diff --git a/crates/fidc-core/src/platform_expr_strategy.rs b/crates/fidc-core/src/platform_expr_strategy.rs index 9c4ed06..3d2eab0 100644 --- 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::>() + .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 { 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::>(); + 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::>(); + 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::>(); + 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::>(); + 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); diff --git a/crates/fidc-core/src/strategy_ai.rs b/crates/fidc-core/src/strategy_ai.rs index 244ff2d..6735bf7 100644 --- 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() },