Support sparse factor aliases in platform runtime

2026-04-22 00:31:42 -07:00
parent e838629c58
commit 6d3017ca56
1 changed files with 247 additions and 5 deletions
--- a/crates/fidc-core/src/platform_expr_strategy.rs
+++ b/crates/fidc-core/src/platform_expr_strategy.rs
@@ -135,6 +135,7 @@ struct DayExpressionState {
    weekday: i64,
    is_month_start: bool,
    is_month_end: bool,
+    available_factor_names: BTreeSet<String>,
 }

 #[derive(Debug, Clone)]
@@ -143,6 +144,10 @@ struct StockExpressionState {
    market_cap: f64,
    free_float_cap: f64,
    pe_ttm: f64,
+    volume: i64,
+    tick_volume: i64,
+    bid1_volume: i64,
+    ask1_volume: i64,
    turnover_ratio: f64,
    effective_turnover_ratio: f64,
    open: f64,
@@ -221,6 +226,107 @@ impl PlatformExprStrategy {
        Self { config, engine }
    }

+    fn is_expression_identifier(name: &str) -> bool {
+        let mut chars = name.chars();
+        let Some(first) = chars.next() else {
+            return false;
+        };
+        if !(first == '_' || first.is_ascii_alphabetic()) {
+            return false;
+        }
+        chars.all(|ch| ch == '_' || ch.is_ascii_alphanumeric())
+    }
+
+    fn reserved_scope_names() -> BTreeSet<&'static str> {
+        BTreeSet::from([
+            "signal_close",
+            "benchmark_close",
+            "signal_ma5",
+            "signal_ma10",
+            "signal_ma20",
+            "signal_ma30",
+            "benchmark_ma5",
+            "benchmark_ma10",
+            "benchmark_ma20",
+            "benchmark_ma30",
+            "benchmark_ma_short",
+            "benchmark_ma_long",
+            "cash",
+            "available_cash",
+            "market_value",
+            "total_equity",
+            "current_exposure",
+            "position_count",
+            "max_positions",
+            "refresh_rate",
+            "year",
+            "month",
+            "quarter",
+            "day_of_month",
+            "day_of_year",
+            "week_of_year",
+            "weekday",
+            "is_month_start",
+            "is_month_end",
+            "day_factors",
+            "symbol",
+            "market_cap",
+            "free_float_cap",
+            "pe_ttm",
+            "volume",
+            "tick_volume",
+            "bid1_volume",
+            "ask1_volume",
+            "turnover_ratio",
+            "effective_turnover_ratio",
+            "open",
+            "close",
+            "last",
+            "last_price",
+            "prev_close",
+            "upper_limit",
+            "lower_limit",
+            "price_tick",
+            "round_lot",
+            "paused",
+            "is_st",
+            "is_kcb",
+            "is_one_yuan",
+            "is_new_listing",
+            "allow_buy",
+            "allow_sell",
+            "listed_days",
+            "stock_ma_short",
+            "stock_ma_mid",
+            "stock_ma_long",
+            "stock_ma5",
+            "stock_ma10",
+            "stock_ma20",
+            "stock_ma30",
+            "ma5",
+            "ma10",
+            "ma20",
+            "ma30",
+            "factors",
+            "avg_cost",
+            "current_price",
+            "holding_return",
+            "quantity",
+            "sellable_qty",
+            "profit_pct",
+            "at_upper_limit",
+            "at_lower_limit",
+        ])
+    }
+
+    fn price_is_at_limit(price: f64, limit: f64, tick: f64) -> bool {
+        if !price.is_finite() || !limit.is_finite() {
+            return false;
+        }
+        let tolerance = tick.abs().max(1e-6);
+        (price - limit).abs() <= tolerance
+    }
+
    fn intraday_execution_start_time(&self) -> NaiveTime {
        NaiveTime::from_hms_opt(10, 18, 0).expect("valid 10:18")
    }
@@ -619,6 +725,12 @@ impl PlatformExprStrategy {
            weekday: date.weekday().number_from_monday() as i64,
            is_month_start: date.day() == 1,
            is_month_end,
+            available_factor_names: ctx
+                .data
+                .factor_snapshots_on(date)
+                .into_iter()
+                .flat_map(|row| row.extra_factors.keys().cloned())
+                .collect(),
        })
    }

