修复AiQuant转换调度和不可卖调仓语义

2026-07-06 10:07:56 +08:00
parent fe39a75e6e
commit db1ffb5918
2 changed files with 204 additions and 13 deletions
@@ -7854,6 +7854,7 @@ impl Strategy for PlatformExprStrategy {
        let mut intraday_attempted_buys = BTreeSet::<String>::new();
        let mut delayed_sold_symbols = BTreeSet::<String>::new();
        let mut unresolved_stop_loss_symbols = BTreeSet::<String>::new();
+        let mut unsellable_stop_take_attempted_symbols = BTreeSet::<String>::new();
        let mut pre_detected_stop_take_exit_symbols = BTreeSet::<String>::new();
        let mut pending_risk_level_forced_exit_symbols = BTreeSet::<String>::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);
@@ -114,6 +114,8 @@ pub struct StrategyEngineConfig {
    pub template_id: Option<String>,
    #[serde(default, alias = "profile_name")]
    pub profile_name: Option<String>,
+    #[serde(default, alias = "compatibility_profile")]
+    pub compatibility_profile: Option<String>,
    #[serde(default, alias = "benchmark_symbol")]
    pub benchmark_symbol: Option<String>,
    #[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!({