Expose explicit platform trading actions
This commit is contained in:
@@ -35,8 +35,9 @@ pub use events::{
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pub use instrument::Instrument;
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pub use instrument::Instrument;
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pub use metrics::{BacktestMetrics, compute_backtest_metrics};
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pub use metrics::{BacktestMetrics, compute_backtest_metrics};
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pub use platform_expr_strategy::{
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pub use platform_expr_strategy::{
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PlatformExprStrategy, PlatformExprStrategyConfig, PlatformRebalanceSchedule,
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PlatformExplicitCancelKind, PlatformExplicitOrderKind, PlatformExprStrategy,
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PlatformScheduleFrequency,
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PlatformExprStrategyConfig, PlatformRebalanceSchedule, PlatformScheduleFrequency,
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PlatformTradeAction,
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};
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};
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pub use portfolio::{CashReceivable, HoldingSummary, PortfolioState, Position};
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pub use portfolio::{CashReceivable, HoldingSummary, PortfolioState, Position};
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pub use rules::{ChinaEquityRuleHooks, EquityRuleHooks, RuleCheck};
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pub use rules::{ChinaEquityRuleHooks, EquityRuleHooks, RuleCheck};
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@@ -73,6 +73,48 @@ impl PlatformRebalanceSchedule {
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}
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}
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}
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}
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#[derive(Debug, Clone, PartialEq, Eq)]
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pub enum PlatformExplicitOrderKind {
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Shares,
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LimitShares,
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Lots,
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LimitLots,
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Value,
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LimitValue,
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Percent,
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LimitPercent,
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TargetValue,
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LimitTargetValue,
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TargetPercent,
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LimitTargetPercent,
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}
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#[derive(Debug, Clone, PartialEq, Eq)]
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pub enum PlatformExplicitCancelKind {
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Order,
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Symbol,
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All,
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}
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#[derive(Debug, Clone, PartialEq, Eq)]
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pub enum PlatformTradeAction {
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Order {
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kind: PlatformExplicitOrderKind,
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symbol: String,
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amount_expr: String,
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limit_price_expr: Option<String>,
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when_expr: Option<String>,
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reason: String,
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},
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Cancel {
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kind: PlatformExplicitCancelKind,
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symbol: Option<String>,
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order_id_expr: Option<String>,
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when_expr: Option<String>,
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reason: String,
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},
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}
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#[derive(Debug, Clone)]
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#[derive(Debug, Clone)]
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pub struct PlatformExprStrategyConfig {
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pub struct PlatformExprStrategyConfig {
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pub strategy_name: String,
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pub strategy_name: String,
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@@ -102,6 +144,8 @@ pub struct PlatformExprStrategyConfig {
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pub stock_long_ma_days: usize,
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pub stock_long_ma_days: usize,
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pub skip_month_day_ranges: Vec<(u32, u32, u32)>,
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pub skip_month_day_ranges: Vec<(u32, u32, u32)>,
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pub rebalance_schedule: Option<PlatformRebalanceSchedule>,
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pub rebalance_schedule: Option<PlatformRebalanceSchedule>,
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pub rotation_enabled: bool,
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pub explicit_actions: Vec<PlatformTradeAction>,
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}
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}
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impl PlatformExprStrategyConfig {
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impl PlatformExprStrategyConfig {
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@@ -147,6 +191,8 @@ fn band_low(index_close) {
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stock_long_ma_days: 20,
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stock_long_ma_days: 20,
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skip_month_day_ranges: Vec::new(),
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skip_month_day_ranges: Vec::new(),
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rebalance_schedule: None,
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rebalance_schedule: None,
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rotation_enabled: true,
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explicit_actions: Vec::new(),
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}
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}
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}
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}
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@@ -1855,6 +1901,336 @@ impl PlatformExprStrategy {
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.map(|value| value.clamp(0.0, 1.0))
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.map(|value| value.clamp(0.0, 1.0))
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}
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}
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fn eval_i32(
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&self,
