修正平台策略选股和弱市调仓口径

crates/fidc-core/src/platform_expr_strategy.rs

@@ -470,22 +470,14 @@ fn precomputed_stock_rolling_mean(
     lookback: usize,
 ) -> Option<f64> {
     let keys: &[&str] = match (field.trim().to_ascii_lowercase().as_str(), lookback) {
-        ("close" | "prev_close" | "stock_close" | "price", 5) => {
+        ("close" | "prev_close" | "stock_close" | "price", 5) => &["ma5_prev_close", "ma5"],
-            &["ma5_prev_close", "sf_jq_v104_ma5", "ma5"]
+        ("close" | "prev_close" | "stock_close" | "price", 10) => &["ma10_prev_close", "ma10"],
-        }
+        ("close" | "prev_close" | "stock_close" | "price", 20) => &["ma20_prev_close", "ma20"],
-        ("close" | "prev_close" | "stock_close" | "price", 10) => {
+        ("close" | "prev_close" | "stock_close" | "price", 30) => &["ma30_prev_close", "ma30"],
-            &["ma10_prev_close", "sf_jq_v104_ma10", "ma10"]
+        ("volume" | "stock_volume", 5) => &["avg_volume5", "vma5"],
-        }
+        ("volume" | "stock_volume", 20) => &["avg_volume20", "vma20"],
-        ("close" | "prev_close" | "stock_close" | "price", 20) => {
+        ("volume" | "stock_volume", 60) => &["avg_volume60", "vma60"],
-            &["ma20_prev_close", "sf_jq_v104_ma20", "ma20"]
+        ("volume" | "stock_volume", 100) => &["avg_volume100", "vma100"],
-        }
-        ("close" | "prev_close" | "stock_close" | "price", 30) => {
-            &["ma30_prev_close", "sf_jq_v104_ma30", "ma30"]
-        }
-        ("volume" | "stock_volume", 5) => &["avg_volume5", "sf_jq_v104_v5", "vma5"],
-        ("volume" | "stock_volume", 20) => &["avg_volume20", "sf_jq_v104_v20", "vma20"],
-        ("volume" | "stock_volume", 60) => &["avg_volume60", "sf_jq_v104_v60", "vma60"],
-        ("volume" | "stock_volume", 100) => &["avg_volume100", "sf_jq_v104_v100", "vma100"],
         _ => return None,
     };
     keys.iter()
@@ -498,6 +490,7 @@ pub struct PlatformExprStrategy {
     engine: Engine,
     rebalance_day_counter: usize,
     last_rebalance_date: Option<NaiveDate>,
+    last_trading_ratio: Option<f64>,
     pending_highlimit_holdings: BTreeSet<String>,
     /// 已编译表达式 AST 缓存。
     /// Key 是经过 normalize/expand_runtime_helpers 之后的完整 script 文本，
@@ -591,6 +584,7 @@ impl PlatformExprStrategy {
             engine,
             rebalance_day_counter: 0,
             last_rebalance_date: None,
+            last_trading_ratio: None,
             pending_highlimit_holdings: BTreeSet::new(),
             compiled_cache: RefCell::new(HashMap::new()),
             cache_hits: RefCell::new(0),
@@ -5792,8 +5786,24 @@ impl PlatformExprStrategy {
                 Err(error) => Err(error),
             };
         }
+        let rank_by = self.config.rank_by.as_str();
+        match rank_by {
+            "market_cap" => {
+                return Ok(Self::market_cap_storage_to_strategy_unit(
+                    candidate.market_cap_bn,
+                ));
+            }
+            "market_cap_bn" => return Ok(candidate.market_cap_bn),
+            "free_float_cap" | "free_float_market_cap" => {
+                return Ok(Self::market_cap_storage_to_strategy_unit(
+                    candidate.free_float_cap_bn,
+                ));
+            }
+            "free_float_cap_bn" => return Ok(candidate.free_float_cap_bn),
+            _ => {}
+        }
         Ok(self
-            .stock_numeric_field_value(candidate, stock, self.config.rank_by.as_str())
+            .stock_numeric_field_value(candidate, stock, rank_by)
             .unwrap_or_else(|| self.field_value(candidate)))
     }
 
@@ -6349,6 +6359,9 @@ impl Strategy for PlatformExprStrategy {
         } else {
             0.0
         };
+        let previous_trading_ratio = self.last_trading_ratio.unwrap_or(1.0);
+        let weak_market_shrink_due =
+            trading_ratio.is_finite() && trading_ratio < previous_trading_ratio - 1e-9;
         let marked_total_value = self.marked_total_value(ctx, execution_date);
