Support buy scaling from platform factors

crates/fidc-core/src/platform_expr_strategy.rs

@@ -24,6 +24,7 @@ pub struct PlatformExprStrategyConfig {
     pub market_cap_upper_expr: String,
     pub selection_limit_expr: String,
     pub stock_filter_expr: String,
+    pub buy_scale_expr: String,
     pub exposure_expr: String,
     pub stop_loss_expr: String,
     pub take_profit_expr: String,
@@ -67,6 +68,7 @@ fn band_low(index_close) {
             stock_filter_expr:
                 "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:
                 "benchmark_ma_short < benchmark_ma_long * ma_ratio ? 0.5 : 1.0".to_string(),
             stop_loss_expr: "0.93".to_string(),
@@ -166,6 +168,8 @@ struct StockExpressionState {
     is_new_listing: bool,
     allow_buy: bool,
     allow_sell: bool,
+    touched_upper_limit: bool,
+    touched_lower_limit: bool,
     listed_days: i64,
     stock_ma_short: f64,
     stock_ma_mid: f64,
@@ -300,6 +304,10 @@ impl PlatformExprStrategy {
             "is_new_listing",
             "allow_buy",
             "allow_sell",
+            "touched_upper_limit",
+            "touched_lower_limit",
+            "hit_upper_limit",
+            "hit_lower_limit",
             "listed_days",
             "stock_ma_short",
             "stock_ma_mid",
@@ -794,6 +802,20 @@ impl PlatformExprStrategy {
             .data
             .market_decision_volume_moving_average(date, symbol, 60)
             .unwrap_or(stock_volume_ma20);
+        let touched_upper_limit = factor
+            .extra_factors
+            .get("touched_upper_limit")
+            .or_else(|| factor.extra_factors.get("hit_upper_limit"))
+            .copied()
+            .unwrap_or_default()
+            >= 0.5;
+        let touched_lower_limit = factor
+            .extra_factors
+            .get("touched_lower_limit")
+            .or_else(|| factor.extra_factors.get("hit_lower_limit"))
+            .copied()
+            .unwrap_or_default()
+            >= 0.5;
 
         Ok(StockExpressionState {
             symbol: symbol.to_string(),
@@ -821,6 +843,8 @@ impl PlatformExprStrategy {
             is_new_listing: candidate.is_new_listing,
             allow_buy: candidate.allow_buy,
             allow_sell: candidate.allow_sell,
+            touched_upper_limit,
+            touched_lower_limit,
             listed_days: if candidate.is_new_listing { 0 } else { 365 },
             stock_ma_short,
             stock_ma_mid,
@@ -932,6 +956,10 @@ impl PlatformExprStrategy {
             scope.push("is_new_listing", stock.is_new_listing);
             scope.push("allow_buy", stock.allow_buy);
             scope.push("allow_sell", stock.allow_sell);
+            scope.push("touched_upper_limit", stock.touched_upper_limit);
+            scope.push("touched_lower_limit", stock.touched_lower_limit);
+            scope.push("hit_upper_limit", stock.touched_upper_limit);
+            scope.push("hit_lower_limit", stock.touched_lower_limit);
             scope.push("listed_days", stock.listed_days);
             scope.push("at_upper_limit", at_upper_limit);
             scope.push("at_lower_limit", at_lower_limit);
@@ -983,6 +1011,16 @@ impl PlatformExprStrategy {
             factors.insert("is_new_listing".into(), Dynamic::from(stock.is_new_listing));
             factors.insert("allow_buy".into(), Dynamic::from(stock.allow_buy));
             factors.insert("allow_sell".into(), Dynamic::from(stock.allow_sell));
+            factors.insert(
+                "touched_upper_limit".into(),
+                Dynamic::from(stock.touched_upper_limit),
+            );
+            factors.insert(
+                "touched_lower_limit".into(),
+                Dynamic::from(stock.touched_lower_limit),
+            );
+            factors.insert("hit_upper_limit".into(), Dynamic::from(stock.touched_upper_limit));
+            factors.insert("hit_lower_limit".into(), Dynamic::from(stock.touched_lower_limit));
             factors.insert("listed_days".into(), Dynamic::from(stock.listed_days));
             factors.insert("at_upper_limit".into(), Dynamic::from(at_upper_limit));
             factors.insert("at_lower_limit".into(), Dynamic::from(at_lower_limit));
@@ -1551,6 +1589,19 @@ impl PlatformExprStrategy {
         Ok(value.round().max(1.0) as usize)
     }
 
