补齐AiQuant风控清仓优先级

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);