diff --git a/crates/fidc-core/src/platform_expr_strategy.rs b/crates/fidc-core/src/platform_expr_strategy.rs index 234f692..71a5406 100644 --- a/crates/fidc-core/src/platform_expr_strategy.rs +++ b/crates/fidc-core/src/platform_expr_strategy.rs @@ -8708,8 +8708,49 @@ impl Strategy for PlatformExprStrategy { } let (stop_hit, profit_hit) = self.stop_take_action_for_position(ctx, signal_date, &day, projected_position)?; - if carried_full_close_symbols.contains(&position.symbol) && !stop_hit && !profit_hit { - self.pending_full_close_symbols.remove(&position.symbol); + let is_carried_full_close = carried_full_close_symbols.contains(&position.symbol); + if is_carried_full_close { + if !stop_hit && !profit_hit { + self.pending_full_close_symbols.remove(&position.symbol); + } else { + exit_symbols.insert(position.symbol.clone()); + slot_blocking_symbols.insert(position.symbol.clone()); + order_intents.push(OrderIntent::TargetValue { + symbol: position.symbol.clone(), + target_value: 0.0, + reason: "pending_full_close_exit".to_string(), + }); + self.forget_position_entry_date(&position.symbol); + let can_sell = defer_execution_risk + || self.can_sell_position(ctx, execution_date, &position.symbol); + if can_sell { + let close_submitted = self + .project_target_zero( + ctx, + &mut projected, + projection_date, + &position.symbol, + &mut projected_execution_state, + ) + .is_some(); + if close_submitted { + slot_working_symbols.remove(&position.symbol); + if Self::projected_position_is_flat(&projected, &position.symbol) { + same_day_sold_symbols.insert(position.symbol.clone()); + pending_full_close_symbols.remove(&position.symbol); + self.pending_full_close_symbols.remove(&position.symbol); + } else { + pending_full_close_symbols.insert(position.symbol.clone()); + slot_blocking_symbols.insert(position.symbol.clone()); + self.pending_full_close_symbols + .insert(position.symbol.clone()); + } + } + } else if stop_hit { + unresolved_stop_loss_symbols.insert(position.symbol.clone()); + } + continue; + } } let can_sell = defer_execution_risk || self.can_sell_position(ctx, execution_date, &position.symbol); @@ -21739,6 +21780,202 @@ mod tests { ); } + #[test] + fn platform_aiquant_carried_full_close_does_not_release_new_top_up_slot() { + let prev_date = d(2025, 4, 29); + let date = d(2025, 4, 30); + let buy_first = "000001.SZ"; + let buy_second = "000002.SZ"; + let keep_first = "000101.SZ"; + let take_profit = "000102.SZ"; + let keep_second = "000103.SZ"; + let symbols = [buy_first, buy_second, keep_first, take_profit, keep_second]; + let data = DataSet::from_components_with_actions_and_quotes( + 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(), + symbols + .iter() + .map(|symbol| DailyMarketSnapshot { + date, + symbol: (*symbol).to_string(), + timestamp: Some("2025-04-30 10:18:00".to_string()), + day_open: 10.0, + open: 10.0, + high: 10.5, + low: 9.8, + close: 10.0, + last_price: 10.0, + bid1: 10.0, + ask1: 10.0, + prev_close: 9.9, + volume: 1_000_000, + minute_volume: 20_000, + bid1_volume: 20_000, + ask1_volume: 20_000, + trading_phase: Some("continuous".to_string()), + paused: false, + upper_limit: 11.0, + lower_limit: 9.0, + price_tick: 0.01, + }) + .collect(), + symbols + .iter() + .map(|symbol| DailyFactorSnapshot { + date, + symbol: (*symbol).to_string(), + market_cap_bn: match *symbol { + s if s == buy_first => 1.0, + s if s == buy_second => 2.0, + s if s == keep_first => 3.0, + s if s == keep_second => 4.0, + _ => 100.0, + }, + 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(), + }) + .collect(), + symbols + .iter() + .map(|symbol| 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, + }) + .collect(), + vec![BenchmarkSnapshot { + date, + benchmark: "000852.SH".to_string(), + open: 1000.0, + close: 1002.0, + prev_close: 998.0, + volume: 1_000_000, + }], + Vec::new(), + symbols + .iter() + .map(|symbol| IntradayExecutionQuote { + date, + symbol: (*symbol).to_string(), + timestamp: date.and_hms_opt(10, 18, 0).expect("valid timestamp"), + last_price: 10.0, + bid1: 10.0, + ask1: 10.0, + bid1_volume: 20_000, + ask1_volume: 20_000, + volume_delta: 20_000, + amount_delta: 200_000.0, + trading_phase: Some("continuous".to_string()), + }) + .collect(), + ) + .expect("dataset"); + + let mut portfolio = PortfolioState::new(5_000.0); + portfolio.position_mut(keep_first).buy(prev_date, 100, 10.0); + portfolio.position_mut(take_profit).buy(prev_date, 100, 8.0); + portfolio + .position_mut(keep_second) + .buy(prev_date, 100, 10.0); + let subscriptions = BTreeSet::new(); + let ctx = StrategyContext { + execution_date: date, + decision_date: date, + decision_index: 20, + 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 = keep_first.to_string(); + cfg.refresh_rate = 99; + cfg.max_positions = 4; + 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 = "1000".to_string(); + cfg.selection_limit_expr = "4".to_string(); + cfg.stock_filter_expr = "close > 0".to_string(); + cfg.exposure_expr = "1.0".to_string(); + cfg.take_profit_expr = "1.1".to_string(); + cfg.daily_top_up_enabled = true; + cfg.release_slot_on_exit_signal = true; + cfg.aiquant_transaction_cost = true; + cfg.intraday_execution_time = Some(NaiveTime::from_hms_opt(10, 18, 0).unwrap()); + let mut strategy = PlatformExprStrategy::new(cfg); + strategy.rebalance_day_counter = 2; + strategy + .pending_full_close_symbols + .insert(take_profit.to_string()); + + let decision = strategy.on_day(&ctx).expect("platform decision"); + let top_up_symbols = decision + .order_intents + .iter() + .filter_map(|intent| match intent { + OrderIntent::Value { symbol, reason, .. } if reason == "daily_top_up_buy" => { + Some(symbol.as_str()) + } + _ => None, + }) + .collect::>(); + + assert!( + decision.order_intents.iter().any(|intent| matches!( + intent, + OrderIntent::TargetValue { + symbol, + target_value, + reason, + } if symbol == take_profit + && *target_value == 0.0 + && reason == "pending_full_close_exit" + )), + "{:?}", + decision.order_intents + ); + assert_eq!( + top_up_symbols, + vec![buy_first], + "{:?}", + decision.order_intents + ); + assert!( + !top_up_symbols.contains(&buy_second), + "{:?}", + decision.order_intents + ); + } + #[test] fn platform_max_holding_days_exit_preempts_take_profit_exit() { let date = d(2025, 2, 26);