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修正平台目标调仓执行口径

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This commit is contained in:
boris
2026-06-16 08:06:19 +08:00
parent 8e6c912a07
commit e45f990487
2 changed files with 231 additions and 35 deletions
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crates/fidc-core/src/broker.rs
+6 -8
View File
@@ -2849,10 +2849,8 @@ where
}
let current_value = if self.aiquant_rqalpha_execution_rules {
portfolio
.position(symbol)
.map(|position| position.market_value())
.unwrap_or(0.0)
let valuation_price = self.target_value_valuation_price(date, data, symbol, snapshot);
valuation_price * current_qty as f64
} else {
let valuation_price = self.target_value_valuation_price(date, data, symbol, snapshot);
valuation_price * current_qty as f64
@@ -5285,7 +5283,7 @@ mod tests {
}
#[test]
fn aiquant_target_value_delta_uses_position_market_value() {
fn aiquant_target_value_delta_uses_scheduled_mark_price() {
let date = chrono::NaiveDate::from_ymd_opt(2023, 5, 8).expect("valid date");
let symbol = "603101.SH";
let broker = BrokerSimulator::new_with_execution_price(
@@ -5397,11 +5395,11 @@ mod tests {
assert_eq!(
portfolio.position(symbol).map(|pos| pos.quantity),
Some(21_200)
Some(21_400)
);
if let Some(order) = report.order_events.last() {
assert_eq!(order.requested_quantity, 0);
assert_eq!(order.filled_quantity, 0);
assert_eq!(order.requested_quantity, 200);
assert_eq!(order.filled_quantity, 200);
}
}
crates/fidc-core/src/platform_expr_strategy.rs
+225 -27
View File
@@ -1580,7 +1580,7 @@ impl PlatformExprStrategy {
}
let market = ctx.data.market(date, symbol)?;
let current_value = if self.config.aiquant_transaction_cost {
projected.position(symbol)?.market_value()
self.projected_position_value_at_execution_price(ctx, projected, date, symbol)
} else {
let valuation_price = if market.close.is_finite() && market.close > 0.0 {
market.close
@@ -6453,6 +6453,40 @@ impl Strategy for PlatformExprStrategy {
.filter(|symbol| !delayed_sold_symbols.contains(*symbol))
.cloned()
.collect::<BTreeSet<_>>();
let mut pending_full_close_symbols = BTreeSet::<String>::new();
if self.config.aiquant_transaction_cost {
for position in ctx.portfolio.positions().values() {
if position.quantity == 0 || delayed_sold_symbols.contains(&position.symbol) {
continue;
}
let (stop_hit, profit_hit) =
self.stop_take_action_for_position(ctx, execution_date, &day, position)?;
if stop_hit {
pending_full_close_symbols.insert(position.symbol.clone());
continue;
}
if self.config.delayed_limit_open_exit_enabled {
let stock = match self.stock_state_at_time(
ctx,
execution_date,
&position.symbol,
Some(self.intraday_execution_start_time()),
) {
Ok(stock) => stock,
Err(BacktestError::Data(crate::data::DataSetError::MissingSnapshot {
..
})) => continue,
Err(error) => return Err(error),
};
if stock.upper_limit > 0.0 && stock.last >= stock.upper_limit {
continue;
}
}
if profit_hit {
pending_full_close_symbols.insert(position.symbol.clone());
}
}
}
if self.config.aiquant_transaction_cost
&& self.config.rotation_enabled
@@ -6467,11 +6501,21 @@ impl Strategy for PlatformExprStrategy {
if position.quantity == 0 || delayed_sold_symbols.contains(&position.symbol) {
continue;
}
order_intents.push(OrderIntent::TargetValue {
symbol: position.symbol.clone(),
target_value,
reason: "daily_position_target_adjust".to_string(),
});
let current_value = self.projected_position_value_at_execution_price(
ctx,
&projected,
execution_date,
&position.symbol,
);
if pending_full_close_symbols.contains(&position.symbol)
&& target_value > current_value + f64::EPSILON
{
continue;
}
let before_qty = projected
.position(&position.symbol)
.map(|projected_position| projected_position.quantity)
.unwrap_or(0);
self.project_target_value(
ctx,
&mut projected,
@@ -6480,6 +6524,18 @@ impl Strategy for PlatformExprStrategy {
target_value,
&mut projected_execution_state,
);
let after_qty = projected
.position(&position.symbol)
.map(|projected_position| projected_position.quantity)
.unwrap_or(0);
let quantity_delta = after_qty as i32 - before_qty as i32;
if quantity_delta != 0 {
order_intents.push(OrderIntent::Shares {
symbol: position.symbol.clone(),
quantity: quantity_delta,
reason: "daily_position_target_adjust".to_string(),
});
}
}
aiquant_available_cash = projected.cash();
}
@@ -7428,7 +7484,7 @@ mod tests {
}
#[test]
fn platform_aiquant_target_value_uses_position_market_value_for_delta() {
fn platform_aiquant_target_value_uses_scheduled_mark_for_delta() {
let prev_date = d(2023, 5, 11);
let date = d(2023, 5, 12);
