按共享市值索引裁剪候选区间

2026-09-07 10:50:20 +08:00
parent 4fe1f0d77c
commit df7a1ee382
1 changed files with 110 additions and 2 deletions
@@ -10370,6 +10370,41 @@ impl PlatformExprStrategy {
            && matches!(self.config.rank_by.trim(), "market_cap" | "market_cap_bn")
    }

+    fn market_cap_ordered_selection_range(
+        &self,
+        factor_day: &DailySnapshotView<'_>,
+        symbol_ids: &[u32],
+        band_low: f64,
+        band_high: f64,
+    ) -> std::ops::Range<usize> {
+        if !matches!(
+            self.config.market_cap_field.as_str(),
+            "market_cap"
+                | "market_cap_bn"
+                | "candidate_market_cap"
+                | "candidate_market_cap_bn"
+        ) || !band_low.is_finite()
+            || !band_high.is_finite()
+        {
+            return 0..symbol_ids.len();
+        }
+        if band_low > band_high {
+            return 0..0;
+        }
+        let market_cap = |symbol_id| {
+            decision_market_cap_bn(
+                factor_day
+                    .factor(symbol_id)
+                    .expect("market-cap order references missing factor row"),
+            )
+        };
+        let start = symbol_ids.partition_point(|symbol_id| market_cap(*symbol_id) < band_low);
+        let end = start
+            + symbol_ids[start..]
+                .partition_point(|symbol_id| market_cap(*symbol_id) <= band_high);
+        start..end
+    }
+
    fn selection_candidate_passes_filters(
        &self,
        ctx: &StrategyContext<'_>,
@@ -10618,8 +10653,15 @@ impl PlatformExprStrategy {
        let execution_day = ctx.data.daily_snapshot_view(date);
        let universe_factor_day = ctx.data.daily_snapshot_view(universe_factor_date);
        let factor_day = ctx.data.daily_snapshot_view(stock_factor_date);
-        let mut selected = Vec::with_capacity(limit.min(universe_symbol_ids.len()));
-        for symbol_id in universe_symbol_ids {
+        let candidate_range = self.market_cap_ordered_selection_range(
+            &universe_factor_day,
+            &universe_symbol_ids,
+            band_low,
+            band_high,
+        );
+        let candidate_symbol_ids = &universe_symbol_ids[candidate_range];
+        let mut selected = Vec::with_capacity(limit.min(candidate_symbol_ids.len()));
+        for &symbol_id in candidate_symbol_ids {
            let factor = universe_factor_day
                .factor(symbol_id)
                .expect("market-cap order references missing factor row");
@@ -15934,6 +15976,72 @@ mod tests {
        assert!(!PlatformExprStrategy::new(cfg).rank_reuses_market_cap_order());
    }

+    #[test]
+    fn market_cap_ordered_selection_range_is_inclusive_and_field_specific() {
+        let date = d(2025, 1, 2);
+        let data = DataSet::from_components(
+            Vec::new(),
+            Vec::new(),
+            [
+                ("000004.SZ", 40.0),
+                ("000002.SZ", 10.0),
+                ("000003.SZ", 20.0),
+                ("000001.SZ", 5.0),
+            ]
+            .into_iter()
+            .map(|(symbol, market_cap_bn)| DailyFactorSnapshot {
+                date,
+                symbol: symbol.to_string(),
+                market_cap_bn,
+                free_float_cap_bn: market_cap_bn / 2.0,
+                pe_ttm: 10.0,
+                turnover_ratio: Some(1.0),
+                effective_turnover_ratio: Some(1.0),
+                extra_factors: BTreeMap::new(),
+            })
+            .collect(),
+            Vec::new(),
+            vec![BenchmarkSnapshot {
+                date,
+                benchmark: "000300.SH".to_string(),
+                open: 1000.0,
+                close: 1000.0,
+                prev_close: 1000.0,
+                volume: 1_000_000,
+            }],
+        )
+        .expect("factor-only data");
+        let factor_day = data.daily_snapshot_view(date);
+        let symbol_ids = data.factor_symbol_ids_by_market_cap_on(date);
+        let mut cfg = PlatformExprStrategyConfig::generic();
+        cfg.market_cap_field = "market_cap".to_string();
+        let strategy = PlatformExprStrategy::new(cfg.clone());
+
+        let range = strategy.market_cap_ordered_selection_range(
+            &factor_day,
+            symbol_ids,
+            10.0,
+            20.0,
+        );
+        let selected_caps = symbol_ids[range]
+            .iter()
+            .map(|symbol_id| factor_day.factor(*symbol_id).expect("factor row").market_cap_bn)
+            .collect::<Vec<_>>();
+        assert_eq!(selected_caps, vec![10.0, 20.0]);
+
+        assert!(
+            strategy
+                .market_cap_ordered_selection_range(&factor_day, symbol_ids, 20.0, 10.0)
+                .is_empty()
+        );
+        cfg.market_cap_field = "free_float_cap".to_string();
+        assert_eq!(
+            PlatformExprStrategy::new(cfg)
+                .market_cap_ordered_selection_range(&factor_day, symbol_ids, 10.0, 20.0),
+            0..symbol_ids.len()
+        );
+    }
+
    #[test]
    fn current_rolling_helpers_do_not_load_factor_maps_or_decision_rollings() {
        let mut cfg = PlatformExprStrategyConfig::microcap_rotation();