         let aiquant_total_value = if marked_total_value.is_finite() && marked_total_value > 0.0 {
             marked_total_value
@@ -6563,6 +6576,7 @@ impl Strategy for PlatformExprStrategy {
             && self.config.rotation_enabled
             && trading_ratio > 0.0
             && trading_ratio < 1.0
+            && weak_market_shrink_due
             && selection_limit > 0
             && !ctx.portfolio.positions().is_empty()
         {
@@ -7021,6 +7035,9 @@ impl Strategy for PlatformExprStrategy {
                 self.rebalance_day_counter = self.rebalance_day_counter.saturating_add(1);
             }
         }
+        if self.config.rotation_enabled && trading_ratio.is_finite() {
+            self.last_trading_ratio = Some(trading_ratio);
+        }
         if !explicit_action_intents.is_empty() {
             order_intents.extend(explicit_action_intents);
         }
@@ -7133,7 +7150,7 @@ mod tests {
         PlatformAccountActionKind, PlatformExplicitActionStage, PlatformExplicitCancelKind,
         PlatformExplicitOrderKind, PlatformExprStrategy, PlatformExprStrategyConfig,
         PlatformRebalanceSchedule, PlatformScheduleFrequency, PlatformTradeAction,
-        PlatformUniverseActionKind,
+        PlatformUniverseActionKind, precomputed_stock_rolling_mean,
     };
     use crate::{
         AlgoOrderStyle, BenchmarkSnapshot, CandidateEligibility, CorporateAction,
@@ -9304,6 +9321,161 @@ mod tests {
         )));
     }
 
+    #[test]
+    fn platform_aiquant_weak_market_does_not_retarget_same_ratio_every_day() {
+        let first_date = d(2023, 5, 4);
+        let second_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(),
+            }],
+            [first_date, second_date]
+                .iter()
+                .map(|date| DailyMarketSnapshot {
+                    date: *date,
+                    symbol: symbol.to_string(),
+                    timestamp: Some(format!("{date} 10:40:00")),
+                    day_open: 10.0,
+                    open: 10.0,
+                    high: 11.0,
+                    low: 9.8,
+                    close: 10.8,
+                    last_price: 10.8,
+                    bid1: 10.79,
+                    ask1: 10.81,
+                    prev_close: 10.5,
+                    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: 11.55,
+                    lower_limit: 9.45,
+                    price_tick: 0.01,
+                })
+                .collect(),
+            [first_date, second_date]
+                .iter()
+                .map(|date| DailyFactorSnapshot {
+                    date: *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(),
+                })
+                .collect(),
+            [first_date, second_date]
+                .iter()
+                .map(|date| CandidateEligibility {
+                    date: *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,
+                })
+                .collect(),
+            [first_date, second_date]
+                .iter()
+                .map(|date| BenchmarkSnapshot {
+                    date: *date,
+                    benchmark: "000852.SH".to_string(),
+                    open: 1000.0,
+                    close: 1000.0,
+                    prev_close: 999.0,
+                    volume: 1_000_000,
+                })
+                .collect(),
+        )
+        .expect("dataset");
+        let subscriptions = BTreeSet::new();
+        let empty_portfolio = PortfolioState::new(1_000_000.0);
+        let first_ctx = StrategyContext {
+            execution_date: first_date,
+            decision_date: first_date,
+            decision_index: 1,
+            data: &data,
+            portfolio: &empty_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 held_portfolio = PortfolioState::new(1_000_000.0);
+        held_portfolio
+            .position_mut(symbol)
+            .buy(first_date, 4_000, 10.52);