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ctx: &StrategyContext<'_>,
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expr: &str,
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day: &DayExpressionState,
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stock: Option<&StockExpressionState>,
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position: Option<&PositionExpressionState>,
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) -> Result<i32, BacktestError> {
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let value = self.eval_float(ctx, expr, day, stock, position)?;
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if !value.is_finite() {
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return Err(BacktestError::Execution(format!(
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"platform expr did not produce a finite integer: {}",
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expr
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)));
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}
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Ok(value.round().clamp(i32::MIN as f64, i32::MAX as f64) as i32)
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}
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fn eval_u64(
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&self,
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ctx: &StrategyContext<'_>,
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expr: &str,
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day: &DayExpressionState,
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stock: Option<&StockExpressionState>,
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position: Option<&PositionExpressionState>,
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) -> Result<u64, BacktestError> {
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let value = self.eval_float(ctx, expr, day, stock, position)?;
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if !value.is_finite() {
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return Err(BacktestError::Execution(format!(
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"platform expr did not produce a finite order id: {}",
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expr
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)));
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}
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Ok(value.round().max(0.0).min(u64::MAX as f64) as u64)
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}
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fn action_stock_state(
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&self,
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ctx: &StrategyContext<'_>,
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date: NaiveDate,
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symbol: Option<&str>,
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) -> Result<Option<StockExpressionState>, BacktestError> {
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let Some(symbol) = symbol else {
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return Ok(None);
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};
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if ctx.data.market(date, symbol).is_none()
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|| ctx.data.factor(date, symbol).is_none()
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|| ctx.data.candidate(date, symbol).is_none()
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{
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return Ok(None);
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}
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self.stock_state(ctx, date, symbol).map(Some)
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}
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fn action_when_matches(
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&self,
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ctx: &StrategyContext<'_>,
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day: &DayExpressionState,
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stock: Option<&StockExpressionState>,
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expr: Option<&str>,
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) -> Result<bool, BacktestError> {
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let Some(expr) = expr.map(str::trim).filter(|value| !value.is_empty()) else {
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return Ok(true);
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};
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self.eval_bool(ctx, expr, day, stock, None)
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}
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fn explicit_action_intents(
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&self,
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ctx: &StrategyContext<'_>,
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date: NaiveDate,
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day: &DayExpressionState,
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) -> Result<Vec<OrderIntent>, BacktestError> {
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let mut intents = Vec::new();
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for action in &self.config.explicit_actions {
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match action {
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PlatformTradeAction::Order {
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kind,
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symbol,
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amount_expr,
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limit_price_expr,
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when_expr,
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reason,
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} => {
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let stock_state = self.action_stock_state(ctx, date, Some(symbol))?;
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if !self.action_when_matches(
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ctx,
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day,
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stock_state.as_ref(),
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when_expr.as_deref(),
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)? {
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continue;
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}
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match kind {
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PlatformExplicitOrderKind::Shares => {
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let quantity =
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self.eval_i32(ctx, amount_expr, day, stock_state.as_ref(), None)?;
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if quantity == 0 {
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continue;
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}
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intents.push(OrderIntent::Shares {
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symbol: symbol.clone(),
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quantity,
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reason: reason.clone(),
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});
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}
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PlatformExplicitOrderKind::LimitShares => {
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let quantity =
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self.eval_i32(ctx, amount_expr, day, stock_state.as_ref(), None)?;
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if quantity == 0 {
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continue;
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}
