Expose signal open to platform strategies

crates/fidc-core/src/data.rs

@@ -485,7 +485,9 @@ impl SymbolPriceSeries {
 #[derive(Debug, Clone)]
 struct BenchmarkPriceSeries {
     dates: Vec<NaiveDate>,
+    opens: Vec<f64>,
     closes: Vec<f64>,
+    open_prefix: Vec<f64>,
     close_prefix: Vec<f64>,
 }
 
@@ -494,16 +496,24 @@ impl BenchmarkPriceSeries {
         let mut sorted = rows.to_vec();
         sorted.sort_by_key(|row| row.date);
         let dates = sorted.iter().map(|row| row.date).collect::<Vec<_>>();
+        let opens = sorted.iter().map(|row| row.open).collect::<Vec<_>>();
         let closes = sorted.iter().map(|row| row.close).collect::<Vec<_>>();
+        let open_prefix = prefix_sums(&opens);
         let close_prefix = prefix_sums(&closes);
         Self {
             dates,
+            opens,
             closes,
+            open_prefix,
             close_prefix,
         }
     }
 
     fn moving_average(&self, date: NaiveDate, lookback: usize) -> Option<f64> {
+        self.moving_average_for(date, lookback, PriceField::Close)
+    }
+
+    fn moving_average_for(&self, date: NaiveDate, lookback: usize, field: PriceField) -> Option<f64> {
         if lookback == 0 {
             return None;
         }
@@ -516,7 +526,11 @@ impl BenchmarkPriceSeries {
             return None;
         }
         let start = end - lookback;
-        let sum = self.close_prefix[end] - self.close_prefix[start];
+        let prefix = match field {
+            PriceField::Open => &self.open_prefix,
+            PriceField::Close | PriceField::Last => &self.close_prefix,
+        };
+        let sum = prefix[end] - prefix[start];
         Some(sum / lookback as f64)
     }
 
@@ -942,6 +956,20 @@ impl DataSet {
         self.benchmark_series_cache.moving_average(date, lookback)
     }
 
+    pub fn benchmark_open_moving_average(&self, date: NaiveDate, lookback: usize) -> Option<f64> {
+        self.benchmark_series_cache
+            .moving_average_for(date, lookback, PriceField::Open)
+    }
+
+    pub fn market_open_moving_average(
+        &self,
+        date: NaiveDate,
+        symbol: &str,
+        lookback: usize,
+    ) -> Option<f64> {
+        self.market_moving_average(date, symbol, lookback, PriceField::Open)
+    }
+
     pub fn eligible_universe_on(&self, date: NaiveDate) -> &[EligibleUniverseSnapshot] {
         self.eligible_universe_by_date
             .get(&date)

crates/fidc-core/src/platform_expr_strategy.rs

@@ -69,10 +69,9 @@ fn band_low(index_close) {
                 "stock_ma_short > stock_ma_mid * ma_ratio && stock_ma_mid > stock_ma_long"
                     .to_string(),
             buy_scale_expr: "1.0".to_string(),
-            exposure_expr:
+            exposure_expr: "1.0".to_string(),
-                "benchmark_ma_short < benchmark_ma_long * ma_ratio ? 0.5 : 1.0".to_string(),
+            stop_loss_expr: String::new(),
-            stop_loss_expr: "0.93".to_string(),
+            take_profit_expr: String::new(),
-            take_profit_expr: "1.07".to_string(),
             rank_by: "market_cap".to_string(),
             rank_expr: String::new(),
             rank_desc: false,
@@ -110,7 +109,9 @@ struct ProjectedExecutionFill {
 #[derive(Debug, Clone)]
 struct DayExpressionState {
     date: NaiveDate,
+    signal_open: f64,
     signal_close: f64,
+    benchmark_open: f64,
     benchmark_close: f64,
     benchmark_ma_short: f64,
     benchmark_ma_long: f64,
@@ -647,6 +648,15 @@ impl PlatformExprStrategy {
         ctx: &StrategyContext<'_>,
         date: NaiveDate,
     ) -> Result<DayExpressionState, BacktestError> {
+        let signal_open = ctx
+            .data
+            .market(date, &self.config.signal_symbol)
+            .ok_or_else(|| BacktestError::MissingPrice {
+                date,
+                symbol: self.config.signal_symbol.clone(),
+                field: "open",
+            })?
+            .open;
         let signal_close = ctx
             .data
             .market_decision_close(date, &self.config.signal_symbol)
@@ -655,11 +665,12 @@ impl PlatformExprStrategy {
                 symbol: self.config.signal_symbol.clone(),
                 field: "decision_close",
             })?;
-        let benchmark_close = ctx
+        let benchmark = ctx
             .data
             .benchmark(date)
-            .ok_or(BacktestError::MissingBenchmark { date })?
+            .ok_or(BacktestError::MissingBenchmark { date })?;
-            .close;
+        let benchmark_open = benchmark.open;
+        let benchmark_close = benchmark.close;
         let benchmark_ma_short = ctx
             .data
             .market_decision_close_moving_average(
@@ -711,7 +722,9 @@ impl PlatformExprStrategy {
 
