修正弱市部分止损补仓槽位

crates/fidc-core/src/platform_expr_strategy.rs

@@ -8362,6 +8362,8 @@ impl Strategy for PlatformExprStrategy {
         let mut pending_full_close_symbols = BTreeSet::<String>::new();
         let mut slot_blocking_symbols = BTreeSet::<String>::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::<String>::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());
+                            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<String> {
+        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);