+        let second_ctx = StrategyContext {
+            execution_date: second_date,
+            decision_date: second_date,
+            decision_index: 2,
+            data: &data,
+            portfolio: &held_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();
+        let mut strategy = PlatformExprStrategy::new(cfg);
+
+        let first_decision = strategy
+            .on_day(&first_ctx)
+            .expect("first platform decision");
+        assert!(
+            !first_decision.order_intents.iter().any(|intent| matches!(
+                intent,
+                OrderIntent::Shares { reason, .. } if reason == "daily_position_target_adjust"
+            )),
+            "{:?}",
+            first_decision.order_intents
+        );
+
+        let second_decision = strategy
+            .on_day(&second_ctx)
+            .expect("second platform decision");
+
+        assert!(
+            !second_decision.order_intents.iter().any(|intent| matches!(
+                intent,
+                OrderIntent::Shares { reason, .. } if reason == "daily_position_target_adjust"
+            )),
+            "{:?}",
+            second_decision.order_intents
+        );
+    }
+
     #[test]
     fn platform_aiquant_skips_positive_target_adjust_when_position_will_close() {
         let prev_date = d(2023, 5, 11);
@@ -14700,6 +14872,181 @@ mod tests {
         ));
     }
 
+    #[test]
+    fn platform_selection_ranks_by_candidate_market_cap_with_current_precomputed_factors() {
+        let prev = d(2025, 1, 2);
+        let curr = d(2025, 1, 3);
+        let symbols = ["300001.SZ", "300002.SZ", "000001.SZ"];
+        let data = DataSet::from_components(
+            symbols
+                .iter()
+                .map(|symbol| 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(),
+                })
+                .collect(),
+            [prev, curr]
+                .into_iter()
+                .flat_map(|date| {
+                    symbols.iter().map(move |symbol| DailyMarketSnapshot {
+                        date,
+                        symbol: (*symbol).to_string(),
+                        timestamp: Some("2025-01-03 09:33:00".to_string()),
+                        day_open: 10.0,
+                        open: 10.0,
+                        high: 10.5,
+                        low: 9.8,
+                        close: 10.0,
+                        last_price: 10.0,
+                        bid1: 9.99,
+                        ask1: 10.01,
+                        prev_close: 9.9,
+                        volume: 1_000_000,
+                        tick_volume: 10_000,
+                        bid1_volume: 2_000,
+                        ask1_volume: 2_000,
+                        trading_phase: Some("continuous".to_string()),
+                        paused: false,
+                        upper_limit: 11.0,
+                        lower_limit: 9.0,
+                        price_tick: 0.01,
+                    })
+                })
+                .collect(),
+            vec![
+                DailyFactorSnapshot {
+                    date: prev,
+                    symbol: "300001.SZ".to_string(),
+                    market_cap_bn: 30.0,
+                    free_float_cap_bn: 30.0,
+                    pe_ttm: 8.0,
+                    turnover_ratio: Some(1.0),
+                    effective_turnover_ratio: Some(1.0),
+                    extra_factors: BTreeMap::new(),
+                },
+                DailyFactorSnapshot {
+                    date: prev,
+                    symbol: "300002.SZ".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(),
+                },
+                DailyFactorSnapshot {
+                    date: curr,
+                    symbol: "300001.SZ".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(),
+                },
+                DailyFactorSnapshot {
+                    date: curr,
+                    symbol: "300002.SZ".to_string(),
