diff --git a/crates/fidc-core/src/platform_expr_strategy.rs b/crates/fidc-core/src/platform_expr_strategy.rs index fa5eb92..3c2d223 100644 --- a/crates/fidc-core/src/platform_expr_strategy.rs +++ b/crates/fidc-core/src/platform_expr_strategy.rs @@ -2198,6 +2198,17 @@ impl PlatformExprStrategy { } } + fn candidate_requires_forced_exit( + &self, + ctx: &StrategyContext<'_>, + date: NaiveDate, + symbol: &str, + ) -> bool { + ctx.data.candidate(date, symbol).is_some_and(|candidate| { + !candidate.allow_buy && candidate.allow_sell && !candidate.is_paused + }) + } + fn stock_state_with_factor_date_and_time( &self, ctx: &StrategyContext<'_>, @@ -6820,6 +6831,10 @@ impl Strategy for PlatformExprStrategy { )? { continue; } + if self.candidate_requires_forced_exit(ctx, execution_date, &position.symbol) { + pending_full_close_symbols.insert(position.symbol.clone()); + continue; + } let (stop_hit, profit_hit) = self.stop_take_action_for_position(ctx, execution_date, &day, position)?; if stop_hit { @@ -6854,6 +6869,52 @@ impl Strategy for PlatformExprStrategy { } } + if self.config.aiquant_transaction_cost { + for position in ctx.portfolio.positions().values() { + if position.quantity == 0 || delayed_sold_symbols.contains(&position.symbol) { + continue; + } + if !pending_full_close_symbols.contains(&position.symbol) + || !self.candidate_requires_forced_exit(ctx, execution_date, &position.symbol) + { + continue; + } + if self.regular_sell_should_wait_due_to_highlimit( + ctx, + execution_date, + &position.symbol, + self.intraday_execution_start_time(), + )? { + continue; + } + let can_sell = self.can_sell_position(ctx, execution_date, &position.symbol); + exit_symbols.insert(position.symbol.clone()); + order_intents.push(OrderIntent::TargetValue { + symbol: position.symbol.clone(), + target_value: 0.0, + reason: "risk_forced_exit".to_string(), + }); + if can_sell { + if self + .project_target_zero( + ctx, + &mut projected, + execution_date, + &position.symbol, + &mut projected_execution_state, + ) + .is_some() + && Self::projected_position_is_flat(&projected, &position.symbol) + { + same_day_sold_symbols.insert(position.symbol.clone()); + slot_working_symbols.remove(&position.symbol); + } + } else { + unresolved_stop_loss_symbols.insert(position.symbol.clone()); + } + } + } + if self.config.aiquant_transaction_cost && self.config.rotation_enabled && trading_ratio > 0.0 @@ -10675,6 +10736,127 @@ mod tests { ))); } + #[test] + fn platform_aiquant_forced_risk_exit_precedes_weak_market_shrink() { + let date = d(2023, 5, 5); + let symbol = "300621.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(format!("{date} 10:18:00")), + day_open: 10.0, + open: 10.0, + high: 10.8, + low: 9.8, + close: 10.5, + last_price: 10.5, + bid1: 10.49, + ask1: 10.51, + prev_close: 10.4, + volume: 200_000, + tick_volume: 1_000, + bid1_volume: 2_000, + ask1_volume: 2_000, + trading_phase: Some("continuous".to_string()), + paused: false, + upper_limit: 11.44, + lower_limit: 9.36, + price_tick: 0.01, + }], + vec![DailyFactorSnapshot { + date, + symbol: symbol.to_string(), + market_cap_bn: 20.0, + free_float_cap_bn: 20.0, + 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: false, + 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, + }], + ) + .expect("dataset"); + let mut portfolio = PortfolioState::new(1_000_000.0); + portfolio + .position_mut(symbol) + .buy(d(2023, 5, 4), 30_000, 10.0); + portfolio.apply_cash_delta(-300_000.0); + 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.clear(); + cfg.take_profit_expr.clear(); + cfg.weak_market_shrink_overweight_threshold = Some(1.10); + 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 == "risk_forced_exit" + ))); + assert!(!decision.order_intents.iter().any(|intent| matches!( + intent, + OrderIntent::Shares { + symbol: intent_symbol, + reason, + .. + } if intent_symbol == symbol && reason == "daily_position_target_adjust" + ))); + } + #[test] fn platform_aiquant_weak_market_threshold_only_sells_overweight_positions() { let prev_date = d(2023, 5, 4);