         Ok(DayExpressionState {
             date,
+            signal_open,
             signal_close,
+            benchmark_open,
             benchmark_close,
             benchmark_ma_short,
             benchmark_ma_long,
@@ -868,7 +881,9 @@ impl PlatformExprStrategy {
         position: Option<&PositionExpressionState>,
     ) -> Scope<'static> {
         let mut scope = Scope::new();
+        scope.push("signal_open", day.signal_open);
         scope.push("signal_close", day.signal_close);
+        scope.push("benchmark_open", day.benchmark_open);
         scope.push("benchmark_close", day.benchmark_close);
         scope.push("signal_ma5", day.signal_ma5);
         scope.push("signal_ma10", day.signal_ma10);
@@ -898,7 +913,9 @@ impl PlatformExprStrategy {
         scope.push("is_month_end", day.is_month_end);
         scope.push("signal_ma30", day.signal_ma30);
         let mut day_factors = Map::new();
+        day_factors.insert("signal_open".into(), Dynamic::from(day.signal_open));
         day_factors.insert("signal_close".into(), Dynamic::from(day.signal_close));
+        day_factors.insert("benchmark_open".into(), Dynamic::from(day.benchmark_open));
         day_factors.insert("benchmark_close".into(), Dynamic::from(day.benchmark_close));
         day_factors.insert("signal_ma5".into(), Dynamic::from(day.signal_ma5));
         day_factors.insert("signal_ma10".into(), Dynamic::from(day.signal_ma10));
@@ -1244,7 +1261,11 @@ impl PlatformExprStrategy {
             ));
         }
         let value = match field {
+            "benchmark_open" => ctx.data.benchmark_open_moving_average(day.date, lookback),
             "benchmark_close" => ctx.data.benchmark_moving_average(day.date, lookback),
+            "signal_open" => ctx
+                .data
+                .market_open_moving_average(day.date, &self.config.signal_symbol, lookback),
             "signal_close" => ctx
                 .data
                 .market_decision_close_moving_average(day.date, &self.config.signal_symbol, lookback),
@@ -1838,6 +1859,9 @@ impl PlatformExprStrategy {
         let Some(position) = ctx.portfolio.position(symbol) else {
             return Ok((false, false));
         };
+        if self.config.stop_loss_expr.trim().is_empty() && self.config.take_profit_expr.trim().is_empty() {
+            return Ok((false, false));
+        }
         if position.quantity == 0 || position.average_cost <= 0.0 {
             return Ok((false, false));
         }
@@ -1855,27 +1879,35 @@ impl PlatformExprStrategy {
             quantity: position.quantity as i64,
             sellable_qty: position.sellable_qty(date) as i64,
         };
-        let stop_result = self.eval_dynamic(ctx, &self.config.stop_loss_expr, day, Some(&stock), Some(&position_state))?;
+        let stop_hit = if self.config.stop_loss_expr.trim().is_empty() {
-        let stop_hit = if let Some(boolean) = stop_result.clone().try_cast::<bool>() {
-            boolean
-        } else if let Some(multiplier) = stop_result.clone().try_cast::<f64>() {
-            current_price <= position.average_cost * multiplier
-        } else if let Some(multiplier) = stop_result.try_cast::<i64>() {
-            current_price <= position.average_cost * multiplier as f64
-        } else {
             false
+        } else {
+            let stop_result = self.eval_dynamic(ctx, &self.config.stop_loss_expr, day, Some(&stock), Some(&position_state))?;
+            if let Some(boolean) = stop_result.clone().try_cast::<bool>() {
+                boolean
+            } else if let Some(multiplier) = stop_result.clone().try_cast::<f64>() {
+                current_price <= position.average_cost * multiplier
+            } else if let Some(multiplier) = stop_result.try_cast::<i64>() {
+                current_price <= position.average_cost * multiplier as f64
+            } else {
+                false
+            }
         };
-        let take_result = self.eval_dynamic(ctx, &self.config.take_profit_expr, day, Some(&stock), Some(&position_state))?;
+        let profit_hit = if self.config.take_profit_expr.trim().is_empty() {
-        let profit_hit = if let Some(boolean) = take_result.clone().try_cast::<bool>() {
-            boolean
-        } else if let Some(multiplier) = take_result.clone().try_cast::<f64>() {
-            !ctx.data.require_market(date, symbol)?.is_at_upper_limit_price(current_price)
-                && current_price / position.average_cost > multiplier
-        } else if let Some(multiplier) = take_result.try_cast::<i64>() {
-            !ctx.data.require_market(date, symbol)?.is_at_upper_limit_price(current_price)
-                && current_price / position.average_cost > multiplier as f64
-        } else {
             false
+        } else {
+            let take_result = self.eval_dynamic(ctx, &self.config.take_profit_expr, day, Some(&stock), Some(&position_state))?;
+            if let Some(boolean) = take_result.clone().try_cast::<bool>() {
+                boolean
+            } else if let Some(multiplier) = take_result.clone().try_cast::<f64>() {
+                !ctx.data.require_market(date, symbol)?.is_at_upper_limit_price(current_price)
+                    && current_price / position.average_cost > multiplier
+            } else if let Some(multiplier) = take_result.try_cast::<i64>() {
+                !ctx.data.require_market(date, symbol)?.is_at_upper_limit_price(current_price)
+                    && current_price / position.average_cost > multiplier as f64
+            } else {
+                false
+            }
         };
         Ok((stop_hit, profit_hit))
     }

