diff --git a/crates/fidc-core/src/engine.rs b/crates/fidc-core/src/engine.rs index 029d208..f3efec1 100644 --- a/crates/fidc-core/src/engine.rs +++ b/crates/fidc-core/src/engine.rs @@ -5210,6 +5210,30 @@ mod tests { ); } + #[test] + fn next_bar_open_execution_risk_uses_open_not_close_for_upper_limit_buy() { + let first = d(2025, 1, 2); + let second = d(2025, 1, 3); + let result = run_scheduled_next_open_with_dataset(dataset_with( + market(first, 10.0, 11.5), + market_with_state(second, 11.8, 12.0, false, 12.0, 1.0), + candidate(first), + candidate(second), + )); + + assert_eq!(result.fills.len(), 1); + assert_eq!(result.fills[0].date, second); + assert_eq!(result.fills[0].price, 11.8); + assert!( + result + .order_events + .iter() + .all(|event| !event.reason.contains("upper limit")), + "{:?}", + result.order_events + ); + } + #[test] fn next_bar_open_execution_risk_rejects_execution_day_st_state() { let first = d(2025, 1, 2); @@ -5344,6 +5368,47 @@ mod tests { assert_round_trip_sell_canceled_with_reason(&result, "open at or below lower limit"); } + #[test] + fn next_bar_open_sell_risk_uses_open_not_close_for_lower_limit_sell() { + let first = d(2025, 1, 2); + let second = d(2025, 1, 3); + let third = d(2025, 1, 6); + let fourth = d(2025, 1, 7); + let result = run_scheduled_round_trip_next_open_with_dataset_and_broker( + dataset_from_market_and_candidates( + vec![ + market(first, 10.0, 10.5), + market(second, 11.0, 11.5), + market(third, 12.0, 12.5), + market_with_state(fourth, 9.2, 9.0, false, 20.0, 9.0), + ], + vec![ + candidate(first), + candidate(second), + candidate(third), + candidate(fourth), + ], + ), + scheduled_next_open_broker(FidcRiskControlConfig::default()), + ); + + let sell_fill = result + .fills + .iter() + .find(|fill| fill.side == OrderSide::Sell) + .expect("sell should execute when next-open is above lower limit"); + assert_eq!(sell_fill.date, fourth); + assert_eq!(sell_fill.price, 9.2); + assert!( + result + .order_events + .iter() + .all(|event| !event.reason.contains("lower limit")), + "{:?}", + result.order_events + ); + } + #[test] fn next_bar_open_sell_respects_allow_sell_policy_on_execution_day() { let first = d(2025, 1, 2); diff --git a/crates/fidc-core/src/platform_expr_strategy.rs b/crates/fidc-core/src/platform_expr_strategy.rs index 8da186b..1178125 100644 --- a/crates/fidc-core/src/platform_expr_strategy.rs +++ b/crates/fidc-core/src/platform_expr_strategy.rs @@ -1209,19 +1209,73 @@ impl PlatformExprStrategy { .max(1) } + fn projected_execution_price_field(&self) -> PriceField { + match self.config.matching_type { + MatchingType::OpenAuction => PriceField::DayOpen, + MatchingType::CurrentBarClose => PriceField::Close, + MatchingType::NextBarOpen => PriceField::Open, + MatchingType::MinuteLast + | MatchingType::MinuteBestOwn + | MatchingType::MinuteBestCounterparty + | MatchingType::Vwap + | MatchingType::Twap => PriceField::Last, + } + } + fn projected_execution_price(&self, market: &DailyMarketSnapshot, side: OrderSide) -> f64 { - if self.config.aiquant_transaction_cost { + let price_field = self.projected_execution_price_field(); + if self.config.aiquant_transaction_cost && price_field != PriceField::Open { let last = market.price(PriceField::Last); if last.is_finite() && last > 0.0 { return last; } } match side { - OrderSide::Buy => market.buy_price(PriceField::Last), - OrderSide::Sell => market.sell_price(PriceField::Last), + OrderSide::Buy => market.buy_price(price_field), + OrderSide::Sell => market.sell_price(price_field), } } + fn projected_risk_check_price( + &self, + ctx: &StrategyContext<'_>, + date: NaiveDate, + symbol: &str, + market: &DailyMarketSnapshot, + side: OrderSide, + execution_time: Option, + ) -> f64 { + if self.config.matching_type == MatchingType::NextBarOpen { + return match side { + OrderSide::Buy => market.buy_price(PriceField::Open), + OrderSide::Sell => market.sell_price(PriceField::Open), + }; + } + if self.config.aiquant_transaction_cost { + let scheduled_price = match side { + OrderSide::Buy => self.aiquant_scheduled_buy_price(ctx, date, symbol), + OrderSide::Sell => { + self.aiquant_scheduled_sell_price_at_time(ctx, date, symbol, execution_time) + } + }; + return scheduled_price.unwrap_or_else(|| market.price(PriceField::Last)); + } + if side == OrderSide::Buy { + let price_field = match self.config.matching_type { + MatchingType::NextBarOpen => PriceField::Open, + MatchingType::CurrentBarClose => PriceField::Close, + MatchingType::OpenAuction + | MatchingType::MinuteLast + | MatchingType::MinuteBestOwn + | MatchingType::MinuteBestCounterparty + | MatchingType::Vwap + | MatchingType::Twap => PriceField::DayOpen, + }; + return market.buy_price(price_field); + } + self.projected_execution_price(market, side) + } + fn projected_execution_start_cursor( &self, ctx: &StrategyContext<'_>, @@ -6018,6 +6072,16 @@ impl PlatformExprStrategy { ctx: &StrategyContext<'_>, date: NaiveDate, factor_date: NaiveDate, + ) -> Vec { + self.selection_risk_decisions_with_options(ctx, date, factor_date, false) + } + + fn selection_risk_decisions_with_options( + &self, + ctx: &StrategyContext<'_>, + date: NaiveDate, + factor_date: NaiveDate, + defer_limit_state_selection_risk: bool, ) -> Vec { let mut decisions = Vec::new(); for factor in ctx.data.factor_snapshots_on(factor_date) { @@ -6037,6 +6101,11 @@ impl PlatformExprStrategy { ctx.data.instrument(&factor.symbol), &self.config.risk_config, ) { + if defer_limit_state_selection_risk + && matches!(decision.rule_code.as_str(), "upper_limit" | "lower_limit") + { + continue; + } decisions.push(decision); } } @@ -6326,12 +6395,14 @@ impl PlatformExprStrategy { if !self.config.aiquant_transaction_cost && !candidate.allow_sell { return false; } - let check_price = if self.config.aiquant_transaction_cost { - self.aiquant_scheduled_sell_price_at_time(ctx, date, symbol, execution_time) - .unwrap_or_else(|| market.price(PriceField::Last)) - } else { - market.price(PriceField::Last) - }; + let check_price = self.projected_risk_check_price( + ctx, + date, + symbol, + market, + OrderSide::Sell, + execution_time, + ); ChinaAShareRiskControl::sell_rejection_reason_with_config( date, candidate, @@ -6363,12 +6434,8 @@ impl PlatformExprStrategy { { return Ok(Some("bjse".to_string())); } - let upper_limit_check_price = if self.config.aiquant_transaction_cost { - self.aiquant_scheduled_buy_price(ctx, date, symbol) - .unwrap_or_else(|| market.price(PriceField::Last)) - } else { - market.buy_price(PriceField::DayOpen) - }; + let upper_limit_check_price = + self.projected_risk_check_price(ctx, date, symbol, &market, OrderSide::Buy, None); if let Some(reason) = ChinaAShareRiskControl::buy_rejection_reason_with_config( date, &candidate, @@ -6397,8 +6464,17 @@ impl PlatformExprStrategy { band_high: f64, limit: usize, ) -> Result<(Vec, Vec, Vec), BacktestError> { - let universe = self.selectable_universe_on(ctx, date, universe_factor_date); - let risk_decisions = self.selection_risk_decisions(ctx, date, universe_factor_date); + let defer_limit_state_selection_risk = ctx.is_lagged_execution(); + let universe = if defer_limit_state_selection_risk { + self.selectable_universe_on_with_options(ctx, date, universe_factor_date, true) + } else { + self.selectable_universe_on(ctx, date, universe_factor_date) + }; + let risk_decisions = if defer_limit_state_selection_risk { + self.selection_risk_decisions_with_options(ctx, date, universe_factor_date, true) + } else { + self.selection_risk_decisions(ctx, date, universe_factor_date) + }; let mut diagnostics = Self::selection_risk_decision_diagnostics( &risk_decisions, date, @@ -7085,7 +7161,8 @@ impl PlatformExprStrategy { ctx, date, universe_factor_date, - self.selection_uses_intraday_quote_fields() + ctx.is_lagged_execution() + || self.selection_uses_intraday_quote_fields() || quote_usage != StockFilterQuoteUsage::DailyOnly, ); let quote_candidate_limit = self.quote_plan_candidate_limit(selection_limit); @@ -8620,6 +8697,168 @@ mod tests { ); } + #[test] + fn platform_next_open_projected_execution_price_uses_open_not_close() { + let date = d(2025, 1, 2); + let market = DailyMarketSnapshot { + date, + symbol: "000001.SZ".to_string(), + timestamp: Some(format!("{date} 15:00:00")), + day_open: 10.0, + open: 10.0, + high: 11.0, + low: 9.8, + close: 11.0, + last_price: 11.0, + bid1: 11.0, + ask1: 11.0, + prev_close: 10.0, + volume: 1_000_000, + minute_volume: 10_000, + bid1_volume: 10_000, + ask1_volume: 10_000, + trading_phase: Some("continuous".to_string()), + paused: false, + upper_limit: 11.0, + lower_limit: 9.0, + price_tick: 0.01, + }; + let mut cfg = PlatformExprStrategyConfig::microcap_rotation(); + cfg.matching_type = MatchingType::NextBarOpen; + let strategy = PlatformExprStrategy::new(cfg); + + assert_eq!( + strategy.projected_execution_price(&market, OrderSide::Buy), + 10.0 + ); + assert_eq!( + strategy.projected_execution_price(&market, OrderSide::Sell), + 10.0 + ); + + let mut aiquant_cfg = PlatformExprStrategyConfig::microcap_rotation(); + aiquant_cfg.matching_type = MatchingType::NextBarOpen; + aiquant_cfg.aiquant_transaction_cost = true; + let aiquant_strategy = PlatformExprStrategy::new(aiquant_cfg); + assert_eq!( + aiquant_strategy.projected_execution_price(&market, OrderSide::Buy), + 10.0 + ); + assert_eq!( + aiquant_strategy.projected_execution_price(&market, OrderSide::Sell), + 10.0 + ); + } + + #[test] + fn platform_next_open_sell_risk_uses_open_not_close_for_lower_limit() { + let prev_date = d(2025, 1, 1); + let date = d(2025, 1, 2); + let symbol = "000001.SZ"; + let data = DataSet::from_components( + vec![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(), + }], + vec![DailyMarketSnapshot { + date, + symbol: symbol.to_string(), + timestamp: Some(format!