增强回测引擎第二版策略与快照层

2026-04-07 00:34:52 -07:00
parent 334864cbc5
commit d039c4e741
10 changed files with 244 additions and 86 deletions
--- a/README.md
+++ b/README.md
@@ -4,6 +4,7 @@

 ## 当前能力

+- Phase 2：增加 snapshot bundle 视图与更贴近 jqdata 策略语义的动态市值带策略
 - 日频交易日历与确定性逐日回放
 - A 股日频市场快照、估值/因子快照、基准快照、候选资格标记
 - 策略接口与引擎驱动，不直接模拟 `jqdata` API
@@ -53,19 +54,24 @@

 ## 策略实现

-示例策略 `CnSmallCapRotationStrategy` 对应一类典型的 A 股小市值轮动逻辑：
+示例策略 `CnSmallCapRotationStrategy` 对应一类典型的 A 股小市值轮动逻辑，并在 phase 2 里更贴近原始 jqdata 语义：

-1. 用指数点位相对基准水平切换市值带：
-   - 强势区间：更偏小市值
-   - 中性区间：中小市值
-   - 弱势区间：偏大一些的防御市值带
+1. 用指数点位动态计算市值带：
+   - `mystart = round((index_close - base_index_level) * xs + base_cap_floor)`
+   - `myend = mystart + cap_span`
 2. 在当前市值带内，按总市值升序取 Top-N。
 3. 用指数短均线/长均线关系控制总仓位：
-   - `1.0`: 风险偏好正常
-   - `0.5`: 降半仓
-   - `0.0`: 全部转现金
-4. 固定交易日频率再平衡。
+   - 当 `MA(short) < MA(long) * rsi_rate` 时降到 `trade_rate`
+   - 否则恢复到 `1.0`
+4. 按 `refresh_rate` 固定频率再平衡。
 5. 非再平衡日也会检查止损/止盈钩子并触发退出。
+6. 候选过滤纳入资格快照：
+   - 停牌
+   - ST
+   - 新股
+   - 科创板
+   - 1 元股
+   - allow_buy / allow_sell

 这个接口不是 `jqdata` 风格的 `before_trading_start` / `handle_data` 直接脚本 API，而是：

@@ -79,7 +85,7 @@

 如果原始逻辑大致是：

- 依据指数强弱切换可接受市值带
+- 依据指数点位动态切换可接受市值带
 - 从候选股票里选最小市值若干只
 - 按均线决定是否降仓
 - 周期性调仓
@@ -94,7 +100,14 @@
 - `order_target_value` -> `StrategyDecision.target_weights` 由 `BrokerSimulator` 解释执行
 - 风险控制逻辑 -> `CnSmallCapRotationStrategy::gross_exposure`

-## V1 明确简化点
+## Phase 2 新增内容
+
+- `DataSet::bundle_on(date)`：引入按日 snapshot bundle 视图，方便未来直接对接 FiDataCenter / FiDataScraper 预计算快照
+- 策略诊断输出：equity curve 里新增 `diagnostics` 字段，记录市值带、候选样本、退出原因等信息
+- 候选资格快照扩展：补入 `is_kcb`、`is_one_yuan`
+- 增加策略选择行为测试
+
+## V1 / V2 当前仍保留的简化点

 下面这些是刻意保留为 v1 简化，而不是遗漏：

@@ -146,6 +159,16 @@ cargo build
 - 组合调仓只关心“目标持仓”和“当前持仓”的差量
 - 事件流是 append-only，适合批量写出和后处理分析

+## 距离真实 6 年 / 5 分钟平台还差什么
+
+当前仓库已经有“核心引擎 + 规则钩子 + 策略接口 + demo 回放”，但距离生产级目标还差：
+
+- 真实 snapshot loader：接入 FiDataCenter / FiDataScraper 的 ClickHouse / Parquet / PostgreSQL 预计算快照，而不是 demo CSV
+- 分钟级执行层：把当前 `T-1 决策 / T 开盘执行` 扩展到更接近 `10:17 / 10:18` 的分钟级执行语义
+- 更完整的 A 股规则：复权、分红、涨跌停细分、创业板/北交所规则、成交量约束、滑点模型
+- 更高效的数据访问：按日期块和列式布局一次性加载 6 年快照，避免回测时回源拼表
+- 批量参数回测：多个参数集共享预计算快照与候选池缓存
+
 ## Roadmap

