修正当前滚动因子运行语义

crates/fidc-core/src/platform_expr_strategy.rs

@@ -754,6 +754,29 @@ fn precomputed_stock_rolling_mean(
     }
 }
 
+fn precomputed_stock_current_rolling_mean(
+    extra_factors: &BTreeMap<String, f64>,
+    field: &str,
+    lookback: usize,
+) -> Option<f64> {
+    if lookback == 0 {
+        return None;
+    }
+    let value_for = |key: &str| {
+        extra_factors
+            .get(key)
+            .copied()
+            .filter(|value| value.is_finite())
+    };
+    match field.trim().to_ascii_lowercase().as_str() {
+        "close" | "prev_close" | "stock_close" | "price" => {
+            value_for(&format!("ma{lookback}_current_close"))
+        }
+        "volume" | "stock_volume" => value_for(&format!("avg_volume{lookback}_current")),
+        _ => None,
+    }
+}
+
 pub struct PlatformExprStrategy {
     config: PlatformExprStrategyConfig,
     engine: Engine,
@@ -3307,7 +3330,7 @@ impl PlatformExprStrategy {
         field: &str,
         lookback: usize,
     ) -> Option<f64> {
-        let precomputed = precomputed_stock_rolling_mean(extra_factors, field, lookback);
+        let precomputed = precomputed_stock_current_rolling_mean(extra_factors, field, lookback);
         let computed = || {
             ctx.data
                 .market_current_numeric_moving_average(date, symbol, field, lookback)
@@ -8213,9 +8236,12 @@ impl PlatformExprStrategy {
             return true;
         }
         if stock_rolling_helpers_require_extra
-            && identifiers
+            && identifiers.iter().any(|name| {
-                .iter()
+                matches!(
-                .any(|name| matches!(name.as_str(), "rolling_mean" | "sma" | "ma" | "vma"))
+                    name.as_str(),
+                    "rolling_mean" | "rolling_mean_current" | "sma" | "ma" | "vma"
+                )
+            })
         {
             return true;
         }
@@ -8361,6 +8387,11 @@ impl PlatformExprStrategy {
     ) {
         let compact = Self::compact_expr(expr);
         Self::require_stock_rollings_for_named_helper(requirements, &compact, "rolling_mean");
+        Self::require_stock_rollings_for_named_helper(
+            requirements,
+            &compact,
+            "rolling_mean_current",
+        );
         Self::require_stock_rollings_for_named_helper(requirements, &compact, "sma");
         Self::require_stock_rollings_for_named_helper(requirements, &compact, "ma");
         Self::require_stock_rollings_for_vma_helper(requirements, &compact);
@@ -28285,7 +28316,11 @@ mod tests {
         let symbol = "300001.SZ";
         let mut extra_factors = BTreeMap::new();
         extra_factors.insert("ma5_prev_close".to_string(), 99.0);
+        extra_factors.insert("ma10_prev_close".to_string(), 98.0);
+        extra_factors.insert("ma30_prev_close".to_string(), 97.0);
         extra_factors.insert("avg_volume5".to_string(), 88.0);
+        extra_factors.insert("avg_volume100".to_string(), 99.0);
+        extra_factors.insert("adjustment_factor_backward1".to_string(), 1.0);
         let data = DataSet::from_components(
             vec![Instrument {
                 symbol: symbol.to_string(),
@@ -28322,16 +28357,23 @@ mod tests {
                     price_tick: 0.01,
                 })
                 .collect(),
-            vec![DailyFactorSnapshot {
+            dates
-                date,
+                .into_iter()
+                .map(|factor_date| DailyFactorSnapshot {
+                    date: factor_date,
                     symbol: symbol.to_string(),
                     market_cap_bn: 20.0,
                     free_float_cap_bn: 20.0,
                     pe_ttm: 0.0,
                     turnover_ratio: None,
                     effective_turnover_ratio: None,
-                extra_factors,
+                    extra_factors: if factor_date == date {
-            }],
+                        extra_factors.clone()
+                    } else {
+                        BTreeMap::from([("adjustment_factor_backward1".to_string(), 1.0)])
+                    },
+                })
+                .collect(),
             vec![CandidateEligibility {
                 date,
                 symbol: symbol.to_string(),
@@ -28376,7 +28418,7 @@ mod tests {
         let mut cfg = PlatformExprStrategyConfig::microcap_rotation();
         cfg.signal_symbol = symbol.to_string();
         cfg.prefer_precomputed_rolling_factors = true;
-        cfg.stock_filter_expr = "stock_ma5 > 0 && stock_volume_ma5 > 0".to_string();
+        cfg.stock_filter_expr = "rolling_mean(\"close\", 5) > rolling_mean(\"close\", 10) && rolling_mean(\"close\", 10) > rolling_mean(\"close\", 30) && rolling_mean(\"volume\", 5) < rolling_mean(\"volume\", 100)".to_string();
         let strategy = PlatformExprStrategy::new(cfg);
         let stock = strategy
             .stock_state_with_factor_date(&ctx, date, date, symbol)
@@ -28384,19 +28426,51 @@ mod tests {
         assert_eq!(stock.stock_ma5, 99.0);
         assert_eq!(stock.stock_volume_ma5, 88.0);
         let day = strategy.day_state(&ctx, date).expect("day state");
+        assert!(
+            strategy
+                .stock_passes_expr(&ctx, &day, &stock)
+                .expect("precomputed decision rolling filter")
+        );
         assert_eq!(
             strategy
-                .resolve_current_rolling_mean(&ctx, &day, Some(&stock), "close", 5)
+                .resolve_rolling_mean(&ctx, &day, Some(&stock), "close", 5)
-                .expect("precomputed current close rolling mean"),
+                .expect("precomputed decision close rolling mean"),
             99.0
         );
         assert_eq!(
             strategy
-                .resolve_current_rolling_mean(&ctx, &day, Some(&stock), "volume", 5)
+                .resolve_rolling_mean(&ctx, &day, Some(&stock), "volume", 5)
-                .expect("precomputed current volume rolling mean"),
+                .expect("precomputed decision volume rolling mean"),
             88.0
         );
 
+        let mut cfg = PlatformExprStrategyConfig::microcap_rotation();
+        cfg.signal_symbol = symbol.to_string();
+        cfg.prefer_precomputed_rolling_factors = true;
+        cfg.stock_filter_expr = "rolling_mean_current(\"close\", 5) == 10.0 && rolling_mean_current(\"volume\", 5) == 1000.0".to_string();
+        let strategy = PlatformExprStrategy::new(cfg);
+        let stock = strategy
+            .stock_state_with_factor_date(&ctx, date, date, symbol)
+            .expect("stock state");
+        let day = strategy.day_state(&ctx, date).expect("day state");
+        assert!(
+            strategy
+                .stock_passes_expr(&ctx, &day, &stock)
+                .expect("current rolling filter")
+        );
+        assert_eq!(
+            strategy
+                .resolve_current_rolling_mean(&ctx, &day, Some(&stock), "close", 5)
+                .expect("current close rolling mean"),
+            10.0
+        );
+        assert_eq!(
+            strategy
+                .resolve_current_rolling_mean(&ctx, &day, Some(&stock), "volume", 5)
+                .expect("current volume rolling mean"),
+            1_000.0
+        );
+
         let mut cfg = PlatformExprStrategyConfig::microcap_rotation();
         cfg.stock_filter_expr = "stock_ma5 > 0 && stock_volume_ma5 > 0".to_string();
         let strategy = PlatformExprStrategy::new(cfg);