("{date} 15:00:00")), + day_open: 9.2, + open: 9.2, + high: 9.5, + low: 9.0, + close: 9.0, + last_price: 9.0, + bid1: 9.0, + ask1: 9.01, + prev_close: 10.0, + volume: 1_000_000, + minute_volume: 10_000, + bid1_volume: 10_000, + ask1_volume: 10_000, + trading_phase: Some("continuous".to_string()), + paused: false, + upper_limit: 11.0, + lower_limit: 9.0, + price_tick: 0.01, + }], + vec![DailyFactorSnapshot { + date, + symbol: symbol.to_string(), + market_cap_bn: 10.0, + free_float_cap_bn: 8.0, + pe_ttm: 12.0, + 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_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, + }], + vec![BenchmarkSnapshot { + date, + benchmark: "000852.SH".to_string(), + open: 1000.0, + close: 1000.0, + prev_close: 999.0, + volume: 1_000_000, + }], + ) + .expect("dataset"); + let mut portfolio = PortfolioState::new(1_000_000.0); + portfolio.position_mut(symbol).buy(prev_date, 1_000, 10.0); + let subscriptions = BTreeSet::new(); + let ctx = StrategyContext { + execution_date: date, + decision_date: date, + decision_index: 1, + 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.matching_type = MatchingType::NextBarOpen; + let strategy = PlatformExprStrategy::new(cfg); + + assert!( + strategy.can_sell_position_at_time(&ctx, date, symbol, None), + "next-open sell should use open=9.2 instead of close=9.0 for lower-limit risk" + ); + + let mut aiquant_cfg = PlatformExprStrategyConfig::microcap_rotation(); + aiquant_cfg.matching_type = MatchingType::NextBarOpen; + aiquant_cfg.aiquant_transaction_cost = true; + let aiquant_strategy = PlatformExprStrategy::new(aiquant_cfg); + assert!( + aiquant_strategy.can_sell_position_at_time(&ctx, date, symbol, None), + "next-open risk must still use open when compatibility profile enables scheduled quotes" + ); + } + #[test] fn platform_selection_kcb_switch_overrides_legacy_universe_exclude() { let date = d(2025, 1, 2); @@ -11952,6 +12191,149 @@ mod tests { assert!(selected.is_empty()); } + #[test] + fn platform_next_open_select_symbols_defers_decision_day_limit_state() { + let decision_date = d(2025, 1, 2); + let execution_date = d(2025, 1, 3); + let signal = "000001.SH"; + let symbol = "600001.SH"; + let market = + |date: NaiveDate, code: &str, open: f64, close: f64, upper: f64, lower: f64| { + DailyMarketSnapshot { + date, + symbol: code.to_string(), + timestamp: Some(format!("{date} 15:00:00")), + day_open: open, + open, + high: close.max(open), + low: close.min(open), + close, + last_price: close, + bid1: close, + ask1: close, + prev_close: 10.0, + volume: 1_000_000, + minute_volume: 10_000, + bid1_volume: 10_000, + ask1_volume: 10_000, + trading_phase: Some("continuous".to_string()), + paused: false, + upper_limit: upper, + lower_limit: lower, + price_tick: 0.01, + } + }; + let data = DataSet::from_components( + [signal, symbol] + .into_iter() + .map(|code| Instrument { + symbol: code.to_string(), + name: code.to_string(), + board: if code.ends_with(".SH") { "SH" } else { "SZ" }.to_string(), + round_lot: 100, + listed_at: Some(d(2020, 1, 1)), + delisted_at: None, + status: "active".to_string(), + }) + .collect(), + vec![ + market(decision_date, signal, 10.0, 10.1, 11.0, 9.0), + market(execution_date, signal, 10.0, 10.1, 11.0, 9.0), + market(decision_date, symbol, 10.9, 11.0, 11.0, 9.0), + market(execution_date, symbol, 10.5, 10.6, 11.0, 9.0), + ], + vec![DailyFactorSnapshot { + date: decision_date, + symbol: symbol.to_string(), + market_cap_bn: 12.0, + free_float_cap_bn: 8.0, + pe_ttm: 10.0, + turnover_ratio: Some(1.0), + effective_turnover_ratio: Some(1.0), + extra_factors: BTreeMap::new(), + }], + vec![CandidateEligibility { + date: decision_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, + }], + [decision_date, execution_date] + .into_iter() + .map(|date| BenchmarkSnapshot { + date, + benchmark: "000852.SH".to_string(), + open: 1000.0, + close: 1000.0, + prev_close: 999.0, + volume: 1_000_000, + }) + .collect(), + ) + .expect("dataset"); + let portfolio = PortfolioState::new(1_000_000.0); + let subscriptions = BTreeSet::new(); + let ctx = StrategyContext { + execution_date, + decision_date, + decision_index: 1, + 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.matching_type = MatchingType::NextBarOpen; + cfg.signal_symbol = signal.to_string(); + cfg.market_cap_lower_expr = "0".to_string(); + cfg.market_cap_upper_expr = "100".to_string(); + cfg.selection_limit_expr = "1".to_string(); + cfg.stock_filter_expr = "true".to_string(); + cfg.benchmark_short_ma_days = 1; + cfg.benchmark_long_ma_days = 1; + let strategy = PlatformExprStrategy::new(cfg); + let day = strategy.day_state(&ctx, decision_date).expect("day state"); + + let (selected, diagnostics, risk_decisions) = strategy + .select_symbols( + &ctx, + decision_date, + decision_date, + decision_date, + &day, + 0.0, + 100.0, + 1, + ) + .expect("select symbols"); + + assert_eq!(selected, vec![symbol.to_string()]); + assert!( + diagnostics.iter().all(|line| !line.contains("upper_limit")), + "{diagnostics:?}" + ); + assert!( + risk_decisions + .iter() + .all(|decision| decision.rule_code != "upper_limit"), + "{risk_decisions:?}" + ); + } + #[test] fn platform_market_cap_field_uses_storage_unit_without_extra_scaling() { let date = d(2025, 4, 8); diff --git a/crates/fidc-core/src/strategy_ai.rs b/crates/fidc-core/src/strategy_ai.rs index a6d32f7..a024d3b 100644 --- a/crates/fidc-core/src/strategy_ai.rs +++ b/crates/fidc-core/src/strategy_ai.rs @@ -135,7 +135,7 @@ pub fn built_in_strategy_manual() -> StrategyAiManual { "AI 生成策略时只能输出完整 engine-script 代码，不输出 Markdown、解释、推理过程、JSON 包装或手册复述。".to_string(), "表达式字段以运行时字段为准：市值使用 market_cap，流通市值使用 free_float_cap；不要在策略表达式中使用数据库原始字段 float_market_cap。".to_string(), "任意窗口价格均线使用 rolling_mean(\"close\", n) 或 ma(\"close\", n)，任意窗口均量使用 rolling_mean(\"volume\", n) 或 vma(n)；不要使用未列出的 ma60、stock_ma60、signal_ma60 或 benchmark_ma60 变量。".to_string(), - "next_bar_open 会用决策日信号生成订单，并在下一可交易开盘撮合；不得把执行日 open/high/low/close 当成下单前已知信息。".to_string(), + "next_bar_open 会用决策日信号生成订单，并在下一可交易开盘撮合；不得把执行日 open/high/low/close 当成下单前已知信息；涨停买入和跌停卖出风控必须用实际 next-open 成交价比较，不能用执行日 close/last 或 next-close。".to_string(), "自定义 fn 必须通过参数传入运行时字段；不要用 fn score() 这类零参数函数直接引用 market_cap、close、ma5 等股票字段。".to_string(), "禁止自由 Python/JavaScript 命令式语句，最终必须输出平台 DSL。".to_string(), ], @@ -258,7 +258,7 @@ pub fn built_in_strategy_manual() -> StrategyAiManual { }, ManualSection { title: "execution.matching_type / execution.slippage".to_string(), - detail: "设置回测全局撮合模式和滑点。