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let limit_price = self.eval_float(
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ctx,
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limit_price_expr.as_deref().unwrap_or_default(),
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day,
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stock_state.as_ref(),
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None,
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)?;
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intents.push(OrderIntent::LimitShares {
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symbol: symbol.clone(),
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quantity,
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limit_price,
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reason: reason.clone(),
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});
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}
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PlatformExplicitOrderKind::Lots => {
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let lots =
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self.eval_i32(ctx, amount_expr, day, stock_state.as_ref(), None)?;
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if lots == 0 {
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continue;
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}
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intents.push(OrderIntent::Lots {
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symbol: symbol.clone(),
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lots,
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reason: reason.clone(),
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});
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}
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PlatformExplicitOrderKind::LimitLots => {
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let lots =
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self.eval_i32(ctx, amount_expr, day, stock_state.as_ref(), None)?;
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if lots == 0 {
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continue;
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}
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let limit_price = self.eval_float(
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ctx,
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limit_price_expr.as_deref().unwrap_or_default(),
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day,
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stock_state.as_ref(),
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None,
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)?;
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intents.push(OrderIntent::LimitLots {
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symbol: symbol.clone(),
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lots,
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limit_price,
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reason: reason.clone(),
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});
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}
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PlatformExplicitOrderKind::Value => {
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let value =
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self.eval_float(ctx, amount_expr, day, stock_state.as_ref(), None)?;
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if value.abs() <= f64::EPSILON {
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continue;
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}
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intents.push(OrderIntent::Value {
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symbol: symbol.clone(),
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value,
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reason: reason.clone(),
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});
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}
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PlatformExplicitOrderKind::LimitValue => {
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let value =
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self.eval_float(ctx, amount_expr, day, stock_state.as_ref(), None)?;
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if value.abs() <= f64::EPSILON {
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continue;
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}
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let limit_price = self.eval_float(
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ctx,
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limit_price_expr.as_deref().unwrap_or_default(),
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day,
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stock_state.as_ref(),
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None,
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)?;
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intents.push(OrderIntent::LimitValue {
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symbol: symbol.clone(),
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value,
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limit_price,
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reason: reason.clone(),
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});
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}
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PlatformExplicitOrderKind::Percent => {
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let percent =
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self.eval_float(ctx, amount_expr, day, stock_state.as_ref(), None)?;
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if percent.abs() <= f64::EPSILON {
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continue;
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}
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intents.push(OrderIntent::Percent {
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symbol: symbol.clone(),
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percent,
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reason: reason.clone(),
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});
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}
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PlatformExplicitOrderKind::LimitPercent => {
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let percent =
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self.eval_float(ctx, amount_expr, day, stock_state.as_ref(), None)?;
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if percent.abs() <= f64::EPSILON {
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continue;
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}
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let limit_price = self.eval_float(
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ctx,
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limit_price_expr.as_deref().unwrap_or_default(),
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day,
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stock_state.as_ref(),
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None,
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)?;
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intents.push(OrderIntent::LimitPercent {
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symbol: symbol.clone(),
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percent,
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limit_price,
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reason: reason.clone(),
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});
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}
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PlatformExplicitOrderKind::TargetValue => {
