完善平台表达式因子执行能力

2026-04-28 23:22:21 +08:00
parent c73649012f
commit 8e4e0cd86f
2 changed files with 176 additions and 5 deletions
--- a/crates/fidc-core/src/platform_expr_strategy.rs
+++ b/crates/fidc-core/src/platform_expr_strategy.rs
@@ -1675,6 +1675,7 @@ impl PlatformExprStrategy {
            scope.push("tick_volume", stock.tick_volume);
            scope.push("bid1_volume", stock.bid1_volume);
            scope.push("ask1_volume", stock.ask1_volume);
+            scope.push("turnover", stock.turnover_ratio);
            scope.push("turnover_ratio", stock.turnover_ratio);
            scope.push("effective_turnover_ratio", stock.effective_turnover_ratio);
            scope.push("open", stock.open);
@@ -1763,6 +1764,7 @@ impl PlatformExprStrategy {
            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".into(), Dynamic::from(stock.turnover_ratio));
            factors.insert("turnover_ratio".into(), Dynamic::from(stock.turnover_ratio));
            factors.insert(
                "effective_turnover_ratio".into(),
@@ -2009,8 +2011,9 @@ impl PlatformExprStrategy {
            })
            .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());
+        let prelude = Self::normalize_prelude_for_eval(&self.config.prelude);
+        if !prelude.trim().is_empty() {
+            script_parts.push(prelude);
        }
        if let Some(alias_prelude) = factor_alias_prelude {
            script_parts.push(alias_prelude);
@@ -2028,6 +2031,28 @@ impl PlatformExprStrategy {
        Self::rewrite_ternary(expr.trim())
    }

+    fn normalize_prelude_for_eval(prelude: &str) -> String {
+        prelude
+            .lines()
+            .map(|line| {
+                let trimmed = line.trim_end();
+                let head = trimmed.trim_start();
+                if head.is_empty()
+                    || head.starts_with("//")
+                    || trimmed.ends_with(';')
+                    || trimmed.ends_with('{')
+                    || trimmed.ends_with('}')
+                    || !(head.starts_with("let ") || head.starts_with("const "))
+                {
+                    trimmed.to_string()
+                } else {
+                    format!("{trimmed};")
+                }
+            })
+            .collect::<Vec<_>>()
+            .join("\n")
+    }
+
    fn expand_runtime_helpers(
        &self,
        ctx: &StrategyContext<'_>,
@@ -2766,6 +2791,14 @@ impl PlatformExprStrategy {
        )
    }

+    fn is_non_numeric_expr_error(error: &BacktestError) -> bool {
+        matches!(
+            error,
+            BacktestError::Execution(message)
+                if message.starts_with("platform expr did not produce a number: ")
+        )
+    }
+
    fn split_top_level_args(args: &str) -> Vec<String> {
        let mut parts = Vec::new();
        let mut start = 0usize;
@@ -4006,7 +4039,7 @@ impl PlatformExprStrategy {
            "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),
+            "turnover" | "turnover_ratio" => Some(stock.turnover_ratio),
            "effective_turnover_ratio" => Some(stock.effective_turnover_ratio),
            "open" => Some(stock.open),
            "high" => Some(stock.high),
@@ -4075,6 +4108,7 @@ impl PlatformExprStrategy {
            return match self.eval_float(ctx, &self.config.rank_expr, day, Some(stock), None) {
                Ok(value) => Ok(value),
                Err(error) if Self::is_missing_rolling_mean_error(&error) => Ok(f64::NAN),
+                Err(error) if Self::is_non_numeric_expr_error(&error) => Ok(f64::NAN),
                Err(error) => Err(error),
            };
        }
@@ -5376,7 +5410,11 @@ mod tests {
        cfg.market_cap_lower_expr = "0".to_string();
        cfg.market_cap_upper_expr = "100".to_string();
        cfg.selection_limit_expr = "1".to_string();
-        cfg.stock_filter_expr = "rolling_mean(\"volume\", 60) > 0".to_string();
+        cfg.stock_filter_expr = concat!(
+            "rolling_mean(\"volume\", 60) > 0",
+            " && pct_change(\"close\", 1) > 0.0"
+        )
+        .to_string();
        let mut strategy = PlatformExprStrategy::new(cfg);

        let decision = strategy.on_day(&ctx).expect("platform decision");
@@ -5534,6 +5572,139 @@ mod tests {
        assert_eq!(decision.order_intents.len(), 1);
    }

