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修正历史清仓残量补仓语义

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boris
2026-07-08 02:58:24 +08:00
parent 4ce52a7af6
commit f8f01a0987
1 changed files with 239 additions and 2 deletions
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crates/fidc-core/src/platform_expr_strategy.rs
+239 -2
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@@ -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::<Vec<_>>();
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);