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let target_value =
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self.eval_float(ctx, amount_expr, day, stock_state.as_ref(), None)?;
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intents.push(OrderIntent::TargetValue {
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symbol: symbol.clone(),
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target_value,
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reason: reason.clone(),
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});
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}
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PlatformExplicitOrderKind::LimitTargetValue => {
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let target_value =
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self.eval_float(ctx, amount_expr, day, stock_state.as_ref(), None)?;
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let limit_price = self.eval_float(
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|
ctx,
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limit_price_expr.as_deref().unwrap_or_default(),
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|
day,
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|
stock_state.as_ref(),
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|
None,
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|
)?;
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intents.push(OrderIntent::LimitTargetValue {
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|
symbol: symbol.clone(),
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target_value,
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|
limit_price,
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|
reason: reason.clone(),
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});
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}
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|
PlatformExplicitOrderKind::TargetPercent => {
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let target_percent =
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self.eval_float(ctx, amount_expr, day, stock_state.as_ref(), None)?;
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intents.push(OrderIntent::TargetPercent {
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|
symbol: symbol.clone(),
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|
target_percent,
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|
reason: reason.clone(),
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|
});
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|
}
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|
PlatformExplicitOrderKind::LimitTargetPercent => {
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|
let target_percent =
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|
self.eval_float(ctx, amount_expr, day, stock_state.as_ref(), None)?;
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|
let limit_price = self.eval_float(
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|
ctx,
|
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|
limit_price_expr.as_deref().unwrap_or_default(),
|
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|
day,
|
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|
stock_state.as_ref(),
|
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|
None,
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|
)?;
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|
intents.push(OrderIntent::LimitTargetPercent {
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|
symbol: symbol.clone(),
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|
target_percent,
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|
limit_price,
|
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|
reason: reason.clone(),
|
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|
});
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|
}
|
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|
}
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|
}
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|
PlatformTradeAction::Cancel {
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|
kind,
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|
symbol,
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|
order_id_expr,
|
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|
when_expr,
|
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|
reason,
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|
} => {
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|
let stock_state = self.action_stock_state(ctx, date, symbol.as_deref())?;
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|
if !self.action_when_matches(
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|
ctx,
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|
day,
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|
stock_state.as_ref(),
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|
when_expr.as_deref(),
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|
)? {
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|
continue;
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|
}
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|
match kind {
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|
PlatformExplicitCancelKind::Order => {
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|
let order_id = self.eval_u64(
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|
ctx,
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|
order_id_expr.as_deref().unwrap_or_default(),
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|
day,
|
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|
stock_state.as_ref(),
|
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|
None,
|
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|
)?;
|
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|
if order_id == 0 {
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|
continue;
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|
}
|
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|
intents.push(OrderIntent::CancelOrder {
|
||||||
|
order_id,
|
||||||
|
reason: reason.clone(),
|
||||||
|
});
|
||||||
|
}
|
||||||
|
PlatformExplicitCancelKind::Symbol => {
|
||||||
|
let Some(symbol) = symbol.clone() else {
|
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|
continue;
|
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|
};
|
||||||
|
intents.push(OrderIntent::CancelSymbol {
|
||||||
|
symbol,
|
||||||
|
reason: reason.clone(),
|
||||||
|
});
|
||||||
|
}
|
||||||
|
PlatformExplicitCancelKind::All => {
|
||||||
|
intents.push(OrderIntent::CancelAll {
|
||||||
|
reason: reason.clone(),
|
||||||
|
});
|
||||||
|
}
|
||||||
|
}
|
||||||
|
}
|
||||||
|
}
|
||||||
|
}
|
||||||
|
Ok(intents)
|
||||||
|
}
|
||||||
|
|
||||||
fn stock_passes_expr(
|
fn stock_passes_expr(
|
||||||
&self,
|
&self,
|
||||||
ctx: &StrategyContext<'_>,
|
ctx: &StrategyContext<'_>,
|
||||||
@@ -2194,17 +2570,40 @@ impl Strategy for PlatformExprStrategy {
|
|||||||
}
|
}
|
||||||
|
|
||||||
let day = self.day_state(ctx, date)?;
|
let day = self.day_state(ctx, date)?;
|
||||||
let trading_ratio = self.trading_ratio(ctx, &day)?;
|
let explicit_action_intents = self.explicit_action_intents(ctx, date, &day)?;
|
||||||
let (band_low, band_high) = self.market_cap_band(ctx, &day)?;
|
let mut selection_notes = Vec::new();
|
||||||
let selection_limit = self
|
let trading_ratio = if self.config.rotation_enabled {
|
||||||
.selection_limit(ctx, &day)?
|
self.trading_ratio(ctx, &day)?
|
||||||
.min(self.config.max_positions.max(1));
|
} else {
|
||||||
let (stock_list, selection_notes) =
|
0.0
|
||||||
|
};
|
||||||
|
let (band_low, band_high) = if self.config.rotation_enabled {
|
||||||
|
self.market_cap_band(ctx, &day)?
|
||||||
|
} else {
|
||||||
|
(0.0, 0.0)
|
||||||
|
};
|
||||||
|
let selection_limit = if self.config.rotation_enabled {
|
||||||
|
self.selection_limit(ctx, &day)?
