修正指数择时使用信号指数

This reverts commit 2de7127f02.

crates/fidc-core/src/platform_expr_strategy.rs

@@ -400,6 +400,8 @@ struct DayExpressionState {
     benchmark_ma10: f64,
     benchmark_ma20: f64,
     benchmark_ma30: f64,
+    signal_ma_short: f64,
+    signal_ma_long: f64,
     signal_ma5: f64,
     signal_ma10: f64,
     signal_ma20: f64,
@@ -890,6 +892,8 @@ impl PlatformExprStrategy {
                 | "signal_ma10"
                 | "signal_ma20"
                 | "signal_ma30"
+                | "signal_ma_short"
+                | "signal_ma_long"
                 | "benchmark_ma5"
                 | "benchmark_ma10"
                 | "benchmark_ma20"
@@ -2672,6 +2676,14 @@ impl PlatformExprStrategy {
             .data
             .market_decision_close_moving_average(date, &self.config.signal_symbol, 5)
             .unwrap_or(benchmark_ma5);
+        let signal_ma_short = ctx
+            .data
+            .market_decision_close_moving_average(
+                date,
+                &self.config.signal_symbol,
+                self.config.benchmark_short_ma_days,
+            )
+            .unwrap_or(signal_ma5);
         let signal_ma10 = ctx
             .data
             .market_decision_close_moving_average(date, &self.config.signal_symbol, 10)
@@ -2684,6 +2696,14 @@ impl PlatformExprStrategy {
             .data
             .market_decision_close_moving_average(date, &self.config.signal_symbol, 30)
             .unwrap_or(benchmark_ma30);
+        let signal_ma_long = ctx
+            .data
+            .market_decision_close_moving_average(
+                date,
+                &self.config.signal_symbol,
+                self.config.benchmark_long_ma_days,
+            )
+            .unwrap_or(signal_ma30);
         let account = ctx.account();
         let cash = account.cash;
         let market_value = account.market_value;
@@ -2708,6 +2728,8 @@ impl PlatformExprStrategy {
             benchmark_ma10,
             benchmark_ma20,
             benchmark_ma30,
+            signal_ma_short,
+            signal_ma_long,
             signal_ma5,
             signal_ma10,
             signal_ma20,
@@ -3129,6 +3151,8 @@ impl PlatformExprStrategy {
         scope.push("signal_ma5", day.signal_ma5);
         scope.push("signal_ma10", day.signal_ma10);
         scope.push("signal_ma20", day.signal_ma20);
+        scope.push("signal_ma_short", day.signal_ma_short);
+        scope.push("signal_ma_long", day.signal_ma_long);
         scope.push("benchmark_ma5", day.benchmark_ma5);
         scope.push("benchmark_ma10", day.benchmark_ma10);
         scope.push("benchmark_ma20", day.benchmark_ma20);
@@ -3256,6 +3280,8 @@ impl PlatformExprStrategy {
             day_factors.insert("signal_ma10".into(), Dynamic::from(day.signal_ma10));
             day_factors.insert("signal_ma20".into(), Dynamic::from(day.signal_ma20));
             day_factors.insert("signal_ma30".into(), Dynamic::from(day.signal_ma30));
+            day_factors.insert("signal_ma_short".into(), Dynamic::from(day.signal_ma_short));
+            day_factors.insert("signal_ma_long".into(), Dynamic::from(day.signal_ma_long));
             day_factors.insert("benchmark_ma5".into(), Dynamic::from(day.benchmark_ma5));
             day_factors.insert("benchmark_ma10".into(), Dynamic::from(day.benchmark_ma10));
             day_factors.insert("benchmark_ma20".into(), Dynamic::from(day.benchmark_ma20));
@@ -8487,6 +8513,7 @@ impl Strategy for PlatformExprStrategy {
         if self.config.aiquant_transaction_cost
             && self.config.rotation_enabled
             && trading_ratio > 0.0
+            && trading_ratio < 1.0
             && selection_limit > 0
         {
             for position in ctx.portfolio.positions().values() {
@@ -8526,6 +8553,7 @@ impl Strategy for PlatformExprStrategy {
         if self.config.aiquant_transaction_cost
             && self.config.rotation_enabled
             && trading_ratio > 0.0
+            && trading_ratio < 1.0
             && selection_limit > 0
             && !ctx.portfolio.positions().is_empty()
         {
@@ -9270,8 +9298,8 @@ impl Strategy for PlatformExprStrategy {
                     "platform_expr signal={} last={:.2} ma_short={:.2} ma_long={:.2} band={:.2}-{:.2} tr={:.2}",
                     self.config.signal_symbol,
                     day.signal_close,
-                    day.benchmark_ma_short,
+                    day.signal_ma_short,
-                    day.benchmark_ma_long,
+                    day.signal_ma_long,
                     band_low,
                     band_high,
                     trading_ratio
@@ -22365,6 +22393,228 @@ mod tests {
         );
     }
 
