From dae573e3187ab4e00380c11255159d1f68a49067 Mon Sep 17 00:00:00 2001 From: boris Date: Wed, 17 Jun 2026 18:21:35 +0800 Subject: [PATCH] =?UTF-8?q?=E4=BF=AE=E5=A4=8DAiQuant=E8=A1=A5=E4=BD=8D?= =?UTF-8?q?=E4=B9=B0=E5=85=A5=E9=A2=84=E7=AE=97=E5=8F=A3=E5=BE=84?= MIME-Version: 1.0 Content-Type: text/plain; charset=UTF-8 Content-Transfer-Encoding: 8bit --- .../fidc-core/src/platform_expr_strategy.rs | 205 +++++++++++++++++- 1 file changed, 194 insertions(+), 11 deletions(-) diff --git a/crates/fidc-core/src/platform_expr_strategy.rs b/crates/fidc-core/src/platform_expr_strategy.rs index 9d21ef5..019b859 100644 --- a/crates/fidc-core/src/platform_expr_strategy.rs +++ b/crates/fidc-core/src/platform_expr_strategy.rs @@ -6798,6 +6798,11 @@ impl Strategy for PlatformExprStrategy { && selection_limit > 0 { let target_budget = aiquant_total_value * trading_ratio; + let fixed_slot_buy_cash = if self.config.aiquant_transaction_cost { + target_budget / selection_limit as f64 + } else { + 0.0 + }; let mut working_symbols = slot_working_symbols.clone(); if self.config.release_slot_on_exit_signal { for symbol in &same_day_sold_symbols { @@ -6811,16 +6816,20 @@ impl Strategy for PlatformExprStrategy { if working_symbols.len() >= selection_limit { break; } - let slot_buy_cash = self.remaining_buy_cash_per_slot( - ctx, - &projected, - execution_date, - target_budget, - selection_limit, - &working_symbols, - &value_symbols, - pending_buy_value, - ); + let slot_buy_cash = if self.config.aiquant_transaction_cost { + fixed_slot_buy_cash + } else { + self.remaining_buy_cash_per_slot( + ctx, + &projected, + execution_date, + target_budget, + selection_limit, + &working_symbols, + &value_symbols, + pending_buy_value, + ) + }; let available_buy_cash = slot_buy_cash.min(aiquant_available_cash); if slot_buy_cash <= 0.0 || available_buy_cash < slot_buy_cash * 0.5 { break; @@ -6886,7 +6895,9 @@ impl Strategy for PlatformExprStrategy { aiquant_available_cash = (aiquant_available_cash - spent).max(0.0); working_symbols.insert(symbol.clone()); slot_working_symbols.insert(symbol.clone()); - pending_buy_value += available_buy_cash; + if !self.config.aiquant_transaction_cost { + pending_buy_value += available_buy_cash; + } filled_any = true; break; } @@ -14061,6 +14072,178 @@ mod tests { ); } + #[test] + fn platform_aiquant_daily_top_up_buys_fixed_slot_after_take_profit_exit() { + let prev_date = d(2025, 2, 25); + let date = d(2025, 2, 26); + let symbols = ["000001.SZ", "000002.SZ", "000003.SZ"]; + 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("2025-02-26 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: 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() + .map(|symbol| DailyFactorSnapshot { + date, + symbol: (*symbol).to_string(), + market_cap_bn: match *symbol { + "000003.SZ" => 8.0, + "000002.SZ" => 9.0, + _ => 20.0, + }, + 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_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, + }], + 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: 10_000, + ask1_volume: 10_000, + volume_delta: 0, + amount_delta: 0.0, + trading_phase: Some("continuous".to_string()), + }) + .collect(), + ) + .expect("dataset"); + + let mut portfolio = PortfolioState::new(10_000.0); + portfolio.position_mut("000001.SZ").buy(prev_date, 100, 8.0); + portfolio + .position_mut("000002.SZ") + .buy(prev_date, 3_000, 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 = "000001.SZ".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 = "100".to_string(); + cfg.selection_limit_expr = "3".to_string(); + cfg.stock_filter_expr = "close > 0".to_string(); + cfg.exposure_expr = "0.5".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.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 == "000001.SZ" && *target_value == 0.0 && reason == "take_profit_exit" + )), + "{:?}", + decision.order_intents + ); + assert!( + decision.order_intents.iter().any(|intent| matches!( + intent, + OrderIntent::Shares { + symbol, + quantity, + reason, + } if symbol == "000003.SZ" && *quantity > 0 && reason == "daily_top_up_buy" + )), + "{:?}", + decision.order_intents + ); + } + #[test] fn platform_daily_top_up_keeps_unsellable_stop_loss_in_target_count() { let prev_date = d(2026, 3, 31);