diff --git a/crates/fidc-core/src/platform_expr_strategy.rs b/crates/fidc-core/src/platform_expr_strategy.rs index de54a60..eb871ba 100644 --- a/crates/fidc-core/src/platform_expr_strategy.rs +++ b/crates/fidc-core/src/platform_expr_strategy.rs @@ -7854,6 +7854,7 @@ impl Strategy for PlatformExprStrategy { let mut intraday_attempted_buys = BTreeSet::::new(); let mut delayed_sold_symbols = BTreeSet::::new(); let mut unresolved_stop_loss_symbols = BTreeSet::::new(); + let mut unsellable_stop_take_attempted_symbols = BTreeSet::::new(); let mut pre_detected_stop_take_exit_symbols = BTreeSet::::new(); let mut pending_risk_level_forced_exit_symbols = BTreeSet::::new(); let delayed_limit_exit_time = self @@ -8164,16 +8165,29 @@ impl Strategy for PlatformExprStrategy { } let (stop_hit, profit_hit) = self.stop_take_action_for_position(ctx, signal_date, &day, position)?; - if stop_hit { - pre_detected_stop_take_exit_symbols.insert(position.symbol.clone()); - continue; - } - if profit_hit { - pre_detected_stop_take_exit_symbols.insert(position.symbol.clone()); - continue; - } let can_sell = defer_execution_risk || self.can_sell_position(ctx, execution_date, &position.symbol); + if stop_hit || profit_hit { + if can_sell { + pre_detected_stop_take_exit_symbols.insert(position.symbol.clone()); + } else { + let reason = if stop_hit { + "stop_loss_exit" + } else { + "take_profit_exit" + }; + order_intents.push(OrderIntent::TargetValue { + symbol: position.symbol.clone(), + target_value: 0.0, + reason: reason.to_string(), + }); + unsellable_stop_take_attempted_symbols.insert(position.symbol.clone()); + if stop_hit { + unresolved_stop_loss_symbols.insert(position.symbol.clone()); + } + } + continue; + } if !can_sell { continue; } @@ -8340,6 +8354,9 @@ impl Strategy for PlatformExprStrategy { let can_sell = defer_execution_risk || self.can_sell_position(ctx, execution_date, &position.symbol); if stop_hit { + if unsellable_stop_take_attempted_symbols.contains(&position.symbol) { + continue; + } self.pending_full_close_symbols .insert(position.symbol.clone()); exit_symbols.insert(position.symbol.clone()); @@ -8372,6 +8389,9 @@ impl Strategy for PlatformExprStrategy { } if profit_hit { + if unsellable_stop_take_attempted_symbols.contains(&position.symbol) { + continue; + } self.pending_full_close_symbols .insert(position.symbol.clone()); exit_symbols.insert(position.symbol.clone()); @@ -15697,6 +15717,150 @@ mod tests { ))); } + #[test] + fn platform_aiquant_allows_target_adjust_when_stop_loss_sell_is_lower_limit_blocked() { + let prev_date = d(2025, 1, 10); + let date = d(2025, 1, 13); + let symbol = "603269.SH"; + let data = DataSet::from_components_with_actions_and_quotes( + vec![Instrument { + symbol: symbol.to_string(), + name: symbol.to_string(), + board: "SH".to_string(), + round_lot: 100, + listed_at: Some(d(2010, 1, 1)), + delisted_at: None, + status: "active".to_string(), + }], + vec![DailyMarketSnapshot { + date, + symbol: symbol.to_string(), + timestamp: Some("2025-01-13 10:15:00".to_string()), + day_open: 12.5, + open: 12.5, + high: 12.5, + low: 12.5, + close: 12.5, + last_price: 12.5, + bid1: 12.5, + ask1: 12.5, + prev_close: 13.89, + volume: 600, + minute_volume: 600, + bid1_volume: 0, + ask1_volume: 0, + trading_phase: Some("continuous".to_string()), + paused: false, + upper_limit: 15.28, + lower_limit: 12.5, + price_tick: 0.01, + }], + vec![DailyFactorSnapshot { + date, + symbol: symbol.to_string(), + market_cap_bn: 2.7567, + free_float_cap_bn: 2.7567, + 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_star_st: false, + is_new_listing: false, + is_paused: false, + allow_buy: true, + allow_sell: true, + is_kcb: false, + is_one_yuan: false, + risk_level_code: None, + }], + vec![BenchmarkSnapshot { + date, + benchmark: "000852.SH".to_string(), + open: 1000.0, + close: 1000.0, + prev_close: 1000.0, + volume: 1_000_000, + }], + Vec::new(), + vec![IntradayExecutionQuote { + date, + symbol: