支持排名缓冲换仓策略

crates/fidc-core/src/platform_expr_strategy.rs

@@ -231,6 +231,7 @@ pub struct PlatformExprStrategyConfig {
     pub daily_top_up_enabled: bool,
     pub daily_position_target_adjust_enabled: bool,
     pub rebalance_existing_positions: bool,
+    pub selection_buffer_multiple: f64,
     pub retry_empty_rebalance: bool,
     pub calendar_rebalance_interval: bool,
     pub max_holding_days: Option<i64>,
@@ -303,6 +304,7 @@ fn band_low(index_close) {
             daily_top_up_enabled: false,
             daily_position_target_adjust_enabled: true,
             rebalance_existing_positions: false,
+            selection_buffer_multiple: 1.0,
             retry_empty_rebalance: false,
             calendar_rebalance_interval: false,
             max_holding_days: None,
@@ -673,6 +675,43 @@ impl PlatformExprStrategy {
         value
     }
 
+    fn selection_buffer_rank(&self, selection_limit: usize) -> usize {
+        let multiple = if self.config.selection_buffer_multiple.is_finite() {
+            self.config.selection_buffer_multiple.max(1.0)
+        } else {
+            1.0
+        };
+        selection_limit.max((selection_limit as f64 * multiple) as usize)
+    }
+
+    fn buffered_selection(
+        ranked_symbols: &[String],
+        held_symbols: &BTreeSet<String>,
+        selection_limit: usize,
+        buffer_rank: usize,
+    ) -> Vec<String> {
+        if selection_limit == 0 {
+            return Vec::new();
+        }
+        let mut selected = ranked_symbols
+            .iter()
+            .take(buffer_rank.max(selection_limit))
+            .filter(|symbol| held_symbols.contains(*symbol))
+            .cloned()
+            .take(selection_limit)
+            .collect::<Vec<_>>();
+        let mut selected_set = selected.iter().cloned().collect::<BTreeSet<_>>();
+        for symbol in ranked_symbols {
+            if selected.len() >= selection_limit {
+                break;
+            }
+            if selected_set.insert(symbol.clone()) {
+                selected.push(symbol.clone());
+            }
+        }
+        selected
+    }
+
     fn effective_rebalance_cash_mode(&self) -> RebalanceCashMode {
         if self.config.matching_type == MatchingType::MinuteLast {
             RebalanceCashMode::SellThenBuy
@@ -8151,6 +8190,7 @@ impl PlatformExprStrategy {
         let selection_limit = self
             .selection_limit(ctx, &day)?
             .min(self.config.max_positions.max(1));
+        let quote_selection_limit = self.selection_buffer_rank(selection_limit);
         let (candidate_symbols, order_symbols, processed_scope, diagnostics) = self
             .select_quote_plan_symbols(
                 ctx,
@@ -8160,7 +8200,7 @@ impl PlatformExprStrategy {
                 &day,
                 band_low,
                 band_high,
-                selection_limit,
+                quote_selection_limit,
             )?;
         Ok(PlatformSelectionQuotePlan {
             execution_date: ctx.execution_date,
@@ -8466,7 +8506,8 @@ impl Strategy for PlatformExprStrategy {
         };
         let mut risk_decisions = Vec::new();
         let stock_list = if self.config.rotation_enabled && !in_skip_window {
-            let (stock_list, notes, selection_risk_decisions) = self.select_symbols(
+            let selection_buffer_rank = self.selection_buffer_rank(selection_limit);
+            let (ranked_stock_list, notes, selection_risk_decisions) = self.select_symbols(
                 ctx,
                 selection_market_date,
                 selection_universe_factor_date,
@@ -8474,11 +8515,22 @@ impl Strategy for PlatformExprStrategy {
                 &day,
                 band_low,
                 band_high,
-                selection_limit,
+                selection_buffer_rank,
             )?;
             selection_notes = notes;
             risk_decisions = selection_risk_decisions;
-            stock_list
+            let held_symbols = ctx
+                .portfolio
+                .positions()
+                .keys()
+                .cloned()
+                .collect::<BTreeSet<_>>();
+            Self::buffered_selection(
+                &ranked_stock_list,
+                &held_symbols,
+                selection_limit,
+                selection_buffer_rank,
+            )
         } else {
             Vec::new()
         };
@@ -29660,4 +29712,22 @@ mod tests {
             vec!["000001.SZ".to_string(), "000003.SZ".to_string()]
         );
     }
+
+    #[test]
+    fn selection_buffer_retains_held_symbols_within_buffer_rank() {
+        let ranked = (1..=8)
+            .map(|index| format!("{index:06}.SZ"))
+            .collect::<Vec<_>>();
+        let held = ["000005.SZ", "000006.SZ"]
+            .into_iter()
+            .map(str::to_string)
+            .collect::<BTreeSet<_>>();
+
+        let selected = PlatformExprStrategy::buffered_selection(&ranked, &held, 4, 6);
+
+        assert_eq!(
+            selected,
+            vec!["000005.SZ", "000006.SZ", "000001.SZ", "000002.SZ"]
+        );
+    }
 }

crates/fidc-core/src/platform_strategy_spec.rs

@@ -695,6 +695,8 @@ pub struct StrategyExpressionTradingConfig {
     #[serde(default)]
     pub rebalance_existing_positions: Option<bool>,
     #[serde(default)]
+    pub selection_buffer_multiple: Option<f64>,
+    #[serde(default)]
     pub retry_empty_rebalance: Option<bool>,
     #[serde(default)]
     pub weak_market_shrink_overweight_threshold: Option<f64>,
@@ -1638,6 +1640,12 @@ pub fn platform_expr_config_from_spec(
             if let Some(enabled) = trading.rebalance_existing_positions {
                 cfg.rebalance_existing_positions = enabled;
             }
+            if let Some(multiple) = trading
+                .selection_buffer_multiple
+                .filter(|value| value.is_finite() && *value >= 1.0)
+            {
+                cfg.selection_buffer_multiple = multiple;
+            }
             if let Some(enabled) = trading.retry_empty_rebalance {
                 cfg.retry_empty_rebalance = enabled;
             }
@@ -2957,6 +2965,7 @@ mod tests {
                     "dailyTopUp": false,
                     "dailyPositionTargetAdjust": false,
                     "rebalanceExistingPositions": true,
+                    "selectionBufferMultiple": 1.5,
                     "retryEmptyRebalance": false
                 }
             }
@@ -2967,6 +2976,7 @@ mod tests {
         assert!(!cfg.daily_top_up_enabled);
         assert!(!cfg.daily_position_target_adjust_enabled);
         assert!(cfg.rebalance_existing_positions);
+        assert_eq!(cfg.selection_buffer_multiple, 1.5);
         assert!(!cfg.retry_empty_rebalance);
     }