+    #[test]
+    fn platform_delayed_open_partial_exit_releases_top_up_slot() {
+        let prev_date = d(2025, 5, 5);
+        let date = d(2025, 5, 6);
+        let delayed_symbol = "000001.SZ";
+        let held_symbol = "000002.SZ";
+        let buy_symbol = "000003.SZ";
+        let symbols = [delayed_symbol, held_symbol, buy_symbol];
+        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("2025-05-06 10:18:00".to_string()),
+                    day_open: 10.0,
+                    open: 10.0,
+                    high: 11.0,
+                    low: 9.0,
+                    close: 10.0,
+                    last_price: 10.0,
+                    bid1: 10.0,
+                    ask1: 10.0,
+                    prev_close: 10.0,
+                    volume: 1_000_000,
+                    minute_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(),
+            symbols
+                .iter()
+                .map(|symbol| DailyFactorSnapshot {
+                    date,
+                    symbol: (*symbol).to_string(),
+                    market_cap_bn: if *symbol == buy_symbol {
+                        7.0
+                    } else if *symbol == delayed_symbol {
+                        8.0
+                    } else {
+                        9.0
+                    },
+                    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(),
+            vec![
+                IntradayExecutionQuote {
+                    date,
+                    symbol: delayed_symbol.to_string(),
+                    timestamp: date.and_hms_opt(9, 31, 0).expect("valid timestamp"),
+                    last_price: 10.5,
+                    bid1: 10.5,
+                    ask1: 10.51,
+                    bid1_volume: 10_000,
+                    ask1_volume: 10_000,
+                    volume_delta: 400,
+                    amount_delta: 4_200.0,
+                    trading_phase: Some("continuous".to_string()),
+                },
+                IntradayExecutionQuote {
+                    date,
+                    symbol: held_symbol.to_string(),
+                    timestamp: date.and_hms_opt(10, 18, 0).expect("valid timestamp"),
+                    last_price: 10.0,
+                    bid1: 10.0,
+                    ask1: 10.01,
+                    bid1_volume: 10_000,
+                    ask1_volume: 10_000,
+                    volume_delta: 10_000,
+                    amount_delta: 100_000.0,
+                    trading_phase: Some("continuous".to_string()),
+                },
+                IntradayExecutionQuote {
+                    date,
+                    symbol: buy_symbol.to_string(),
+                    timestamp: date.and_hms_opt(10, 18, 0).expect("valid timestamp"),
+                    last_price: 10.0,
+                    bid1: 10.0,
+                    ask1: 10.01,
+                    bid1_volume: 10_000,
+                    ask1_volume: 10_000,
+                    volume_delta: 10_000,
+                    amount_delta: 100_000.0,
+                    trading_phase: Some("continuous".to_string()),
+                },
+            ],
+        )
+        .expect("dataset");
+
+        let mut portfolio = PortfolioState::new(20_000.0);
+        portfolio
+            .position_mut(delayed_symbol)
+            .buy(prev_date, 1_000, 10.0);
+        portfolio
+            .position_mut(held_symbol)
+            .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 = delayed_symbol.to_string();
+        cfg.refresh_rate = 99;
+        cfg.max_positions = 2;
+        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 = "2".to_string();
+        cfg.stock_filter_expr = "close > 0".to_string();
+        cfg.exposure_expr = "1.0".to_string();
+        cfg.stop_loss_expr = "false".to_string();
+        cfg.take_profit_expr = "false".to_string();
+        cfg.daily_top_up_enabled = true;
+        cfg.release_slot_on_exit_signal = true;
+        cfg.aiquant_transaction_cost = true;
+        cfg.risk_config.trading_constraints.volume_limit_enabled = true;
+        cfg.risk_config.trading_constraints.volume_percent = 0.25;
+        cfg.risk_config.trading_constraints.liquidity_limit_enabled = false;
+        cfg.intraday_execution_time = Some(NaiveTime::from_hms_opt(10, 18, 0).unwrap());
+        cfg.delayed_limit_open_exit_enabled = true;
+        cfg.delayed_limit_open_exit_time = Some(NaiveTime::from_hms_opt(9, 31, 0).unwrap());
+        let mut strategy = PlatformExprStrategy::new(cfg);
+        strategy.rebalance_day_counter = 2;
+        strategy
+            .pending_highlimit_holdings
+            .insert(delayed_symbol.to_string());
+
+        let decision = strategy.on_day(&ctx).expect("platform decision");
+
+        assert!(
+            decision.order_intents.iter().any(|intent| matches!(
+                intent,
+                OrderIntent::AlgoValue {
+                    symbol,
+                    reason,
+                    start_time,
+                    ..
+                } if symbol == delayed_symbol
+                    && reason == "delayed_limit_open_sell"
+                    && *start_time == Some(NaiveTime::from_hms_opt(9, 31, 0).unwrap())
+            )),
+            "{:?}",
+            decision.order_intents
+        );
+        assert!(
+            decision.order_intents.iter().any(|intent| matches!(
+                intent,
+                OrderIntent::Value {
+                    symbol,
+                    reason,
+                    ..
+                } if symbol == buy_symbol && reason == "daily_top_up_buy"
+            )),
+            "{:?}",
+            decision.order_intents
+        );
+        assert!(
+            strategy.pending_highlimit_holdings.contains(delayed_symbol),
+            "partial delayed exit must keep residual pending"
+        );
+    }
+
     #[test]
     fn platform_daily_top_up_releases_unsellable_stop_loss_slot() {
         let prev_date = d(2026, 3, 31);