+                    market_cap_bn: 30.0,
+                    free_float_cap_bn: 30.0,
+                    pe_ttm: 8.0,
+                    turnover_ratio: Some(1.0),
+                    effective_turnover_ratio: Some(1.0),
+                    extra_factors: BTreeMap::new(),
+                },
+            ],
+            [prev, curr]
+                .into_iter()
+                .flat_map(|date| {
+                    ["300001.SZ", "300002.SZ"]
+                        .into_iter()
+                        .map(move |symbol| 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,
+                        })
+                })
+                .collect(),
+            [prev, curr]
+                .into_iter()
+                .map(|date| BenchmarkSnapshot {
+                    date,
+                    benchmark: "000852.SH".to_string(),
+                    open: 1000.0,
+                    close: 1002.0,
+                    prev_close: 998.0,
+                    volume: 1_000_000,
+                })
+                .collect(),
+        )
+        .expect("dataset");
+        let portfolio = PortfolioState::new(30_000.0);
+        let subscriptions = BTreeSet::new();
+        let ctx = StrategyContext {
+            execution_date: curr,
+            decision_date: curr,
+            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.signal_symbol = "000001.SZ".to_string();
+        cfg.refresh_rate = 99;
+        cfg.max_positions = 1;
+        cfg.benchmark_short_ma_days = 1;
+        cfg.benchmark_long_ma_days = 1;
+        cfg.market_cap_lower_expr = "0".to_string();
+        cfg.market_cap_upper_expr = "100".to_string();
+        cfg.selection_limit_expr = "1".to_string();
+        cfg.stock_filter_expr = "close > 0".to_string();
+        cfg.current_day_precomputed_factors = true;
+        cfg.retry_empty_rebalance = true;
+        let mut strategy = PlatformExprStrategy::new(cfg);
+
+        let decision = strategy.on_day(&ctx).expect("platform decision");
+
+        assert!(
+            decision
+                .diagnostics
+                .iter()
+                .any(|item| item.contains("selection_universe_factor_date=2025-01-02")),
+            "{:?}",
+            decision.diagnostics
+        );
+        assert!(
+            decision
+                .diagnostics
+                .iter()
+                .any(|item| item.contains("selection_factor_date=2025-01-03")),
+            "{:?}",
+            decision.diagnostics
+        );
+        assert!(matches!(
+            decision.order_intents.first(),
+            Some(crate::strategy::OrderIntent::Value { symbol, .. }) if symbol == "300002.SZ"
+        ));
+    }
+
     #[test]
     fn platform_stock_state_can_prefer_precomputed_rolling_factors() {
         let dates = [
@@ -14817,6 +15164,34 @@ mod tests {
         assert_eq!(stock.stock_volume_ma5, 1_000.0);
     }
 
+    #[test]
+    fn precomputed_rolling_mean_ignores_strategy_specific_v104_labels() {
+        let mut extra_factors = BTreeMap::new();
+        extra_factors.insert("sf_jq_v104_ma5".to_string(), 99.0);
+        extra_factors.insert("sf_jq_v104_v100".to_string(), 88.0);
+
+        assert_eq!(
+            precomputed_stock_rolling_mean(&extra_factors, "close", 5),
+            None
+        );
+        assert_eq!(
+            precomputed_stock_rolling_mean(&extra_factors, "volume", 100),
+            None
+        );
+
+        extra_factors.insert("ma5_prev_close".to_string(), 10.5);
+        extra_factors.insert("avg_volume100".to_string(), 120_000.0);
+
+        assert_eq!(
+            precomputed_stock_rolling_mean(&extra_factors, "close", 5),
+            Some(10.5)
+        );
+        assert_eq!(
+            precomputed_stock_rolling_mean(&extra_factors, "volume", 100),
+            Some(120_000.0)
+        );
+    }
+
     #[test]
     fn platform_strategy_emits_target_shares_explicit_action() {
         let date = d(2025, 2, 3);