@@ -666,6 +778,10 @@ impl PlatformExprStrategy {
            market_cap: factor.market_cap_bn,
            free_float_cap: factor.free_float_cap_bn,
            pe_ttm: factor.pe_ttm,
+            volume: market.volume as i64,
+            tick_volume: market.tick_volume as i64,
+            bid1_volume: market.bid1_volume as i64,
+            ask1_volume: market.ask1_volume as i64,
            turnover_ratio: factor.turnover_ratio.unwrap_or(0.0),
            effective_turnover_ratio: factor.effective_turnover_ratio.unwrap_or(0.0),
            open: market.day_open,
@@ -762,10 +878,16 @@ impl PlatformExprStrategy {
        day_factors.insert("is_month_end".into(), Dynamic::from(day.is_month_end));
        scope.push("day_factors", day_factors);
        if let Some(stock) = stock {
+            let at_upper_limit = Self::price_is_at_limit(stock.last, stock.upper_limit, stock.price_tick);
+            let at_lower_limit = Self::price_is_at_limit(stock.last, stock.lower_limit, stock.price_tick);
            scope.push("symbol", stock.symbol.clone());
            scope.push("market_cap", stock.market_cap);
            scope.push("free_float_cap", stock.free_float_cap);
            scope.push("pe_ttm", stock.pe_ttm);
+            scope.push("volume", stock.volume);
+            scope.push("tick_volume", stock.tick_volume);
+            scope.push("bid1_volume", stock.bid1_volume);
+            scope.push("ask1_volume", stock.ask1_volume);
            scope.push("turnover_ratio", stock.turnover_ratio);
            scope.push("effective_turnover_ratio", stock.effective_turnover_ratio);
            scope.push("open", stock.open);
@@ -785,6 +907,8 @@ impl PlatformExprStrategy {
            scope.push("allow_buy", stock.allow_buy);
            scope.push("allow_sell", stock.allow_sell);
            scope.push("listed_days", stock.listed_days);
+            scope.push("at_upper_limit", at_upper_limit);
+            scope.push("at_lower_limit", at_lower_limit);
            scope.push("stock_ma_short", stock.stock_ma_short);
            scope.push("stock_ma_mid", stock.stock_ma_mid);
            scope.push("stock_ma_long", stock.stock_ma_long);
@@ -801,6 +925,10 @@ impl PlatformExprStrategy {
            factors.insert("market_cap".into(), Dynamic::from(stock.market_cap));
            factors.insert("free_float_cap".into(), Dynamic::from(stock.free_float_cap));
            factors.insert("pe_ttm".into(), Dynamic::from(stock.pe_ttm));
+            factors.insert("volume".into(), Dynamic::from(stock.volume));
+            factors.insert("tick_volume".into(), Dynamic::from(stock.tick_volume));
+            factors.insert("bid1_volume".into(), Dynamic::from(stock.bid1_volume));
+            factors.insert("ask1_volume".into(), Dynamic::from(stock.ask1_volume));
            factors.insert("turnover_ratio".into(), Dynamic::from(stock.turnover_ratio));
            factors.insert(
                "effective_turnover_ratio".into(),
@@ -822,6 +950,8 @@ impl PlatformExprStrategy {
            factors.insert("allow_buy".into(), Dynamic::from(stock.allow_buy));
            factors.insert("allow_sell".into(), Dynamic::from(stock.allow_sell));
            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));
            factors.insert("stock_ma5".into(), Dynamic::from(stock.stock_ma5));
            factors.insert("stock_ma10".into(), Dynamic::from(stock.stock_ma10));
            factors.insert("stock_ma20".into(), Dynamic::from(stock.stock_ma20));
@@ -834,6 +964,20 @@ impl PlatformExprStrategy {
                factors.insert(key.clone().into(), Dynamic::from(*value));
            }
            scope.push("factors", factors);
+            let reserved_names = Self::reserved_scope_names();
+            for (key, value) in &stock.extra_factors {
+                if Self::is_expression_identifier(key) && !reserved_names.contains(key.as_str()) {
+                    scope.push_dynamic(key.clone(), Dynamic::from(*value));
+                }
+            }
+            for key in &day.available_factor_names {
+                if Self::is_expression_identifier(key)
+                    && !reserved_names.contains(key.as_str())
+                    && !stock.extra_factors.contains_key(key)
+                {
+                    scope.push_dynamic(key.clone(), Dynamic::from(0.0));
+                }
+            }
        }
        if let Some(position) = position {
            scope.push("avg_cost", position.avg_cost);
@@ -855,11 +999,42 @@ impl PlatformExprStrategy {
    ) -> Result<Dynamic, BacktestError> {
        let mut scope = self.eval_scope(day, stock, position);
        let normalized_expr = Self::normalize_expr(expr);
-        let script = if self.config.prelude.trim().is_empty() {
-            normalized_expr
-        } else {
-            format!("{}\n{}", self.config.prelude, normalized_expr)
-        };
+        let prelude_declared_identifiers = Self::declared_prelude_identifiers(&self.config.prelude);
+        if let Some(item) = stock {
+            let reserved_names = Self::reserved_scope_names();
+            for identifier in Self::extract_identifier_candidates(&normalized_expr) {
+                if reserved_names.contains(identifier.as_str())
+                    || prelude_declared_identifiers.contains(&identifier)
+                    || !day.available_factor_names.contains(&identifier)
+                {
+                    continue;
+                }
+                let value = item.extra_factors.get(&identifier).copied().unwrap_or(0.0);
+                scope.push_dynamic(identifier, Dynamic::from(value));
+            }
+        }
+        let factor_alias_prelude = stock
+            .map(|item| {
+                let reserved_names = Self::reserved_scope_names();
+                item.extra_factors
+                    .keys()
+                    .filter(|key| {
+                        Self::is_expression_identifier(key) && !reserved_names.contains(key.as_str())
+                    })
+                    .map(|key| format!("let {key} = factors[\"{key}\"];"))
+                    .collect::<Vec<_>>()
+                    .join("\n")
+            })
+            .filter(|value| !value.trim().is_empty());
+        let mut script_parts = Vec::new();
+        if !self.config.prelude.trim().is_empty() {
+            script_parts.push(self.config.prelude.trim().to_string());
+        }
+        if let Some(alias_prelude) = factor_alias_prelude {
+            script_parts.push(alias_prelude);
+        }
+        script_parts.push(normalized_expr);
+        let script = script_parts.join("\n");
        self.engine
            .eval_with_scope::<Dynamic>(&mut scope, &script)
            .map_err(|error| BacktestError::Execution(format!("platform expr eval failed: {}", error)))
@@ -869,6 +1044,69 @@ impl PlatformExprStrategy {
        Self::rewrite_ternary(expr.trim())
    }

