Add suspended and ST data helpers

This commit is contained in:
boris
2026-04-23 19:37:50 -07:00
parent 6106297a97
commit bb8f40f33c
5 changed files with 95 additions and 20 deletions

View File

@@ -947,6 +947,18 @@ impl DataSet {
self.calendar.next_trading_date(date, n)
}
pub fn is_suspended_flags(&self, date: NaiveDate, symbol: &str, count: usize) -> Vec<bool> {
self.historical_daily_flags(date, symbol, count, |candidate, market| {
candidate.is_some_and(|row| row.is_paused) || market.is_some_and(|row| row.paused)
})
}
pub fn is_st_stock_flags(&self, date: NaiveDate, symbol: &str, count: usize) -> Vec<bool> {
self.historical_daily_flags(date, symbol, count, |candidate, _| {
candidate.is_some_and(|row| row.is_st)
})
}
pub fn price(&self, date: NaiveDate, symbol: &str, field: PriceField) -> Option<f64> {
let snapshot = self.market(date, symbol)?;
Some(snapshot.price(field))
@@ -1047,6 +1059,36 @@ impl DataSet {
.collect()
}
fn historical_daily_flags<F>(
&self,
date: NaiveDate,
symbol: &str,
count: usize,
evaluator: F,
) -> Vec<bool>
where
F: Fn(Option<&CandidateEligibility>, Option<&DailyMarketSnapshot>) -> bool,
{
if count == 0 {
return Vec::new();
}
let days = self
.calendar
.iter()
.filter(|day| *day <= date)
.collect::<Vec<_>>();
let start = days.len().saturating_sub(count);
days[start..]
.iter()
.map(|day| {
evaluator(
self.candidate_index.get(&(*day, symbol.to_string())),
self.market_index.get(&(*day, symbol.to_string())),
)
})
.collect()
}
pub fn market_decision_close(&self, date: NaiveDate, symbol: &str) -> Option<f64> {
self.market_series_by_symbol
.get(symbol)

View File

@@ -285,6 +285,16 @@ impl StrategyContext<'_> {
self.data.next_trading_date(date, n)
}
pub fn is_suspended(&self, symbol: &str, count: usize) -> Vec<bool> {
self.data
.is_suspended_flags(self.execution_date, symbol, count)
}
pub fn is_st_stock(&self, symbol: &str, count: usize) -> Vec<bool> {
self.data
.is_st_stock_flags(self.execution_date, symbol, count)
}
pub fn has_subscriptions(&self) -> bool {
!self.subscriptions.is_empty()
}

View File

@@ -199,6 +199,7 @@ pub fn built_in_strategy_manual() -> StrategyAiManual {
ManualFunction { name: "current_snapshot".to_string(), signature: "ctx.current_snapshot(symbol)".to_string(), detail: "读取当前交易日指定证券的日级快照,可用于获得当日 open/close/last/upper_limit/lower_limit 等字段。".to_string() },
ManualFunction { name: "instrument/instruments/all_instruments".to_string(), signature: "ctx.instrument(symbol)".to_string(), detail: "读取证券元数据包括名称、板块、上市日期、退市日期、最小下单量、整手、最小价位等all_instruments 按证券代码稳定排序返回全量证券。".to_string() },
ManualFunction { name: "get_trading_dates/get_previous_trading_date/get_next_trading_date".to_string(), signature: "ctx.get_previous_trading_date(date, n)".to_string(), detail: "交易日历 API。get_trading_dates 返回闭区间交易日previous/next 返回相对某日向前或向后的第 n 个交易日,当前日自身不计入。".to_string() },
ManualFunction { name: "is_suspended/is_st_stock".to_string(), signature: "ctx.is_suspended(symbol, count)".to_string(), detail: "读取指定证券截至当前交易日最近 count 个交易日的停牌或 ST 标记,返回 bool 序列,顺序从旧到新;对应 RQAlpha 的 is_suspended/is_st_stock 数据源能力。".to_string() },
ManualFunction { name: "rolling_mean".to_string(), signature: "rolling_mean(\"field\", lookback)".to_string(), detail: "任意字段滚动均值,支持 volume/amount/turnover_ratio、signal_open/signal_close、benchmark_open/benchmark_close 等。任意成交量窗口推荐用它,比如 rolling_mean(\"volume\", 15)。".to_string() },
ManualFunction { name: "sma".to_string(), signature: "sma(\"field\", lookback)".to_string(), detail: "rolling_mean 的别名。任意价格均线窗口推荐用它,比如 sma(\"close\", 15)。".to_string() },
ManualFunction { name: "round/floor/ceil/abs/min/max/clamp".to_string(), signature: "round(x)".to_string(), detail: "常用数值函数。".to_string() },