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修复平台策略执行行情投影判断

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This commit is contained in:
boris
2026-06-17 19:08:19 +08:00
parent dae573e318
commit d8b6130428
1 changed files with 84 additions and 56 deletions
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crates/fidc-core/src/platform_expr_strategy.rs
+84 -56
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@@ -1531,7 +1531,7 @@ impl PlatformExprStrategy {
symbol,
execution_state,
execution_time,
) && !ctx.data.has_execution_quotes_on_date(date)
) && ctx.data.execution_quotes_on(date, symbol).is_empty()
{
Some(ProjectedExecutionFill {
price: self.projected_execution_price(market, OrderSide::Sell),
@@ -1887,7 +1887,7 @@ impl PlatformExprStrategy {
)
.or_else(|| {
if !self.has_execution_quote_at_or_before(ctx, date, symbol, execution_state)
&& !ctx.data.has_execution_quotes_on_date(date)
&& ctx.data.execution_quotes_on(date, symbol).is_empty()
{
Some(ProjectedExecutionFill {
price: sizing_price,
@@ -15146,60 +15146,73 @@ mod tests {
fn platform_aiquant_projection_uses_snapshot_before_execution_quotes_are_loaded() {
let date = d(2025, 5, 14);
let symbol = "000003.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("2025-05-14 14:59:00".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: 9.9,
volume: 1_000_000,
tick_volume: 10_000,
bid1_volume: 2_000,
ask1_volume: 2_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: 10.0,
pe_ttm: 8.0,
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_new_listing: false,
is_paused: false,
allow_buy: true,
allow_sell: true,
is_kcb: false,
is_one_yuan: false,
}],
let other_symbol = "000004.SZ";
let data = DataSet::from_components_with_actions_and_quotes(
[symbol, other_symbol]
.into_iter()
.map(|item| Instrument {
symbol: item.to_string(),
name: item.to_string(),
board: "SZ".to_string(),
round_lot: 100,
listed_at: Some(d(2020, 1, 1)),
delisted_at: None,
status: "active".to_string(),
})
.collect(),
[symbol, other_symbol]
.into_iter()
.map(|item| DailyMarketSnapshot {
date,
symbol: item.to_string(),
timestamp: Some("2025-05-14 14:59:00".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: 9.9,
volume: 1_000_000,
tick_volume: 10_000,
bid1_volume: 2_000,
ask1_volume: 2_000,
trading_phase: Some("continuous".to_string()),
paused: false,
upper_limit: 11.0,
lower_limit: 9.0,
price_tick: 0.01,
})
.collect(),
[symbol, other_symbol]
.into_iter()
.map(|item| DailyFactorSnapshot {
date,
symbol: item.to_string(),
market_cap_bn: 10.0,
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(),
[symbol, other_symbol]
.into_iter()
.map(|item| CandidateEligibility {
date,
symbol: item.to_string(),
is_st: false,
is_new_listing: false,
is_paused: false,
allow_buy: true,
allow_sell: true,
is_kcb: false,
is_one_yuan: false,
})
.collect(),
vec![BenchmarkSnapshot {
date,
benchmark: "000852.SH".to_string(),
@@ -15208,6 +15221,20 @@ mod tests {
prev_close: 998.0,
volume: 1_000_000,
}],
Vec::new(),
vec![IntradayExecutionQuote {
date,
symbol: other_symbol.to_string(),
timestamp: date.and_hms_opt(10, 18, 0).unwrap(),
last_price: 10.0,
bid1: 10.0,
ask1: 10.0,
bid1_volume: 1_000,
ask1_volume: 1_000,
volume_delta: 100,
amount_delta: 1_000.0,
trading_phase: Some("continuous".to_string()),
}],
)
.expect("dataset");
@@ -15236,6 +15263,7 @@ mod tests {
let mut execution_state = super::ProjectedExecutionState::default();
assert!(ctx.data.execution_quotes_on(date, symbol).is_empty());
assert!(!ctx.data.execution_quotes_on(date, other_symbol).is_empty());
let filled = strategy.project_order_value(
&ctx,
&mut projected,