修复AiQuant补位买入预算口径

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(
+                let slot_buy_cash = if self.config.aiquant_transaction_cost {
-                    ctx,
+                    fixed_slot_buy_cash
-                    &projected,
+                } else {
-                    execution_date,
+                    self.remaining_buy_cash_per_slot(
-                    target_budget,
+                        ctx,
-                    selection_limit,
+                        &projected,
-                    &working_symbols,
+                        execution_date,
-                    &value_symbols,
+                        target_budget,
-                    pending_buy_value,
+                        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);