|
||||||
|
.min(self.config.max_positions.max(1))
|
||||||
|
} else {
|
||||||
|
0
|
||||||
|
};
|
||||||
|
let stock_list = if self.config.rotation_enabled {
|
||||||
|
let (stock_list, notes) =
|
||||||
self.select_symbols(ctx, date, &day, band_low, band_high, selection_limit)?;
|
self.select_symbols(ctx, date, &day, band_low, band_high, selection_limit)?;
|
||||||
let periodic_rebalance = if let Some(schedule) = &self.config.rebalance_schedule {
|
selection_notes = notes;
|
||||||
|
stock_list
|
||||||
|
} else {
|
||||||
|
Vec::new()
|
||||||
|
};
|
||||||
|
let periodic_rebalance = if self.config.rotation_enabled {
|
||||||
|
if let Some(schedule) = &self.config.rebalance_schedule {
|
||||||
schedule.matches(ctx.data.calendar(), date)
|
schedule.matches(ctx.data.calendar(), date)
|
||||||
} else {
|
} else {
|
||||||
ctx.decision_index % self.config.refresh_rate == 0
|
ctx.decision_index % self.config.refresh_rate == 0
|
||||||
|
}
|
||||||
|
} else {
|
||||||
|
false
|
||||||
};
|
};
|
||||||
let mut projected = ctx.portfolio.clone();
|
let mut projected = ctx.portfolio.clone();
|
||||||
let mut projected_execution_state = ProjectedExecutionState::default();
|
let mut projected_execution_state = ProjectedExecutionState::default();
|
||||||
@@ -2240,7 +2639,7 @@ impl Strategy for PlatformExprStrategy {
|
|||||||
);
|
);
|
||||||
}
|
}
|
||||||
|
|
||||||
if projected.positions().len() < selection_limit {
|
if self.config.rotation_enabled && projected.positions().len() < selection_limit {
|
||||||
let remaining_slots = selection_limit - projected.positions().len();
|
let remaining_slots = selection_limit - projected.positions().len();
|
||||||
if remaining_slots > 0 {
|
if remaining_slots > 0 {
|
||||||
let replacement_cash =
|
let replacement_cash =
|
||||||
@@ -2353,7 +2752,12 @@ impl Strategy for PlatformExprStrategy {
|
|||||||
}
|
}
|
||||||
}
|
}
|
||||||
|
|
||||||
|
if !explicit_action_intents.is_empty() {
|
||||||
|
order_intents.extend(explicit_action_intents);
|
||||||
|
}
|
||||||
|
|
||||||
let mut diagnostics = vec![
|
let mut diagnostics = vec![
|
||||||
|
if self.config.rotation_enabled {
|
||||||
format!(
|
format!(
|
||||||
"platform_expr signal={} last={:.2} ma_short={:.2} ma_long={:.2} band={:.2}-{:.2} tr={:.2}",
|
"platform_expr signal={} last={:.2} ma_short={:.2} ma_long={:.2} band={:.2}-{:.2} tr={:.2}",
|
||||||
self.config.signal_symbol,
|
self.config.signal_symbol,
|
||||||
@@ -2363,7 +2767,15 @@ impl Strategy for PlatformExprStrategy {
|
|||||||
band_low,
|
band_low,
|
||||||
band_high,
|
band_high,
|
||||||
trading_ratio
|
trading_ratio
|
||||||
),
|
)
|
||||||
|
} else {
|
||||||
|
format!(
|
||||||
|
"platform_expr signal={} last={:.2} explicit_actions={} rotation=false",
|
||||||
|
self.config.signal_symbol,
|
||||||
|
day.signal_close,
|
||||||
|
self.config.explicit_actions.len()
|
||||||
|
)
|
||||||
|
},
|
||||||
format!(
|
format!(
|
||||||
"selected={} periodic_rebalance={} exits={} projected_positions={} intents={} limit={}",
|
"selected={} periodic_rebalance={} exits={} projected_positions={} intents={} limit={}",
