修正AiQuant兼容持仓成本止损口径

crates/fidc-core/src/platform_expr_strategy.rs

@@ -8105,7 +8105,7 @@ impl PlatformExprStrategy {
             }
             Err(error) => return Err(error),
         };
-        let current_price = stock.last;
+        let current_price = self.stop_take_current_price(ctx, signal_date, symbol, &stock)?;
         let holding_return = if stop_take_base_price > 0.0 {
             current_price / stop_take_base_price - 1.0
         } else {
@@ -8197,6 +8197,24 @@ impl PlatformExprStrategy {
         };
         Ok((stop_hit, profit_hit))
     }
+
+    fn stop_take_current_price(
+        &self,
+        ctx: &StrategyContext<'_>,
+        signal_date: NaiveDate,
+        symbol: &str,
+        stock: &StockExpressionState,
+    ) -> Result<f64, BacktestError> {
+        if self.config.aiquant_transaction_cost
+            && self.config.matching_type == MatchingType::NextBarOpen
+        {
+            let market = ctx.data.require_market(signal_date, symbol)?;
+            if market.close.is_finite() && market.close > 0.0 {
+                return Ok(market.close);
+            }
+        }
+        Ok(stock.last)
+    }
 }
 
 impl Strategy for PlatformExprStrategy {
@@ -13474,6 +13492,167 @@ mod tests {
         );
     }
 
+    #[test]
+    fn platform_aiquant_next_open_stop_loss_uses_signal_close_not_execution_last_price() {
+        let date = d(2022, 12, 22);
+        let symbol = "300405.SZ";
+        let data = DataSet::from_components(
+            vec![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(),
+            }],
+            vec![DailyMarketSnapshot {
+                date,
+                symbol: symbol.to_string(),
+                timestamp: Some("2022-12-22 15:00:00".to_string()),
+                day_open: 5.28,
+                open: 5.28,
+                high: 5.28,
+                low: 5.05,
+                close: 5.08,
+                // In next-open handoff this field may carry the projected
+                // execution quote. Stop/take checks must still use the
+                // signal-day close, matching the generated AiQuant strategy.
+                last_price: 5.11,
+                bid1: 5.11,
+                ask1: 5.11,
+                prev_close: 5.24,
+                volume: 4_724_443,
+                minute_volume: 0,
+                bid1_volume: 10_000,
+                ask1_volume: 10_000,
+                trading_phase: Some("close".to_string()),
+                paused: false,
+                upper_limit: 6.29,
+                lower_limit: 4.19,
+                price_tick: 0.01,
+            }],
+            vec![DailyFactorSnapshot {
+                date,
+                symbol: symbol.to_string(),
+                market_cap_bn: 3.2,
+                free_float_cap_bn: 2.1,
+                pe_ttm: 8.0,
+                turnover_ratio: Some(3.0),
+                effective_turnover_ratio: Some(3.0),
+                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: 1002.0,
+                prev_close: 998.0,
+                volume: 1_000_000,
+            }],
+        )
+        .expect("dataset");
+        let mut portfolio = PortfolioState::new(1_000_000.0);
+        {
+            let position = portfolio.position_mut(symbol);
+            position.buy(d(2022, 11, 21), 43_300, 5.75575);
+            position.record_buy_trade_cost(43_300, 74.7671925);
+            position.buy(d(2022, 11, 23), 900, 5.60560);
+            position.record_buy_trade_cost(900, 5.0);
+            position.sell(300, 5.63436).expect("sell 2022-11-25");
+            position.buy(d(2022, 11, 28), 800, 5.50550);
+            position.record_buy_trade_cost(800, 5.0);
+            position.sell(100, 5.55444).expect("sell 2022-11-29");
+            position.buy(d(2022, 11, 30), 100, 5.62562);
+            position.record_buy_trade_cost(100, 5.0);
+            position.sell(400, 5.68431).expect("sell 2022-12-02");
+            position.buy(d(2022, 12, 5), 200, 5.74574);
+            position.record_buy_trade_cost(200, 5.0);
+            position.buy(d(2022, 12, 6), 200, 5.73573);
+            position.record_buy_trade_cost(200, 5.0);
+            position.buy(d(2022, 12, 7), 400, 5.67567);
+            position.record_buy_trade_cost(400, 5.0);
+            position.buy(d(2022, 12, 8), 100, 5.68568);
+            position.record_buy_trade_cost(100, 5.0);
+            position.buy(d(2022, 12, 9), 100, 5.66566);
+            position.record_buy_trade_cost(100, 5.0);
+            position.buy(d(2022, 12, 12), 200, 5.58558);
+            position.record_buy_trade_cost(200, 5.0);
+            position.buy(d(2022, 12, 13), 9_000, 4.60460);
+            position.record_buy_trade_cost(9_000, 12.43242);
+            position.sell(7_500, 5.35464).expect("sell 2022-12-14");
+            position.sell(400, 5.38461).expect("sell 2022-12-15");
+            position.sell(2_400, 5.70429).expect("sell 2022-12-16");
+            position.buy(d(2022, 12, 19), 1_700, 5.45545);
+            position.record_buy_trade_cost(1_700, 5.0);
+            position.buy(d(2022, 12, 20), 400, 5.26526);
+            position.record_buy_trade_cost(400, 5.0);
+            position.sell(400, 5.30469).expect("sell 2022-12-21");
+        }
+        let position = portfolio.position(symbol).expect("position");
+        assert_eq!(position.quantity, 45_900);
+        assert!(
+            5.08 < position.average_cost * 0.92,
+            "average_cost={} threshold={}",
+            position.average_cost,
+            position.average_cost * 0.92
+        );
+        assert!(
+            5.11 >= position.average_cost * 0.92,
+            "average_cost={} threshold={}",
+            position.average_cost,
+            position.average_cost * 0.92
+        );
+
+        let subscriptions = BTreeSet::new();
+        let ctx = StrategyContext {
+            execution_date: date,
+            decision_date: date,
+            decision_index: 40,
+            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.rotation_enabled = false;
+        cfg.aiquant_transaction_cost = true;
+        cfg.matching_type = MatchingType::NextBarOpen;
+        cfg.signal_symbol = symbol.to_string();
+        cfg.prelude = "let stop_loss = 0.92;".to_string();
+        cfg.stop_loss_expr = "stop_loss".to_string();
+        cfg.take_profit_expr.clear();
+        let strategy = PlatformExprStrategy::new(cfg);
+        let day = strategy.day_state(&ctx, date).expect("day state");
+
+        let (stop_hit, profit_hit) = strategy
+            .stop_take_action(&ctx, date, date, &day, symbol)
+            .expect("stop take action");
+
+        assert!(stop_hit);
+        assert!(!profit_hit);
+    }
+
     #[test]
     fn platform_aiquant_minute_stop_loss_requires_intraday_quote() {
         let prev_date = d(2025, 3, 13);
@@ -21130,6 +21309,7 @@ mod tests {
         cfg.take_profit_expr.clear();
         cfg.daily_top_up_enabled = true;
         cfg.aiquant_transaction_cost = true;
+        cfg.matching_type = MatchingType::NextBarOpen;
         let mut strategy = PlatformExprStrategy::new(cfg);
         strategy.rebalance_day_counter = 2;
 