let symbol = "603176.SH";
@@ -7523,7 +7579,7 @@ mod tests {
);
assert!(
target_value - portfolio.position(symbol).unwrap().market_value() < 100.0 * 6.5369,
"fixture must be below one lot when position.market_value is used"
"fixture must be below one lot if stale position.market_value is used"
);
assert!(
18_600.0 * 6.5369 < target_value,
@@ -7568,8 +7624,8 @@ mod tests {
&mut execution_state,
);
assert_eq!(filled, None);
assert_eq!(projected.position(symbol).unwrap().quantity, 18_600);
assert_eq!(filled, Some(500));
assert_eq!(projected.position(symbol).unwrap().quantity, 19_100);
}
#[test]
@@ -9133,7 +9189,9 @@ mod tests {
)
.expect("dataset");
let mut portfolio = PortfolioState::new(1_000_000.0);
portfolio.position_mut(symbol).buy(date, 11_800, 10.52);
portfolio
.position_mut(symbol)
.buy(d(2023, 5, 4), 1_000, 10.52);
let subscriptions = BTreeSet::new();
let ctx = StrategyContext {
execution_date: date,
@@ -9163,6 +9221,145 @@ mod tests {
let decision = strategy.on_day(&ctx).expect("platform decision");
assert!(decision.order_intents.iter().any(|intent| matches!(
intent,
OrderIntent::Shares {
symbol: intent_symbol,
quantity,
reason
} if intent_symbol == symbol
&& reason == "daily_position_target_adjust"
&& *quantity > 0
)));
}
#[test]
fn platform_aiquant_skips_positive_target_adjust_when_position_will_close() {
let prev_date = d(2023, 5, 11);
let date = d(2023, 5, 12);
let symbol = "603176.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("2023-05-12 10:40:00".to_string()),
day_open: 6.70,
open: 6.70,
high: 6.72,
low: 6.48,
close: 6.48,
last_price: 6.55,
bid1: 6.5369,
ask1: 6.5369,
prev_close: 6.72,
volume: 1_000_000,
tick_volume: 10_000,
bid1_volume: 10_000,
ask1_volume: 10_000,
trading_phase: Some("continuous".to_string()),
paused: false,
upper_limit: 7.39,
lower_limit: 6.05,
price_tick: 0.01,
}],
vec![DailyFactorSnapshot {
date,
symbol: symbol.to_string(),
market_cap_bn: 10.0,
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(),
}],
vec![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,
}],
vec![BenchmarkSnapshot {
date,
benchmark: "000852.SH".to_string(),
open: 1000.0,
close: 1000.0,
prev_close: 999.0,
volume: 1_000_000,
}],
Vec::new(),
vec![IntradayExecutionQuote {
date,
symbol: symbol.to_string(),
timestamp: date.and_hms_opt(10, 40, 0).expect("timestamp"),
last_price: 6.55,
bid1: 6.5369,
ask1: 6.5369,
bid1_volume: 10_000,
ask1_volume: 10_000,
volume_delta: 10_000,
amount_delta: 65_500.0,
trading_phase: Some("continuous".to_string()),
}],
)
.expect("dataset");
let mut portfolio = PortfolioState::new(500_000.0);
portfolio
.position_mut(symbol)
.buy_with_mark_price(prev_date, 18_600, 7.22, 6.72);
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.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, 40, 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::Shares {
symbol: intent_symbol,
quantity,
reason
} if intent_symbol == symbol
&& reason == "daily_position_target_adjust"
&& *quantity > 0
)));
assert!(decision.order_intents.iter().any(|intent| matches!(
intent,
OrderIntent::TargetValue {
@@ -9170,9 +9367,8 @@ mod tests {
target_value,
reason
} if intent_symbol == symbol
&& reason == "daily_position_target_adjust"
&& target_value.is_finite()
&& *target_value > 0.0
&& reason == "stop_loss_exit"
&& *target_value == 0.0
)));
}
@@ -11837,7 +12033,7 @@ mod tests {
}
#[test]
fn platform_weak_market_adjusts_before_stop_loss_and_skips_top_up_for_exiting_position() {
fn platform_weak_market_skips_positive_adjust_for_stop_loss_position() {
let prev_date = d(2025, 2, 2);
let date = d(2025, 2, 3);
let symbols = ["000001.SZ", "000002.SZ"];
@@ -11960,17 +12156,6 @@ mod tests {
let decision = strategy.on_day(&ctx).expect("platform decision");
let target_adjust_index = decision
.order_intents
.iter()
.position(|intent| {
matches!(
intent,
OrderIntent::TargetValue { symbol, reason, .. }
if symbol == "000001.SZ" && reason == "daily_position_target_adjust"
)
})
.expect("weak-market target adjustment should run before stop-loss");
let stop_loss_index = decision
.order_intents
.iter()
@@ -11985,7 +12170,20 @@ mod tests {
)
})
.expect("stop-loss exit");
assert!(target_adjust_index < stop_loss_index);
assert!(
!decision.order_intents[..stop_loss_index]
.iter()
.any(|intent| matches!(
intent,
OrderIntent::Shares {
symbol,
quantity,
reason,
} if symbol == "000001.SZ"
&& reason == "daily_position_target_adjust"
&& *quantity > 0
))
);
assert!(!decision.order_intents.iter().any(|intent| matches!(
intent,
OrderIntent::Value { symbol, reason, .. } | OrderIntent::Shares { symbol, reason, .. }