 - 引入更明确的事件总线和 portfolio/account ledger 分层
--- a/crates/bt-demo/src/main.rs
+++ b/crates/bt-demo/src/main.rs
@@ -26,7 +26,11 @@ fn main() -> Result<(), Box<dyn Error>> {
    fs::create_dir_all(&output_dir)?;

    let data = DataSet::from_csv_dir(&data_dir)?;
-    let strategy = CnSmallCapRotationStrategy::new(CnSmallCapRotationConfig::demo());
+    let mut strategy_cfg = CnSmallCapRotationConfig::demo();
+    strategy_cfg.base_index_level = 3000.0;
+    strategy_cfg.base_cap_floor = 38.0;
+    strategy_cfg.cap_span = 25.0;
+    let strategy = CnSmallCapRotationStrategy::new(strategy_cfg);
    let broker = BrokerSimulator::new(ChinaAShareCostModel::default(), ChinaEquityRuleHooks::default());
    let config = BacktestConfig {
        initial_cash: 1_000_000.0,
@@ -60,17 +64,18 @@ fn workspace_root() -> PathBuf {

 fn write_equity_curve_csv(path: &Path, rows: &[DailyEquityPoint]) -> Result<(), Box<dyn Error>> {
    let mut file = fs::File::create(path)?;
-    writeln!(file, "date,cash,market_value,total_equity,benchmark_close,notes")?;
+    writeln!(file, "date,cash,market_value,total_equity,benchmark_close,notes,diagnostics")?;
    for row in rows {
        writeln!(
            file,
-            "{},{:.2},{:.2},{:.2},{:.2},{}",
+            "{},{:.2},{:.2},{:.2},{:.2},{},{}",
            row.date,
            row.cash,
            row.market_value,
            row.total_equity,
            row.benchmark_close,
            sanitize_csv_field(&row.notes),
+            sanitize_csv_field(&row.diagnostics),
        )?;
    }
    Ok(())
--- a/crates/fidc-core/src/data.rs
+++ b/crates/fidc-core/src/data.rs
@@ -110,14 +110,31 @@ pub struct CandidateEligibility {
    pub is_paused: bool,
    pub allow_buy: bool,
    pub allow_sell: bool,
+    pub is_kcb: bool,
+    pub is_one_yuan: bool,
 }

 impl CandidateEligibility {
    pub fn eligible_for_selection(&self) -> bool {
-        !self.is_st && !self.is_new_listing && !self.is_paused && self.allow_buy && self.allow_sell
+        !self.is_st
+            && !self.is_new_listing
+            && !self.is_paused
+            && !self.is_kcb
+            && !self.is_one_yuan
+            && self.allow_buy
+            && self.allow_sell
    }
 }

+#[derive(Debug, Clone)]
+pub struct DailySnapshotBundle {
+    pub date: NaiveDate,
+    pub benchmark: BenchmarkSnapshot,
+    pub market: Vec<DailyMarketSnapshot>,
+    pub factors: Vec<DailyFactorSnapshot>,
+    pub candidates: Vec<CandidateEligibility>,
+}
+
 #[derive(Debug, Clone)]
 pub struct DataSet {
    instruments: HashMap<String, Instrument>,
@@ -246,6 +263,20 @@ impl DataSet {
            .unwrap_or_default()
    }