|
||||||
stock_list.len(),
|
stock_list.len(),
|
||||||
@@ -2395,10 +2807,19 @@ impl Strategy for PlatformExprStrategy {
|
|||||||
|
|
||||||
#[cfg(test)]
|
#[cfg(test)]
|
||||||
mod tests {
|
mod tests {
|
||||||
|
use std::collections::BTreeMap;
|
||||||
|
|
||||||
use chrono::NaiveDate;
|
use chrono::NaiveDate;
|
||||||
|
|
||||||
use super::{PlatformRebalanceSchedule, PlatformScheduleFrequency};
|
use super::{
|
||||||
use crate::TradingCalendar;
|
PlatformExplicitCancelKind, PlatformExplicitOrderKind, PlatformExprStrategy,
|
||||||
|
PlatformExprStrategyConfig, PlatformRebalanceSchedule, PlatformScheduleFrequency,
|
||||||
|
PlatformTradeAction,
|
||||||
|
};
|
||||||
|
use crate::{
|
||||||
|
BenchmarkSnapshot, CandidateEligibility, DailyFactorSnapshot, DailyMarketSnapshot, DataSet,
|
||||||
|
Instrument, PortfolioState, Strategy, StrategyContext, TradingCalendar,
|
||||||
|
};
|
||||||
|
|
||||||
fn d(year: i32, month: u32, day: u32) -> NaiveDate {
|
fn d(year: i32, month: u32, day: u32) -> NaiveDate {
|
||||||
NaiveDate::from_ymd_opt(year, month, day).expect("valid date")
|
NaiveDate::from_ymd_opt(year, month, day).expect("valid date")
|
||||||
@@ -2436,4 +2857,133 @@ mod tests {
|
|||||||
assert!(schedule.matches(&calendar, d(2025, 2, 3)));
|
assert!(schedule.matches(&calendar, d(2025, 2, 3)));
|
||||||
assert!(!schedule.matches(&calendar, d(2025, 2, 4)));
|
assert!(!schedule.matches(&calendar, d(2025, 2, 4)));
|
||||||
}
|
}
|
||||||
|
|
||||||
|
#[test]
|
||||||
|
fn platform_strategy_emits_explicit_actions_when_rotation_is_disabled() {
|
||||||
|
let date = d(2025, 2, 3);
|
||||||
|
let data = DataSet::from_components(
|
||||||
|
vec![Instrument {
|
||||||
|
symbol: "000001.SZ".to_string(),
|
||||||
|
name: "Ping An Bank".to_string(),
|
||||||
|
board: "SZSE".to_string(),
|
||||||
|
round_lot: 100,
|
||||||
|
listed_at: Some(d(2010, 1, 1)),
|
||||||
|
delisted_at: None,
|
||||||
|
status: "active".to_string(),
|
||||||
|
}],
|
||||||
|
vec![DailyMarketSnapshot {
|
||||||
|
date,
|
||||||
|
symbol: "000001.SZ".to_string(),
|
||||||
|
timestamp: Some("10:18:00".to_string()),
|
||||||
|
day_open: 10.0,
|
||||||
|
open: 10.0,
|
||||||
|
high: 10.2,
|
||||||
|
low: 9.9,
|
||||||
|
close: 10.1,
|
||||||
|
last_price: 10.05,
|
||||||
|
bid1: 10.04,
|
||||||
|
ask1: 10.05,
|
||||||
|
prev_close: 9.95,
|
||||||
|
volume: 1_000_000,
|
||||||
|
tick_volume: 5_000,
|
||||||
|
bid1_volume: 1_000,
|
||||||
|
ask1_volume: 1_000,
|
||||||
|
trading_phase: Some("continuous".to_string()),
|
||||||
|
paused: false,
|
||||||
|
upper_limit: 10.94,
|
||||||
|
lower_limit: 8.96,
|
||||||
|
price_tick: 0.01,
|
||||||
|
}],
|
||||||
|
vec![DailyFactorSnapshot {
|
||||||
|
date,
|
||||||
|
symbol: "000001.SZ".to_string(),
|
||||||
|
market_cap_bn: 12.0,
|
||||||
|
free_float_cap_bn: 10.0,
|
||||||
|
pe_ttm: 8.0,
|
||||||
|
turnover_ratio: Some(22.0),
|
||||||
|
effective_turnover_ratio: Some(18.0),
|
||||||
|
extra_factors: BTreeMap::new(),
|
||||||
|
}],
|
||||||
|
vec![CandidateEligibility {
