diff --git a/crates/fidc-core/src/platform_expr_strategy.rs b/crates/fidc-core/src/platform_expr_strategy.rs index cb43a76..c1e76b2 100644 --- a/crates/fidc-core/src/platform_expr_strategy.rs +++ b/crates/fidc-core/src/platform_expr_strategy.rs @@ -4612,18 +4612,13 @@ impl Strategy for PlatformExprStrategy { 0 }; let stock_list = if self.config.rotation_enabled { - let selection_scan_limit = if self.config.daily_top_up_enabled { - selection_limit.saturating_add(80).max(120) - } else { - selection_limit - }; let (stock_list, notes) = self.select_symbols( ctx, decision_date, &day, band_low, band_high, - selection_scan_limit, + selection_limit, )?; selection_notes = notes; stock_list @@ -6121,6 +6116,139 @@ mod tests { assert_eq!(decision.order_intents.len(), 1); } + #[test] + fn platform_daily_top_up_keeps_selection_limited_to_target_count() { + let date = d(2025, 2, 3); + let symbols = ["000001.SZ", "000002.SZ", "000003.SZ"]; + let data = DataSet::from_components( + 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("2025-02-03 09:33:00".to_string()), + day_open: 10.0, + open: 10.0, + high: 10.5, + low: 9.8, + close: 10.0, + last_price: 10.0, + bid1: 9.99, + ask1: 10.01, + 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(), + symbols + .iter() + .enumerate() + .map(|(index, symbol)| DailyFactorSnapshot { + date, + symbol: (*symbol).to_string(), + market_cap_bn: 10.0 + index as f64, + free_float_cap_bn: 10.0 + index as f64, + 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_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(), + open: 1000.0, + close: 1002.0, + prev_close: 998.0, + volume: 1_000_000, + }], + ) + .expect("dataset"); + let portfolio = PortfolioState::new(30_000.0); + 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.signal_symbol = "000001.SZ".to_string(); + cfg.refresh_rate = 99; + cfg.max_positions = 2; + 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 = "100".to_string(); + cfg.selection_limit_expr = "2".to_string(); + cfg.stock_filter_expr = "close > 0".to_string(); + cfg.daily_top_up_enabled = true; + cfg.retry_empty_rebalance = true; + let mut strategy = PlatformExprStrategy::new(cfg); + + let decision = strategy.on_day(&ctx).expect("platform decision"); + + assert!( + decision + .diagnostics + .iter() + .any(|item| item.contains("selected=2")), + "{:?}", + decision.diagnostics + ); + assert!( + !decision + .diagnostics + .iter() + .any(|item| item.contains("selected=3")), + "{:?}", + decision.diagnostics + ); + } + #[test] fn platform_strategy_emits_target_shares_explicit_action() { let date = d(2025, 2, 3);