+    pub fn bundle_on(&self, date: NaiveDate) -> Result<DailySnapshotBundle, DataSetError> {
+        let benchmark = self
+            .benchmark(date)
+            .cloned()
+            .ok_or(DataSetError::MissingBenchmark { date })?;
+        Ok(DailySnapshotBundle {
+            date,
+            benchmark,
+            market: self.market_by_date.get(&date).cloned().unwrap_or_default(),
+            factors: self.factor_by_date.get(&date).cloned().unwrap_or_default(),
+            candidates: self.candidate_by_date.get(&date).cloned().unwrap_or_default(),
+        })
+    }
+
    pub fn benchmark_closes_up_to(&self, date: NaiveDate, lookback: usize) -> Vec<f64> {
        self.calendar
            .trailing_days(date, lookback)
@@ -342,6 +373,8 @@ fn read_candidates(path: &Path) -> Result<Vec<CandidateEligibility>, DataSetErro
            is_paused: row.parse_bool(4)?,
            allow_buy: row.parse_bool(5)?,
            allow_sell: row.parse_bool(6)?,
+            is_kcb: row.parse_optional_bool(7).unwrap_or(false),
+            is_one_yuan: row.parse_optional_bool(8).unwrap_or(false),
        });
    }
    Ok(snapshots)
@@ -415,6 +448,12 @@ impl CsvRow {
                message: format!("invalid bool: {err}"),
            })
    }
+
+    fn parse_optional_bool(&self, index: usize) -> Option<bool> {
+        self.fields
+            .get(index)
+            .and_then(|value| value.parse::<bool>().ok())
+    }
 }

 fn read_rows(path: &Path) -> Result<Vec<CsvRow>, DataSetError> {
--- a/crates/fidc-core/src/engine.rs
+++ b/crates/fidc-core/src/engine.rs
@@ -41,6 +41,7 @@ pub struct DailyEquityPoint {
    pub total_equity: f64,
    pub benchmark_close: f64,
    pub notes: String,
+    pub diagnostics: String,
 }

 #[derive(Debug, Clone)]
@@ -126,6 +127,7 @@ where
                    date: execution_date,
                })?;
            let notes = decision.notes.join(" | ");
+            let diagnostics = decision.diagnostics.join(" | ");

            result.equity_curve.push(DailyEquityPoint {
                date: execution_date,
@@ -134,6 +136,7 @@ where
                total_equity: portfolio.total_equity(),
                benchmark_close: benchmark.close,
                notes,
+                diagnostics,
            });
        }

--- a/crates/fidc-core/src/lib.rs
+++ b/crates/fidc-core/src/lib.rs
@@ -18,6 +18,7 @@ pub use data::{
    CandidateEligibility,
    DailyFactorSnapshot,
    DailyMarketSnapshot,
+    DailySnapshotBundle,
    DataSet,
    DataSetError,
    PriceField,
--- a/crates/fidc-core/src/strategy.rs
+++ b/crates/fidc-core/src/strategy.rs
@@ -26,14 +26,21 @@ pub struct StrategyDecision {
    pub target_weights: BTreeMap<String, f64>,
    pub exit_symbols: BTreeSet<String>,
    pub notes: Vec<String>,
+    pub diagnostics: Vec<String>,
 }

 #[derive(Debug, Clone)]
 pub struct CnSmallCapRotationConfig {
-    pub rebalance_every_n_days: usize,
-    pub max_positions: usize,
+    pub refresh_rate: usize,
+    pub stocknum: usize,
+    pub xs: f64,
+    pub base_index_level: f64,
+    pub base_cap_floor: f64,
+    pub cap_span: f64,
    pub short_ma_days: usize,
    pub long_ma_days: usize,
+    pub rsi_rate: f64,
+    pub trade_rate: f64,
    pub stop_loss_pct: f64,
    pub take_profit_pct: f64,
 }
@@ -41,10 +48,16 @@ pub struct CnSmallCapRotationConfig {
 impl CnSmallCapRotationConfig {
    pub fn demo() -> Self {
        Self {
-            rebalance_every_n_days: 3,
-            max_positions: 2,
+            refresh_rate: 3,
+            stocknum: 2,
+            xs: 4.0 / 500.0,
+            base_index_level: 2000.0,
+            base_cap_floor: 7.0,
+            cap_span: 10.0,
            short_ma_days: 3,
            long_ma_days: 5,
+            rsi_rate: 1.0001,
+            trade_rate: 0.5,
            stop_loss_pct: 0.08,
            take_profit_pct: 0.10,
        }
@@ -60,7 +73,13 @@ pub struct CnSmallCapRotationStrategy {
 impl CnSmallCapRotationStrategy {
    pub fn new(config: CnSmallCapRotationConfig) -> Self {
        Self {
-            selector: DynamicMarketCapBandSelector::demo(config.max_positions),
+            selector: DynamicMarketCapBandSelector::new(
+                config.base_index_level,
+                config.base_cap_floor,
+                config.cap_span,
+                config.xs,
+                config.stocknum,
+            ),
            config,
            last_gross_exposure: None,
        }
@@ -86,12 +105,12 @@ impl CnSmallCapRotationStrategy {
        let short_ma = Self::moving_average(closes, self.config.short_ma_days);
        let long_ma = Self::moving_average(closes, self.config.long_ma_days);