|
||||||
|
date,
|
||||||
|
symbol: "000001.SZ".to_string(),
|
||||||
|
is_st: false,
|
||||||
|
is_new_listing: false,
|
||||||
|
is_paused: false,
|
||||||
|
allow_buy: true,
|
||||||
|
allow_sell: true,
|
||||||
|
is_kcb: false,
|
||||||
|
is_one_yuan: false,
|
||||||
|
}],
|
||||||
|
vec![BenchmarkSnapshot {
|
||||||
|
date,
|
||||||
|
benchmark: "000852.SH".to_string(),
|
||||||
|
open: 1000.0,
|
||||||
|
close: 1002.0,
|
||||||
|
prev_close: 998.0,
|
||||||
|
volume: 1_000_000,
|
||||||
|
}],
|
||||||
|
)
|
||||||
|
.expect("dataset");
|
||||||
|
let portfolio = PortfolioState::new(1_000_000.0);
|
||||||
|
let ctx = StrategyContext {
|
||||||
|
execution_date: date,
|
||||||
|
decision_date: date,
|
||||||
|
decision_index: 0,
|
||||||
|
data: &data,
|
||||||
|
portfolio: &portfolio,
|
||||||
|
};
|
||||||
|
let mut cfg = PlatformExprStrategyConfig::microcap_rotation();
|
||||||
|
cfg.signal_symbol = "000001.SZ".to_string();
|
||||||
|
cfg.rotation_enabled = false;
|
||||||
|
cfg.benchmark_short_ma_days = 1;
|
||||||
|
cfg.benchmark_long_ma_days = 1;
|
||||||
|
cfg.explicit_actions = vec![
|
||||||
|
PlatformTradeAction::Order {
|
||||||
|
kind: PlatformExplicitOrderKind::Value,
|
||||||
|
symbol: "000001.SZ".to_string(),
|
||||||
|
amount_expr: "cash * 0.1".to_string(),
|
||||||
|
limit_price_expr: None,
|
||||||
|
when_expr: Some("allow_buy && !touched_upper_limit".to_string()),
|
||||||
|
reason: "platform_explicit_value".to_string(),
|
||||||
|
},
|
||||||
|
PlatformTradeAction::Cancel {
|
||||||
|
kind: PlatformExplicitCancelKind::Symbol,
|
||||||
|
symbol: Some("000001.SZ".to_string()),
|
||||||
|
order_id_expr: None,
|
||||||
|
when_expr: Some("allow_buy".to_string()),
|
||||||
|
reason: "platform_cancel_symbol".to_string(),
|
||||||
|
},
|
||||||
|
];
|
||||||
|
let mut strategy = PlatformExprStrategy::new(cfg);
|
||||||
|
|
||||||
|
let decision = strategy.on_day(&ctx).expect("platform decision");
|
||||||
|
|
||||||
|
assert_eq!(decision.order_intents.len(), 2);
|
||||||
|
match &decision.order_intents[0] {
|
||||||
|
crate::strategy::OrderIntent::Value {
|
||||||
|
symbol,
|
||||||
|
value,
|
||||||
|
reason,
|
||||||
|
} => {
|
||||||
|
assert_eq!(symbol, "000001.SZ");
|
||||||
|
assert!((*value - 100_000.0).abs() < 1e-6);
|
||||||
|
assert_eq!(reason, "platform_explicit_value");
|
||||||
|
}
|
||||||
|
other => panic!("unexpected first explicit order intent: {other:?}"),
|
||||||
|
}
|
||||||
|
match &decision.order_intents[1] {
|
||||||
|
crate::strategy::OrderIntent::CancelSymbol { symbol, reason } => {
|
||||||
|
assert_eq!(symbol, "000001.SZ");
|
||||||
|
assert_eq!(reason, "platform_cancel_symbol");
|
||||||
|
}
|
||||||
|
other => panic!("unexpected explicit cancel intent: {other:?}"),
|
||||||
|
}
|
||||||
|
assert!(
|
||||||
|
decision
|
||||||
|
.diagnostics
|
||||||
|
.iter()
|
||||||
|
.any(|item| item.contains("rotation=false"))
|
||||||
|
);
|
||||||
|
}
|
||||||
}
|
}
|
||||||
|
|||||||
@@ -118,6 +118,10 @@ pub fn built_in_strategy_manual() -> StrategyAiManual {
|
|||||||