crates/fidc-core/src/platform_strategy_spec.rs

@@ -1219,6 +1219,17 @@ fn stock_volume_ma_expr(days: usize) -> String {
     }
 }
 
+fn normalize_index_throttle_exposure_expr(expr: &str) -> String {
+    let mut normalized = expr.to_string();
+    for suffix in ["short", "long", "5", "10", "20", "30"] {
+        normalized = normalized.replace(
+            &format!("benchmark_ma{suffix}"),
+            &format!("signal_ma{suffix}"),
+        );
+    }
+    normalized
+}
+
 fn infer_expression_windows(
     cfg: &mut PlatformExprStrategyConfig,
     benchmark_short_explicit: bool,
@@ -1230,6 +1241,7 @@ fn infer_expression_windows(
     let mut benchmark_days = Vec::new();
     for expr in [&cfg.exposure_expr, &cfg.buy_scale_expr] {
         benchmark_days.extend(prefixed_ma_lookbacks(expr, "benchmark_ma"));
+        benchmark_days.extend(prefixed_ma_lookbacks(expr, "signal_ma"));
         benchmark_days.extend(rolling_mean_lookbacks(expr, "benchmark_close"));
     }
     let benchmark_days = sorted_unique_positive(benchmark_days);
@@ -1539,7 +1551,16 @@ pub fn platform_expr_config_from_spec(
                 .as_ref()
                 .filter(|value| !value.trim().is_empty())
             {
-                cfg.exposure_expr = expr.clone();
+                cfg.exposure_expr = if spec
+                    .engine_config
+                    .as_ref()
+                    .and_then(|engine| engine.index_throttle.as_ref())
+                    .is_some()
+                {
+                    normalize_index_throttle_exposure_expr(expr)
+                } else {
+                    expr.clone()
+                };
             }
             if let Some(expr) = risk
                 .stop_loss_expr
@@ -1715,7 +1736,7 @@ pub fn platform_expr_config_from_spec(
             let defensive = index_throttle.defensive_exposure.unwrap_or(0.5);
             let full = index_throttle.full_exposure.unwrap_or(1.0);
             cfg.exposure_expr = format!(
-                "benchmark_ma_short < benchmark_ma_long * {} ? {} : {}",
+                "signal_ma_short < signal_ma_long * {} ? {} : {}",
                 ratio, defensive, full
             );
         }
@@ -2963,6 +2984,40 @@ mod tests {
         assert_eq!(cfg.stock_long_ma_days, 21);
     }
 
+    #[test]
+    fn index_throttle_uses_signal_ma_not_performance_benchmark_ma() {
+        let spec = serde_json::json!({
+            "signalSymbol": "000852.SH",
+            "benchmark": {
+                "instrumentId": "932000.CSI"
+            },
+            "engineConfig": {
+                "profileName": "aiquant",
+                "indexThrottle": {
+                    "shortDays": 10,
+                    "longDays": 30,
+                    "defensiveExposure": 0.5,
+                    "fullExposure": 1.0
+                }
+            },
+            "runtimeExpressions": {
+                "risk": {
+                    "exposureExpr": "if benchmark_ma10 > benchmark_ma30 { 1.0 } else { 0.5 }"
+                }
+            }
+        });
+
+        let cfg = platform_expr_config_from_value("strategy88", "", &spec).expect("config");
+
+        assert_eq!(cfg.signal_symbol, "000852.SH");
+        assert_eq!(
+            cfg.exposure_expr,
+            "if signal_ma10 > signal_ma30 { 1.0 } else { 0.5 }"
+        );
+        assert_eq!(cfg.benchmark_short_ma_days, 10);
+        assert_eq!(cfg.benchmark_long_ma_days, 30);
+    }
+
     #[test]
     fn parses_daily_schedule_time_for_aiquant_execution_quotes() {
         let spec = serde_json::json!({