-        if current >= long_ma && short_ma >= long_ma {
+        if short_ma < long_ma * self.config.rsi_rate {
+            self.config.trade_rate
+        } else if current >= long_ma {
            1.0
-        } else if current >= long_ma || short_ma >= long_ma {
-            0.5
        } else {
-            0.0
+            self.config.trade_rate
        }
    }

@@ -142,7 +161,7 @@ impl Strategy for CnSmallCapRotationStrategy {
            .data
            .benchmark_closes_up_to(ctx.decision_date, self.config.long_ma_days);
        let gross_exposure = self.gross_exposure(&benchmark_closes);
-        let periodic_rebalance = ctx.decision_index % self.config.rebalance_every_n_days == 0;
+        let periodic_rebalance = ctx.decision_index % self.config.refresh_rate == 0;
        let exposure_changed = self
            .last_gross_exposure
            .map(|previous| (previous - gross_exposure).abs() > f64::EPSILON)
@@ -155,6 +174,14 @@ impl Strategy for CnSmallCapRotationStrategy {
            "decision={} exec={} exposure={:.2}",
            ctx.decision_date, ctx.execution_date, gross_exposure
        )];
+        let mut diagnostics = vec![format!(
+            "benchmark_close={:.2} refresh_rate={} stocknum={} short_ma_days={} long_ma_days={}",
+            benchmark.close,
+            self.config.refresh_rate,
+            self.config.stocknum,
+            self.config.short_ma_days,
+            self.config.long_ma_days,
+        )];

        if rebalance && gross_exposure > 0.0 {
            let selected = self.selector.select(&SelectionContext {
@@ -165,9 +192,21 @@ impl Strategy for CnSmallCapRotationStrategy {

            if !selected.is_empty() {
                let per_name_weight = gross_exposure / selected.len() as f64;
-                for candidate in selected {
+                for candidate in &selected {
                    target_weights.insert(candidate.symbol.clone(), per_name_weight);
                }
+                diagnostics.push(format!(
+                    "selected={} cap_band={:.2}-{:.2} sample={}",
+                    selected.len(),
+                    selected.first().map(|x| x.band_low).unwrap_or_default(),
+                    selected.first().map(|x| x.band_high).unwrap_or_default(),
+                    selected
+                        .iter()
+                        .take(5)
+                        .map(|x| format!("{}:{:.2}", x.symbol, x.market_cap_bn))
+                        .collect::<Vec<_>>()
+                        .join("|")
+                ));
            }

            notes.push(format!("rebalance names={}", target_weights.len()));
@@ -175,6 +214,10 @@ impl Strategy for CnSmallCapRotationStrategy {

        if !exit_symbols.is_empty() {
            notes.push(format!("exit hooks={}", exit_symbols.len()));
+            diagnostics.push(format!(
+                "exit_symbols={}",
+                exit_symbols.iter().cloned().collect::<Vec<_>>().join("|")
+            ));
        }
        if rebalance && gross_exposure == 0.0 {
            notes.push("risk throttle forced all-cash".to_string());
@@ -187,6 +230,7 @@ impl Strategy for CnSmallCapRotationStrategy {
            target_weights,
            exit_symbols,
            notes,
+            diagnostics,
        })
    }
 }
--- a/crates/fidc-core/src/universe.rs
+++ b/crates/fidc-core/src/universe.rs
@@ -14,6 +14,8 @@ pub struct UniverseCandidate {
    pub symbol: String,
    pub market_cap_bn: f64,
    pub free_float_cap_bn: f64,
+    pub band_low: f64,
+    pub band_high: f64,
 }