title: "execution.matching_type / execution.slippage".to_string(),
|
title: "execution.matching_type / execution.slippage".to_string(),
|
||||||
detail: "设置撮合模式和滑点。支持 execution.matching_type(\"next_tick_last\" | \"next_tick_best_own\" | \"next_tick_best_counterparty\" | \"counterparty_offer\" | \"vwap\" | \"current_bar_close\" | \"next_bar_open\" | \"open_auction\")。其中 next_tick_last 使用 tick 的 last_price;next_tick_best_own / next_tick_best_counterparty 会按 L1 买一卖一近似 rqalpha 的 tick 最优价语义,counterparty_offer 当前也按 L1 对手方报价近似实现;vwap 会在盘中执行价链路上聚合多笔成交为单条 VWAP 成交;open_auction 使用当日集合竞价开盘价 day_open 进行撮合,且不额外施加滑点,并按竞价成交量而不是盘口一档流动性限制成交;滑点支持 execution.slippage(\"none\") / execution.slippage(\"price_ratio\", 0.001) / execution.slippage(\"tick_size\", 1) / execution.slippage(\"limit_price\"),其中 limit_price 会在限价单成交时按挂单价模拟 rqalpha 的最坏成交价。".to_string(),
|
detail: "设置撮合模式和滑点。支持 execution.matching_type(\"next_tick_last\" | \"next_tick_best_own\" | \"next_tick_best_counterparty\" | \"counterparty_offer\" | \"vwap\" | \"current_bar_close\" | \"next_bar_open\" | \"open_auction\")。其中 next_tick_last 使用 tick 的 last_price;next_tick_best_own / next_tick_best_counterparty 会按 L1 买一卖一近似 rqalpha 的 tick 最优价语义,counterparty_offer 当前也按 L1 对手方报价近似实现;vwap 会在盘中执行价链路上聚合多笔成交为单条 VWAP 成交;open_auction 使用当日集合竞价开盘价 day_open 进行撮合,且不额外施加滑点,并按竞价成交量而不是盘口一档流动性限制成交;滑点支持 execution.slippage(\"none\") / execution.slippage(\"price_ratio\", 0.001) / execution.slippage(\"tick_size\", 1) / execution.slippage(\"limit_price\"),其中 limit_price 会在限价单成交时按挂单价模拟 rqalpha 的最坏成交价。".to_string(),
|
||||||
},
|
},
|
||||||
|
ManualSection {
|
||||||
|
title: "trading.rotation / order.* / cancel.*".to_string(),
|
||||||
|
detail: "支持显式下单和撤单。可以用 trading.rotation(false) 关闭默认轮动链路,再写 order.shares(\"600000.SH\", 1000)、order.value(\"600000.SH\", cash * 0.25)、order.target_percent(\"600000.SH\", 0.05)、order.limit_value(\"600000.SH\", cash * 0.25, open * 0.99)、cancel.order(12345)、cancel.symbol(\"600000.SH\")、cancel.all()。symbol 使用标准证券代码;数量、金额、仓位、限价和 order_id 都支持表达式;这些语句也支持放进 when/unless 条件块。".to_string(),
|
||||||
|
},
|
||||||
ManualSection {
|
ManualSection {
|
||||||
title: "when / unless / else".to_string(),
|
title: "when / unless / else".to_string(),
|
||||||
detail: "条件块支持按日期、指数、仓位等动态切换规则。".to_string(),
|
detail: "条件块支持按日期、指数、仓位等动态切换规则。".to_string(),
|
||||||
@@ -206,6 +210,10 @@ pub fn built_in_strategy_manual() -> StrategyAiManual {
|
|||||||
title: "next tick 撮合 + tick 滑点".to_string(),
|
title: "next tick 撮合 + tick 滑点".to_string(),
|
||||||
code: "execution.matching_type(\"next_tick_last\")\nexecution.slippage(\"tick_size\", 1)".to_string(),
|
code: "execution.matching_type(\"next_tick_last\")\nexecution.slippage(\"tick_size\", 1)".to_string(),
|
||||||
},
|
},
|
||||||
|
ManualExample {
|
||||||
|
title: "显式下单并关闭默认轮动".to_string(),
|
||||||
|
code: "trading.rotation(false)\norder.value(\"600000.SH\", cash * 0.25, \"manual_entry\")\ncancel.symbol(\"600000.SH\", \"manual_cancel\")".to_string(),
|
||||||
|
},
|
||||||
],
|
],
|
||||||
}
|
}
|
||||||
}
|
}
|
||||||
|
|||||||
Reference in New Issue
Block a user