exposure_expr.to_string();
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cfg.stop_loss_expr = "0.9".to_string();
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cfg.take_profit_expr = "1.1".to_string();
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cfg.daily_top_up_enabled = true;
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cfg.release_slot_on_exit_signal = true;
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cfg.aiquant_transaction_cost = true;
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cfg.risk_config.trading_constraints.volume_limit_enabled = true;
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cfg.risk_config.trading_constraints.volume_percent = 1.0;
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cfg.risk_config.trading_constraints.liquidity_limit_enabled = false;
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cfg.intraday_execution_time = Some(NaiveTime::from_hms_opt(10, 18, 0).unwrap());
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let mut strategy = PlatformExprStrategy::new(cfg);
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strategy.rebalance_day_counter = 2;
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let decision = strategy.on_day(&ctx).expect("platform decision");
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assert!(
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decision.order_intents.iter().any(|intent| matches!(
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intent,
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OrderIntent::TargetValue {
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symbol,
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target_value,
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reason,
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} if symbol == stop_loss
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&& *target_value == 0.0
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&& reason == "stop_loss_exit"
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)),
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"{:?}",
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decision.order_intents
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);
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assert!(
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decision.order_intents.iter().any(|intent| matches!(
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intent,
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OrderIntent::TargetValue {
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symbol,
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target_value,
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reason,
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} if symbol == take_profit
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&& *target_value == 0.0
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&& reason == "take_profit_exit"
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)),
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"{:?}",
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decision.order_intents
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);
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decision
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.order_intents
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.iter()
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.filter_map(|intent| match intent {
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OrderIntent::Value { symbol, reason, .. } if reason == "daily_top_up_buy" => {
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Some(symbol.clone())
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}
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_ => None,
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})
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.collect()
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}
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#[test]
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fn platform_full_exposure_partial_stop_loss_releases_second_top_up_slot() {
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let top_up_symbols = partial_stop_loss_top_up_symbols_for_exposure("1.0");
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assert_eq!(top_up_symbols, vec!["000001.SZ", "000002.SZ"]);
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}
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#[test]
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fn platform_weak_exposure_partial_stop_loss_keeps_residual_slot() {
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let top_up_symbols = partial_stop_loss_top_up_symbols_for_exposure("0.5");
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assert_eq!(top_up_symbols, vec!["000001.SZ"]);
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}
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#[test]
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fn platform_aiquant_carried_full_close_does_not_release_new_top_up_slot() {
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let prev_date = d(2025, 4, 29);
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