Schedule platform explicit trading actions

2026-04-23 04:42:52 -07:00
parent cbb6af3f29
commit 9fca6e0011
2 changed files with 130 additions and 7 deletions
--- a/crates/fidc-core/src/platform_expr_strategy.rs
+++ b/crates/fidc-core/src/platform_expr_strategy.rs
@@ -152,6 +152,7 @@ pub struct PlatformExprStrategyConfig {
    pub rebalance_schedule: Option<PlatformRebalanceSchedule>,
    pub rotation_enabled: bool,
    pub explicit_action_stage: PlatformExplicitActionStage,
+    pub explicit_action_schedule: Option<PlatformRebalanceSchedule>,
    pub explicit_actions: Vec<PlatformTradeAction>,
 }

@@ -200,6 +201,7 @@ fn band_low(index_close) {
            rebalance_schedule: None,
            rotation_enabled: true,
            explicit_action_stage: PlatformExplicitActionStage::OnDay,
+            explicit_action_schedule: None,
            explicit_actions: Vec::new(),
        }
    }
@@ -2265,6 +2267,17 @@ impl PlatformExprStrategy {
        })
    }

+    fn explicit_actions_active(
+        &self,
+        calendar: &crate::calendar::TradingCalendar,
+        date: NaiveDate,
+    ) -> bool {
+        self.config
+            .explicit_action_schedule
+            .as_ref()
+            .is_none_or(|schedule| schedule.matches(calendar, date))
+    }
+
    fn stock_passes_expr(
        &self,
        ctx: &StrategyContext<'_>,
@@ -2586,6 +2599,7 @@ impl Strategy for PlatformExprStrategy {
    ) -> Result<StrategyDecision, BacktestError> {
        if self.config.explicit_action_stage == PlatformExplicitActionStage::OpenAuction
            && !self.config.explicit_actions.is_empty()
+            && self.explicit_actions_active(ctx.data.calendar(), ctx.execution_date)
        {
            return self.explicit_action_decision(ctx);
        }
@@ -2616,12 +2630,14 @@ impl Strategy for PlatformExprStrategy {
        }

        let day = self.day_state(ctx, date)?;
-        let explicit_action_intents =
-            if self.config.explicit_action_stage == PlatformExplicitActionStage::OnDay {
-                self.explicit_action_intents(ctx, date, &day)?
-            } else {
-                Vec::new()
-            };
+        let explicit_action_intents = if self.config.explicit_action_stage
+            == PlatformExplicitActionStage::OnDay
+            && self.explicit_actions_active(ctx.data.calendar(), date)
+        {
+            self.explicit_action_intents(ctx, date, &day)?
+        } else {
+            Vec::new()
+        };
        let mut selection_notes = Vec::new();
        let trading_ratio = if self.config.rotation_enabled {
            self.trading_ratio(ctx, &day)?
@@ -3117,6 +3133,12 @@ mod tests {
        cfg.signal_symbol = "000001.SZ".to_string();
        cfg.rotation_enabled = false;
        cfg.explicit_action_stage = PlatformExplicitActionStage::OpenAuction;
+        cfg.explicit_action_schedule = Some(PlatformRebalanceSchedule {
+            frequency: PlatformScheduleFrequency::Weekly {
+                weekday: Some(1),
+                tradingday: None,
+            },
+        });
        cfg.benchmark_short_ma_days = 1;
        cfg.benchmark_long_ma_days = 1;
        cfg.explicit_actions = vec![PlatformTradeAction::Order {
@@ -3141,4 +3163,105 @@ mod tests {
        let on_day_decision = strategy.on_day(&ctx).expect("on day decision");
        assert!(on_day_decision.order_intents.is_empty());
    }
+
+    #[test]
+    fn platform_strategy_skips_explicit_actions_when_schedule_does_not_match() {
+        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("09:25:00".to_string()),
+                day_open: 10.0,
+                open: 10.0,
+                high: 10.2,
+                low: 9.9,
+                close: 10.1,
+                last_price: 10.0,
+                bid1: 9.99,
+                ask1: 10.0,
+                prev_close: 9.95,
+                volume: 1_000_000,
+                tick_volume: 5_000,
+                bid1_volume: 1_000,
+                ask1_volume: 1_000,
+                trading_phase: Some("open_auction".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.explicit_action_stage = PlatformExplicitActionStage::OpenAuction;
+        cfg.explicit_action_schedule = Some(PlatformRebalanceSchedule {
+            frequency: PlatformScheduleFrequency::Weekly {
+                weekday: Some(5),
+                tradingday: None,
+            },
+        });
+        cfg.benchmark_short_ma_days = 1;
+        cfg.benchmark_long_ma_days = 1;
+        cfg.explicit_actions = vec![PlatformTradeAction::Order {
+            kind: PlatformExplicitOrderKind::Percent,
+            symbol: "000001.SZ".to_string(),
+            amount_expr: "0.25".to_string(),
+            limit_price_expr: None,
+            when_expr: Some("allow_buy".to_string()),
+            reason: "auction_percent_entry".to_string(),
+        }];
+        let mut strategy = PlatformExprStrategy::new(cfg);
+
+        let auction_decision = strategy.open_auction(&ctx).expect("auction decision");
+        assert!(auction_decision.order_intents.is_empty());
+    }
 }
--- a/crates/fidc-core/src/strategy_ai.rs
+++ b/crates/fidc-core/src/strategy_ai.rs
@@ -120,7 +120,7 @@ pub fn built_in_strategy_manual() -> StrategyAiManual {
            },
            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(),
+                detail: "支持显式下单和撤单。可以用 trading.rotation(false) 关闭默认轮动链路，再用 trading.stage(\"open_auction\" | \"on_day\") 指定执行阶段，用 trading.schedule.daily() / trading.schedule.weekly(weekday=5) / trading.schedule.weekly(tradingday=-1) / trading.schedule.monthly(tradingday=1) 指定触发频率，然后写 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 {
                title: "when / unless / else".to_string(),