+    #[test]
+    fn platform_selection_expands_pct_change_in_filter_and_rank_expr() {
+        let dates = [d(2025, 1, 2), d(2025, 1, 3), d(2025, 1, 6)];
+        let market_rows = dates
+            .iter()
+            .enumerate()
+            .map(|(index, date)| DailyMarketSnapshot {
+                date: *date,
+                symbol: "000001.SZ".to_string(),
+                timestamp: None,
+                day_open: 10.0 + index as f64,
+                open: 10.0 + index as f64,
+                high: 10.5 + index as f64,
+                low: 9.5 + index as f64,
+                close: 10.0 + index as f64,
+                last_price: 10.0 + index as f64,
+                bid1: 10.0 + index as f64,
+                ask1: 10.0 + index as f64,
+                prev_close: 9.8 + index as f64,
+                volume: 1000 + index as u64 * 100,
+                tick_volume: 0,
+                bid1_volume: 0,
+                ask1_volume: 0,
+                trading_phase: None,
+                paused: false,
+                upper_limit: 20.0,
+                lower_limit: 5.0,
+                price_tick: 0.01,
+            })
+            .collect::<Vec<_>>();
+        let factor_rows = dates
+            .iter()
+            .map(|date| DailyFactorSnapshot {
+                date: *date,
+                symbol: "000001.SZ".to_string(),
+                market_cap_bn: 12.0,
+                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::<Vec<_>>();
+        let candidate_rows = dates
+            .iter()
+            .map(|date| CandidateEligibility {
+                date: *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,
+            })
+            .collect::<Vec<_>>();
+        let benchmark_rows = dates
+            .iter()
+            .map(|date| BenchmarkSnapshot {
+                date: *date,
+                benchmark: "000852.SH".to_string(),
+                open: 1000.0,
+                close: 1002.0,
+                prev_close: 998.0,
+                volume: 1_000_000,
+            })
+            .collect::<Vec<_>>();
+        let data = DataSet::from_components(
+            vec![Instrument {
+                symbol: "000001.SZ".to_string(),
+                name: "Ping An Bank".to_string(),
+                board: "SZ".to_string(),
+                round_lot: 100,
+                listed_at: Some(d(2020, 1, 1)),
+                delisted_at: None,
+                status: "active".to_string(),
+            }],
+            market_rows,
+            factor_rows,
+            candidate_rows,
+            benchmark_rows,
+        )
+        .expect("dataset");
+        let portfolio = PortfolioState::new(1_000_000.0);
+        let subscriptions = BTreeSet::new();
+        let ctx = StrategyContext {
+            execution_date: dates[2],
+            decision_date: dates[2],
+            decision_index: 2,
+            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 = "000001.SZ".to_string();
+        cfg.refresh_rate = 1;
+        cfg.max_positions = 1;
+        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 = "1".to_string();
+        cfg.prelude = "let turnover_floor = 0\nlet boost = 0.5".to_string();
+        cfg.stock_filter_expr = concat!(
+            "close > rolling_mean(\"close\", 2)",
+            " && pct_change(\"close\", 1) > 0.08",
+            " && turnover > turnover_floor"
+        )
+        .to_string();
+        cfg.exposure_expr = "signal_close > 0 ? 1.0 : 0.5".to_string();
+        cfg.buy_scale_expr = "touched_upper_limit ? 1.0 : 0.5".to_string();
+        cfg.rank_expr = concat!(
+            "(close / rolling_mean(\"close\", 2)) * 0.5",
+            " + pct_change(\"close\", 1) * boost"
+        )
+        .to_string();
+        cfg.rank_desc = true;
+        let mut strategy = PlatformExprStrategy::new(cfg);
+
+        let decision = strategy.on_day(&ctx).expect("platform decision");
+
+        assert_eq!(decision.order_intents.len(), 1);
+    }
+
    #[test]
    fn platform_strategy_emits_target_shares_explicit_action() {
        let date = d(2025, 2, 3);
--- a/crates/fidc-core/src/strategy_ai.rs
+++ b/crates/fidc-core/src/strategy_ai.rs
@@ -262,7 +262,7 @@ pub fn built_in_strategy_manual() -> StrategyAiManual {
                fields: vec![
                    ManualField { name: "symbol".to_string(), field_type: "string".to_string(), detail: "证券代码。".to_string() },
                    ManualField { name: "market_cap/free_float_cap".to_string(), field_type: "float".to_string(), detail: "总市值、流通市值。".to_string() },
-                    ManualField { name: "turnover_ratio/effective_turnover_ratio".to_string(), field_type: "float".to_string(), detail: "换手率、有效换手率。".to_string() },
+                    ManualField { name: "turnover/turnover_ratio/effective_turnover_ratio".to_string(), field_type: "float".to_string(), detail: "换手率、换手率标准字段、有效换手率；turnover 是 turnover_ratio 的兼容别名。".to_string() },
                    ManualField { name: "open/high/low/close/last/last_price/prev_close/amount".to_string(), field_type: "float".to_string(), detail: "开盘、最高、最低、收盘、盘中价、昨收和成交额。".to_string() },
                    ManualField { name: "upper_limit/lower_limit/price_tick/round_lot/minimum_order_quantity/order_step_size".to_string(), field_type: "float/int".to_string(), detail: "涨跌停、最小价位、整手、最小下单量和数量步长。KSH/BJSE 等板块可与 round_lot 不同。".to_string() },
                    ManualField { name: "paused/is_st/is_kcb/is_one_yuan/is_new_listing".to_string(), field_type: "bool".to_string(), detail: "可交易性与板块标志。".to_string() },