+    fn declared_prelude_identifiers(prelude: &str) -> BTreeSet<String> {
+        prelude
+            .lines()
+            .filter_map(|line| {
+                let trimmed = line.trim_start();
+                let body = if let Some(rest) = trimmed.strip_prefix("let ") {
+                    rest
+                } else if let Some(rest) = trimmed.strip_prefix("fn ") {
+                    rest
+                } else {
+                    return None;
+                };
+                let identifier: String = body
+                    .chars()
+                    .take_while(|ch| ch.is_ascii_alphanumeric() || *ch == '_')
+                    .collect();
+                (!identifier.is_empty()).then_some(identifier)
+            })
+            .collect()
+    }
+
+    fn extract_identifier_candidates(expr: &str) -> BTreeSet<String> {
+        let mut identifiers = BTreeSet::new();
+        let mut chars = expr.chars().peekable();
+        let mut in_single_quote = false;
+        let mut in_double_quote = false;
+        let mut escaped = false;
+        while let Some(ch) = chars.next() {
+            if escaped {
+                escaped = false;
+                continue;
+            }
+            if ch == '\\' && (in_single_quote || in_double_quote) {
+                escaped = true;
+                continue;
+            }
+            if ch == '\'' && !in_double_quote {
+                in_single_quote = !in_single_quote;
+                continue;
+            }
+            if ch == '"' && !in_single_quote {
+                in_double_quote = !in_double_quote;
+                continue;
+            }
+            if in_single_quote || in_double_quote {
+                continue;
+            }
+            if ch.is_ascii_alphabetic() || ch == '_' {
+                let mut identifier = String::from(ch);
+                while let Some(next) = chars.peek().copied() {
+                    if next.is_ascii_alphanumeric() || next == '_' {
+                        identifier.push(next);
+                        chars.next();
+                    } else {
+                        break;
+                    }
+                }
+                identifiers.insert(identifier);
+            }
+        }
+        identifiers
+    }
+
    fn rewrite_ternary(expr: &str) -> String {
        let Some((question_idx, colon_idx)) = Self::find_top_level_ternary(expr) else {
            return expr.trim().to_string();
@@ -1025,6 +1263,10 @@ impl PlatformExprStrategy {
            "market_cap" => Some(stock.market_cap),
            "free_float_cap" | "free_float_market_cap" => Some(stock.free_float_cap),
            "pe_ttm" => Some(stock.pe_ttm),
+            "volume" => Some(stock.volume as f64),
+            "tick_volume" => Some(stock.tick_volume as f64),
+            "bid1_volume" => Some(stock.bid1_volume as f64),
+            "ask1_volume" => Some(stock.ask1_volume as f64),
            "turnover_ratio" => Some(stock.turnover_ratio),
            "effective_turnover_ratio" => Some(stock.effective_turnover_ratio),
            "open" => Some(stock.open),