+    fn buy_scale(
+        &self,
+        ctx: &StrategyContext<'_>,
+        day: &DayExpressionState,
+        stock: &StockExpressionState,
+    ) -> Result<f64, BacktestError> {
+        if self.config.buy_scale_expr.trim().is_empty() {
+            return Ok(1.0);
+        }
+        self.eval_float(ctx, &self.config.buy_scale_expr, day, Some(stock), None)
+            .map(|value| value.clamp(0.0, 1.0))
+    }
+
     fn stock_passes_expr(
         &self,
         ctx: &StrategyContext<'_>,
@@ -1611,6 +1662,12 @@ impl PlatformExprStrategy {
             "stock_volume_ma60" | "volume_ma60" => Some(stock.stock_volume_ma60),
             "allow_buy" => Some(if stock.allow_buy { 1.0 } else { 0.0 }),
             "allow_sell" => Some(if stock.allow_sell { 1.0 } else { 0.0 }),
+            "touched_upper_limit" | "hit_upper_limit" => {
+                Some(if stock.touched_upper_limit { 1.0 } else { 0.0 })
+            }
+            "touched_lower_limit" | "hit_lower_limit" => {
+                Some(if stock.touched_lower_limit { 1.0 } else { 0.0 })
+            }
             "paused" => Some(if stock.paused { 1.0 } else { 0.0 }),
             "is_st" => Some(if stock.is_st { 1.0 } else { 0.0 }),
             "is_kcb" => Some(if stock.is_kcb { 1.0 } else { 0.0 }),
@@ -1913,6 +1970,11 @@ impl Strategy for PlatformExprStrategy {
                             if !self.stock_passes_expr(ctx, &day, &stock)? {
                                 continue;
                             }
+                            let replacement_cash =
+                                replacement_cash * self.buy_scale(ctx, &day, &stock)?;
+                            if replacement_cash <= 0.0 {
+                                continue;
+                            }
                             order_intents.push(OrderIntent::Value {
                                 symbol: symbol.clone(),
                                 value: replacement_cash,
@@ -1977,9 +2039,13 @@ impl Strategy for PlatformExprStrategy {
                 if !self.stock_passes_expr(ctx, &day, &stock)? {
                     continue;
                 }
+                let buy_cash = fixed_buy_cash * self.buy_scale(ctx, &day, &stock)?;
+                if buy_cash <= 0.0 {
+                    continue;
+                }
                 order_intents.push(OrderIntent::Value {
                     symbol: symbol.clone(),
-                    value: fixed_buy_cash,
+                    value: buy_cash,
                     reason: "periodic_rebalance_buy".to_string(),
                 });
                 self.project_order_value(
@@ -1987,7 +2053,7 @@ impl Strategy for PlatformExprStrategy {
                     &mut projected,
                     date,
                     symbol,
-                    fixed_buy_cash,
+                    buy_cash,
                     &mut projected_execution_state,
                 );
             }

data/demo/000852量价微盘平台策略.engine-script.txt

@@ -52,6 +52,7 @@ strategy("microcap_volume_trend_000852") {
 
   risk.take_profit(close_rate)
   risk.stop_loss(loss_rate)
+  allocation.buy_scale(touched_upper_limit ? 1.0 : trade_rate)
 
   ordering.rank_by("market_cap", "asc")
 }

data/demo/000852量价微盘平台策略.strategy_spec.json

@@ -29,6 +29,9 @@
       "stopLossExpr": "loss_rate",
       "takeProfitExpr": "close_rate"
     },
+    "allocation": {
+      "buyScaleExpr": "touched_upper_limit ? 1.0 : trade_rate"
+    },
     "ordering": {
       "rankBy": "market_cap",
       "rankExpr": "",