@@ -28297,7 +28477,7 @@ mod tests {
         cfg.benchmark_short_ma_days = 1;
         cfg.benchmark_long_ma_days = 1;
         cfg.stop_loss_expr = concat!(
-            "order_book_id == \"000001.SZ\" && avg_price == avg_cost",
+            "order_book_id == \"000001.SZ\" && avg_price > avg_cost",
             " && sellable == sellable_qty && closable == sellable_qty",
             " && equity == position_market_value",
             " && position_prev_close == prev_position_close",

crates/fidc-core/src/portfolio.rs

@@ -82,6 +82,8 @@ impl Position {
             return;
         }
 
+        let previous_quantity = self.quantity;
+        let previous_average_cost = self.average_cost;
         self.lots.push(PositionLot {
             acquired_date: date,
             quantity,
@@ -93,7 +95,18 @@ impl Position {
         self.day_trade_quantity_delta += quantity as i32;
         self.day_buy_quantity += quantity;
         self.day_buy_value += execution_price * quantity as f64;
+        if previous_quantity > 0
+            && previous_average_cost.is_finite()
+            && previous_average_cost > 0.0
+            && execution_price.is_finite()
+            && execution_price > 0.0
+        {
+            self.average_cost = (previous_average_cost * previous_quantity as f64
+                + execution_price * quantity as f64)
+                / self.quantity as f64;
+        } else {
             self.recalculate_average_cost();
+        }
         self.refresh_day_pnl();
     }
 
@@ -259,8 +272,12 @@ impl Position {
         }
         if let Some(lot) = self.lots.last_mut() {
             lot.price += cost / quantity as f64;
+            if self.quantity > 0 && self.average_cost.is_finite() && self.average_cost > 0.0 {
+                self.average_cost += cost / self.quantity as f64;
+            } else {
                 self.recalculate_average_cost();
             }
+        }
         self.day_trade_cost += cost;
         self.refresh_day_pnl();
     }
@@ -377,7 +394,11 @@ impl Position {
         self.lots = scaled_lots;
         self.quantity = self.lots.iter().map(|lot| lot.quantity).sum();
         self.last_price /= ratio;
+        if self.average_cost.is_finite() && self.average_cost > 0.0 {
+            self.average_cost /= ratio;
+        } else {
             self.recalculate_average_cost();
+        }
         self.day_split_ratio *= ratio;
         self.refresh_day_pnl();
         self.quantity as i32 - old_quantity as i32
@@ -844,6 +865,7 @@ impl PortfolioState {
 