symbol.to_string(), + timestamp: date.and_hms_opt(10, 15, 0).expect("timestamp"), + last_price: 12.5, + bid1: 12.5, + ask1: 12.5, + bid1_volume: 0, + ask1_volume: 0, + volume_delta: 600, + amount_delta: 7_500.0, + trading_phase: Some("continuous".to_string()), + }], + ) + .expect("dataset"); + let mut portfolio = PortfolioState::new(3_950_000.0); + portfolio + .position_mut(symbol) + .buy_with_mark_price(prev_date, 3_500, 13.9039, 12.5); + 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.aiquant_transaction_cost = true; + cfg.matching_type = MatchingType::MinuteLast; + cfg.risk_config.trading_constraints.volume_limit_enabled = true; + cfg.risk_config.trading_constraints.volume_percent = 0.25; + cfg.risk_config.trading_constraints.liquidity_limit_enabled = true; + cfg.signal_symbol = symbol.to_string(); + cfg.exposure_expr = "0.5".to_string(); + cfg.selection_limit_expr = "40".to_string(); + cfg.stock_filter_expr = "false".to_string(); + cfg.stop_loss_expr = "0.92".to_string(); + cfg.take_profit_expr.clear(); + cfg.intraday_execution_time = Some(NaiveTime::from_hms_opt(10, 15, 0).expect("time")); + let mut strategy = PlatformExprStrategy::new(cfg); + + let decision = strategy.on_day(&ctx).expect("platform decision"); + + assert!(decision.order_intents.iter().any(|intent| matches!( + intent, + OrderIntent::TargetValue { + symbol: intent_symbol, + target_value, + reason, + } if intent_symbol == symbol && *target_value == 0.0 && reason == "stop_loss_exit" + ))); + assert!(decision.order_intents.iter().any(|intent| matches!( + intent, + OrderIntent::Shares { + symbol: intent_symbol, + quantity, + reason, + } if intent_symbol == symbol + && *quantity > 0 + && reason == "daily_position_target_adjust" + ))); + assert!(!strategy.pending_full_close_symbols.contains(symbol)); + } + #[test] fn platform_aiquant_stock_expr_uses_scheduled_minute_price_for_limit_check() { let date = d(2024, 1, 30); diff --git a/crates/fidc-core/src/platform_strategy_spec.rs b/crates/fidc-core/src/platform_strategy_spec.rs index 44eb4e9..ed240b6 100644 --- a/crates/fidc-core/src/platform_strategy_spec.rs +++ b/crates/fidc-core/src/platform_strategy_spec.rs @@ -114,6 +114,8 @@ pub struct StrategyEngineConfig { pub template_id: Option, #[serde(default, alias = "profile_name")] pub profile_name: Option, + #[serde(default, alias = "compatibility_profile")] + pub compatibility_profile: Option, #[serde(default, alias = "benchmark_symbol")] pub benchmark_symbol: Option, #[serde(default, alias = "signal_symbol")] @@ -1689,11 +1691,10 @@ pub fn platform_expr_config_from_spec( if !cfg.benchmark_symbol.trim().is_empty() { cfg.benchmark_symbol = normalize_symbol(&cfg.benchmark_symbol, None); } - let aiquant_profile = is_aiquant_profile( - spec.engine_config - .as_ref() - .and_then(|engine| engine.profile_name.as_deref()), - ); + let aiquant_profile = spec.engine_config.as_ref().is_some_and(|engine| { + is_aiquant_profile(engine.profile_name.as_deref()) + || is_aiquant_profile(engine.compatibility_profile.as_deref()) + }); if aiquant_profile { cfg.aiquant_transaction_cost = true; cfg.strict_value_budget = true; @@ -2881,6 +2882,32 @@ mod tests { ); } + #[test] + fn parses_aiquant_compatibility_profile_for_delayed_limit_exit() { + let spec = serde_json::json!({ + "engineConfig": { + "profileName": "cn_a_microcap_v1", + "compatibilityProfile": "aiquant_rqalpha" + }, + "rebalance": { "tradeTimes": ["09:31", "10:15"] }, + "runtimeExpressions": { + "schedule": { "frequency": "daily", "time": "10:15" } + } + }); + + let cfg = platform_expr_config_from_value("", "", &spec).expect("config"); + + assert_eq!( + cfg.intraday_execution_time, + Some(NaiveTime::from_hms_opt(10, 15, 0).unwrap()) + ); + assert!(cfg.delayed_limit_open_exit_enabled); + assert_eq!( + cfg.delayed_limit_open_exit_time, + Some(NaiveTime::from_hms_opt(9, 31, 0).unwrap()) + ); + } + #[test] fn parses_explicit_delayed_limit_open_exit() { let spec = serde_json::json!({