日线回测只允许 execution.matching_type(\"current_bar_close\") 或 execution.matching_type(\"next_bar_open\")；current_bar_close 使用决策日当日 close，next_bar_open 使用决策日信号并在下一可交易日 open 撮合，禁止把执行日 open/high/low/close 解释为下单前已知数据。分钟线回测使用当前分钟价格成交，只能写 execution.matching_type(\"minute_last\")；不要把 vwap、twap、open_auction、minute_best_own、minute_best_counterparty 写成全局 matching_type，这些只属于显式订单或内部撮合能力。滑点支持 execution.slippage(\"none\") / execution.slippage(\"price_ratio\", 0.001) / execution.slippage(\"tick_size\", 1) / execution.slippage(\"limit_price\")，其中 limit_price 会在限价单成交时按挂单价模拟 平台内核 的最坏成交价。".to_string(), + detail: "设置回测全局撮合模式和滑点。日线回测只允许 execution.matching_type(\"current_bar_close\") 或 execution.matching_type(\"next_bar_open\")；current_bar_close 使用决策日当日 close，next_bar_open 使用决策日信号并在下一可交易日 open 撮合，禁止把执行日 open/high/low/close 解释为下单前已知数据；next_bar_open 的涨停买入和跌停卖出判断必须比较实际 open 成交价与涨跌停价，不能用执行日 close/last 或 next-close。分钟线回测使用当前分钟价格成交，只能写 execution.matching_type(\"minute_last\")；不要把 vwap、twap、open_auction、minute_best_own、minute_best_counterparty 写成全局 matching_type，这些只属于显式订单或内部撮合能力。滑点支持 execution.slippage(\"none\") / execution.slippage(\"price_ratio\", 0.001) / execution.slippage(\"tick_size\", 1) / execution.slippage(\"limit_price\")，其中 limit_price 会在限价单成交时按挂单价模拟 平台内核 的最坏成交价。".to_string(), }, ManualSection { title: "期货提交校验".to_string(), @@ -484,7 +484,7 @@ pub fn render_manual_markdown(manual: &StrategyAiManual) -> String { out.push_str("- `filter.stock_expr(...)` 只写 alpha 或业务过滤条件；不要把 `!is_st`、`!paused`、`!at_upper_limit`、`!at_lower_limit` 这类基础风控散落在过滤表达式里。\n"); out.push_str("- 完整三元表达式 `cond ? a : b` 可在表达式参数中使用；若当前运行环境报 `Unknown operator: '?'`，先重编译并重启回测服务，不要改写策略语义掩盖运行时漂移。\n"); out.push_str("- `next_bar_open` 的选股、排序和仓位信号来自决策日，订单在下一可交易开盘撮合；不要使用执行日价格作为下单前信号。\n"); - out.push_str("- `next_bar_open` 必须区分信号日、订单创建日和实际成交日：T 日只生成订单意图，涨跌停、停牌、ST、退市、一元股、黑名单、成交量和盘口流动性等执行约束必须由撮合/风控层按实际成交日判断，禁止用 T 日执行状态拦截 T+1 可交易订单。\n"); + out.push_str("- `next_bar_open` 必须区分信号日、订单创建日和实际成交日：T 日只生成订单意图，涨跌停、停牌、ST、退市、一元股、黑名单、成交量和盘口流动性等执行约束必须由撮合/风控层按实际成交日判断；涨停买入和跌停卖出必须比较实际 next-open 成交价与涨跌停价，不能用执行日 close/last 或 next-close；禁止用 T 日执行状态拦截 T+1 可交易订单。\n"); out.push_str("- `execution.matching_type(...)` 和 `execution.slippage(...)` 必须使用手册列出的合法取值。\n\n"); out.push_str("## 语句块\n"); for item in &manual.statement_blocks { @@ -564,7 +564,7 @@ pub fn build_generation_prompt( prompt.push('\n'); prompt.push_str("- 不要使用手册未列出的字段、函数或外部平台 API 名称。\n\n"); prompt.push_str("只允许使用这些可编译语句：market、benchmark、signal、rebalance.every_days(...).at([...])、selection.limit、selection.market_cap_band、filter.stock_ma、filter.stock_expr、ordering.rank_by、ordering.rank_expr、allocation.buy_scale、risk.stop_loss、risk.take_profit、risk.index_exposure、risk.policy、risk.blacklist、execution.matching_type、execution.slippage、universe.exclude。universe.exclude 只用于用户明确要求的业务排除项，不能表达 FIDC 基础风控。禁止输出 filter(...)、rank(...)、select.top(...)