crates/fidc-core/src/strategy_ai.rs

@@ -116,8 +116,8 @@ pub fn built_in_strategy_manual() -> StrategyAiManual {
                 title: "日级字段".to_string(),
                 detail: "可直接在表达式中使用的日级与账户字段。".to_string(),
                 fields: vec![
-                    ManualField { name: "signal_close".to_string(), field_type: "float".to_string(), detail: "信号指数前一日收盘价。".to_string() },
+                    ManualField { name: "signal_open/signal_close".to_string(), field_type: "float".to_string(), detail: "信号指数当日开盘价与前一日收盘价。".to_string() },
-                    ManualField { name: "benchmark_close".to_string(), field_type: "float".to_string(), detail: "基准前一日收盘价。".to_string() },
+                    ManualField { name: "benchmark_open/benchmark_close".to_string(), field_type: "float".to_string(), detail: "基准当日开盘价与前一日收盘价。".to_string() },
                     ManualField { name: "signal_ma5/signal_ma10/signal_ma20/signal_ma30".to_string(), field_type: "float".to_string(), detail: "信号指数滚动均线。".to_string() },
                     ManualField { name: "benchmark_ma5/benchmark_ma10/benchmark_ma20/benchmark_ma30".to_string(), field_type: "float".to_string(), detail: "基准指数滚动均线。".to_string() },
                     ManualField { name: "cash/available_cash/market_value/total_equity".to_string(), field_type: "float".to_string(), detail: "账户资金与总资产。".to_string() },
@@ -158,7 +158,7 @@ pub fn built_in_strategy_manual() -> StrategyAiManual {
         functions: vec![
             ManualFunction { name: "factor".to_string(), signature: "factor(\"column_name\")".to_string(), detail: "读取当前股票的数据库因子列。".to_string() },
             ManualFunction { name: "day_factor".to_string(), signature: "day_factor(\"field_name\")".to_string(), detail: "读取日级/指数级字段映射。".to_string() },
-            ManualFunction { name: "rolling_mean".to_string(), signature: "rolling_mean(\"field\", lookback)".to_string(), detail: "任意字段滚动均值，支持 volume/amount/turnover_ratio 等。".to_string() },
+            ManualFunction { name: "rolling_mean".to_string(), signature: "rolling_mean(\"field\", lookback)".to_string(), detail: "任意字段滚动均值，支持 volume/amount/turnover_ratio、signal_open/signal_close、benchmark_open/benchmark_close 等。".to_string() },
             ManualFunction { name: "sma".to_string(), signature: "sma(\"field\", lookback)".to_string(), detail: "rolling_mean 的别名。".to_string() },
             ManualFunction { name: "round/floor/ceil/abs/min/max/clamp".to_string(), signature: "round(x)".to_string(), detail: "常用数值函数。".to_string() },
             ManualFunction { name: "safe_div".to_string(), signature: "safe_div(lhs, rhs, fallback)".to_string(), detail: "安全除法。".to_string() },