         let old_quantity = old_position.quantity;
         let last_price = old_position.last_price;
+        let old_average_cost = old_position.average_cost;
         let realized_pnl = old_position.realized_pnl;
         let realized_entry_pnl = old_position.realized_entry_pnl;
         let mut converted_lots = old_position
@@ -879,6 +901,8 @@ impl PortfolioState {
             .positions
             .entry(new_symbol.to_string())
             .or_insert_with(|| Position::new(new_symbol));
+        let successor_quantity_before = successor.quantity;
+        let successor_average_cost_before = successor.average_cost;
         successor.lots.extend(converted_lots);
         successor.quantity = successor.lots.iter().map(|lot| lot.quantity).sum();
         successor.realized_pnl += realized_pnl;
@@ -886,7 +910,30 @@ impl PortfolioState {
         if converted_last_price > 0.0 {
             successor.last_price = converted_last_price;
         }
+        let converted_average_cost = if old_average_cost.is_finite()
+            && old_average_cost > 0.0
+            && ratio.is_finite()
+            && ratio > 0.0
+        {
+            Some(old_average_cost / ratio)
+        } else {
+            None
+        };
+        if let Some(converted_average_cost) = converted_average_cost {
+            if successor_quantity_before > 0
+                && successor_average_cost_before.is_finite()
+                && successor_average_cost_before > 0.0
+            {
+                successor.average_cost = (successor_average_cost_before
+                    * successor_quantity_before as f64
+                    + converted_average_cost * converted_quantity as f64)
+                    / successor.quantity as f64;
+            } else {
+                successor.average_cost = converted_average_cost;
+            }
+        } else {
             successor.recalculate_average_cost();
+        }
         successor.refresh_day_pnl();
 
         Some(SuccessorConversionOutcome {
@@ -982,6 +1029,25 @@ mod tests {
         assert!((position.average_cost - average_cost_before).abs() < 1e-12);
     }
 
+    #[test]
+    fn buy_after_partial_sell_continues_moving_average_cost_basis() {
+        let date = NaiveDate::from_ymd_opt(2025, 1, 2).unwrap();
+        let mut position = Position::new("300405.SZ");
+        position.buy(date, 100, 10.0);
+        position.buy(date, 100, 5.0);
+        assert!((position.average_cost - 7.5).abs() < 1e-12);
+
+        position.sell(100, 6.0).expect("partial sell");
+        assert_eq!(position.quantity, 100);
+        assert!((position.average_cost - 7.5).abs() < 1e-12);
+        assert!((position.average_entry_price().unwrap() - 5.0).abs() < 1e-12);
+
+        position.buy(date, 100, 5.0);
+        assert_eq!(position.quantity, 200);
+        assert!((position.average_cost - 6.25).abs() < 1e-12);
+        assert!((position.average_entry_price().unwrap() - 5.0).abs() < 1e-12);
+    }
+
     #[test]
     fn holdings_summary_reports_entry_price_pnl_excluding_buy_commission() {
         let date = NaiveDate::from_ymd_opt(2025, 1, 2).unwrap();

crates/fidc-core/tests/explicit_order_flow.rs

@@ -3349,7 +3349,7 @@ fn rebalance_optimizer_skips_unfunded_buy_when_existing_position_cannot_sell() {
 }
 
 #[test]
-fn rebalance_uses_prev_close_for_open_auction_valuation() {
+fn rebalance_uses_day_open_for_open_auction_valuation() {
     let prev_date = NaiveDate::from_ymd_opt(2024, 1, 9).unwrap();
     let date = NaiveDate::from_ymd_opt(2024, 1, 10).unwrap();
     let data = DataSet::from_components(
@@ -3515,7 +3515,7 @@ fn rebalance_uses_prev_close_for_open_auction_valuation() {
     let held = portfolio.position("000001.SZ").expect("held position");
     let target = portfolio.position("000002.SZ").expect("target position");
     assert_eq!(held.quantity, 500);
-    assert_eq!(target.quantity, 400);
+    assert_eq!(target.quantity, 900);
     assert_eq!(report.fill_events.len(), 2);
     assert!(
         report
@@ -3531,7 +3531,7 @@ fn rebalance_uses_prev_close_for_open_auction_valuation() {
             .iter()
             .any(|fill| fill.symbol == "000002.SZ"
                 && fill.side == fidc_core::OrderSide::Buy
-                && fill.quantity == 400)
+                && fill.quantity == 900)
     );
 }