、weight.equal()、sell_rule(...)、backtest(...)、risk.max_position(...) 这类未支持伪语法。\n"); - prompt.push_str(&format!("参数形态必须严格：selection.market_cap_band 必须写 field=\"market_cap\" 或 field=\"free_float_cap\", lower=..., upper=...；禁止使用 float_market_cap；禁止使用 ma60、stock_ma60、signal_ma60、benchmark_ma60，60日价格均线写 rolling_mean(\"close\", 60) 或 ma(\"close\", 60)，任意窗口均量写 rolling_mean(\"volume\", n) 或 vma(n)；rolling_mean、rolling_sum/min/max/stddev/zscore、pct_change、factor_value 等 helper 的第一个参数必须是字段名或字符串字段名，不能传嵌套表达式或另一个 helper 调用；不要生成 fn score() 这类零参数函数，股票字段排序直接写在 ordering.rank_expr 内或用带参数函数；布尔字段按布尔使用，不要写 is_st == 0；filter.stock_expr 只写 alpha 或业务过滤条件，不要把 !is_st、!paused、!at_upper_limit、!at_lower_limit 这类基础风控散落在表达式里；risk.index_exposure 只能传一个数值表达式，不要使用 risk.exposure；risk.policy 只写 FIDC 基础风控、成交量和交易成本命名参数，必须覆盖完整默认配置面，例如 {DEFAULT_RISK_POLICY_DSL_PROMPT}，不要用它表达策略择时或收益规则；完整三元表达式 cond ? a : b 可以使用，但不得输出残缺问号/冒号片段；日线回测 execution.matching_type 只能取 current_bar_close 或 next_bar_open，分钟线回测只能取 minute_last；不要把 vwap、twap、open_auction、minute_best_own、minute_best_counterparty 写成全局 matching_type；next_bar_open 只能使用决策日信号，不能把执行日价格当作下单前信息；next_bar_open 下 T 日只生成订单意图，涨跌停、停牌、ST、退市、一元股、黑名单、成交量和盘口流动性等执行约束必须由撮合/风控层按实际成交日判断，禁止用 T 日执行状态拦截 T+1 可交易订单；execution.slippage 必须写 execution.slippage(\"none\") 或 execution.slippage(\"price_ratio\", 0.001)。\n")); + prompt.push_str(&format!("参数形态必须严格：selection.market_cap_band 必须写 field=\"market_cap\" 或 field=\"free_float_cap\", lower=..., upper=...；禁止使用 float_market_cap；禁止使用 ma60、stock_ma60、signal_ma60、benchmark_ma60，60日价格均线写 rolling_mean(\"close\", 60) 或 ma(\"close\", 60)，任意窗口均量写 rolling_mean(\"volume\", n) 或 vma(n)；rolling_mean、rolling_sum/min/max/stddev/zscore、pct_change、factor_value 等 helper 的第一个参数必须是字段名或字符串字段名，不能传嵌套表达式或另一个 helper 调用；不要生成 fn score() 这类零参数函数，股票字段排序直接写在 ordering.rank_expr 内或用带参数函数；布尔字段按布尔使用，不要写 is_st == 0；filter.stock_expr 只写 alpha 或业务过滤条件，不要把 !is_st、!paused、!at_upper_limit、!at_lower_limit 这类基础风控散落在表达式里；risk.index_exposure 只能传一个数值表达式，不要使用 risk.exposure；risk.policy 只写 FIDC 基础风控、成交量和交易成本命名参数，必须覆盖完整默认配置面，例如 {DEFAULT_RISK_POLICY_DSL_PROMPT}，不要用它表达策略择时或收益规则；完整三元表达式 cond ? a : b 可以使用，但不得输出残缺问号/冒号片段；日线回测 execution.matching_type 只能取 current_bar_close 或 next_bar_open，分钟线回测只能取 minute_last；不要把 vwap、twap、open_auction、minute_best_own、minute_best_counterparty 写成全局 matching_type；next_bar_open 只能使用决策日信号，不能把执行日价格当作下单前信息；next_bar_open 下 T 日只生成订单意图，涨跌停、停牌、ST、退市、一元股、黑名单、成交量和盘口流动性等执行约束必须由撮合/风控层按实际成交日判断；涨停买入和跌停卖出必须用实际 next-open 成交价比较，不能用执行日 close/last 或 next-close；禁止用 T 日执行状态拦截 T+1 可交易订单；execution.slippage 必须写 execution.slippage(\"none\") 或 execution.slippage(\"price_ratio\", 0.001)。\n")); prompt.push_str("回测成功但 tradeCount=0 或 holdingCount=0 是无效策略；第一版必须保持稳定买入覆盖率，复杂因子只能在后续优化中逐步加严。\n"); prompt.push_str("可参考但不要照抄的最小模板，回复时不要包含 ``` 代码围栏：\nstrategy(\"cn_a_smallcap_factor_rotation\") {\nmarket(\"CN_A\")\nbenchmark(\"000852.SH\")\nsignal(\"000001.SH\")\nrebalance.every_days(5).at([\"10:18\"])\nselection.limit(40)\nselection.market_cap_band(field=\"market_cap\", lower=0, upper=1000)\nfilter.stock_expr(listed_days >= 60 && close > 2)\nordering.rank_by(\"market_cap\", \"asc\")\nallocation.buy_scale(1.0)\nrisk.policy("); prompt.push_str(DEFAULT_RISK_POLICY_DSL_CODE);