 pub struct SelectionContext<'a> {
@@ -29,51 +31,54 @@ pub trait UniverseSelector {
 #[derive(Debug, Clone)]
 pub struct DynamicMarketCapBandSelector {
    pub base_index_level: f64,
-    pub bullish_threshold: f64,
-    pub neutral_threshold: f64,
-    pub bullish_band: (f64, f64),
-    pub neutral_band: (f64, f64),
-    pub defensive_band: (f64, f64),
+    pub base_cap_floor: f64,
+    pub cap_span: f64,
+    pub xs: f64,
    pub top_n: usize,
 }

 impl DynamicMarketCapBandSelector {
-    pub fn demo(top_n: usize) -> Self {
+    pub fn new(
+        base_index_level: f64,
+        base_cap_floor: f64,
+        cap_span: f64,
+        xs: f64,
+        top_n: usize,
+    ) -> Self {
        Self {
-            base_index_level: 3000.0,
-            bullish_threshold: 1.02,
-            neutral_threshold: 1.0,
-            bullish_band: (30.0, 60.0),
-            neutral_band: (40.0, 90.0),
-            defensive_band: (60.0, 120.0),
+            base_index_level,
+            base_cap_floor,
+            cap_span,
+            xs,
            top_n,
        }
    }

+    pub fn demo(top_n: usize) -> Self {
+        Self::new(2000.0, 7.0, 10.0, 4.0 / 500.0, top_n)
+    }
+
    pub fn regime(&self, benchmark_level: f64) -> BandRegime {
-        let ratio = benchmark_level / self.base_index_level;
-        if ratio >= self.bullish_threshold {
+        if benchmark_level >= self.base_index_level + 400.0 {
            BandRegime::Bullish
-        } else if ratio >= self.neutral_threshold {
+        } else if benchmark_level >= self.base_index_level {
            BandRegime::Neutral
        } else {
            BandRegime::Defensive
        }
    }

-    fn band(&self, regime: BandRegime) -> (f64, f64) {
-        match regime {
-            BandRegime::Bullish => self.bullish_band,
-            BandRegime::Neutral => self.neutral_band,
-            BandRegime::Defensive => self.defensive_band,
-        }
+    pub fn band_for_level(&self, benchmark_level: f64) -> (f64, f64) {
+        let start = ((benchmark_level - self.base_index_level) * self.xs) + self.base_cap_floor;
+        let low = start.round();
+        (low, low + self.cap_span)
    }
 }

 impl UniverseSelector for DynamicMarketCapBandSelector {
    fn select(&self, ctx: &SelectionContext<'_>) -> Vec<UniverseCandidate> {
-        let regime = self.regime(ctx.benchmark.close);
-        let (min_cap, max_cap) = self.band(regime);
+        let _regime = self.regime(ctx.benchmark.close);
+        let (min_cap, max_cap) = self.band_for_level(ctx.benchmark.close);

        let mut selected = ctx
            .data
@@ -94,6 +99,8 @@ impl UniverseSelector for DynamicMarketCapBandSelector {
                    symbol: factor.symbol.clone(),
                    market_cap_bn: factor.market_cap_bn,
                    free_float_cap_bn: factor.free_float_cap_bn,
+                    band_low: min_cap,
+                    band_high: max_cap,
                })
            })
            .collect::<Vec<_>>();
--- a/crates/fidc-core/tests/core_rules.rs
+++ b/crates/fidc-core/tests/core_rules.rs
@@ -23,6 +23,8 @@ fn candidate() -> CandidateEligibility {
        is_paused: false,
        allow_buy: true,
        allow_sell: true,
+        is_kcb: false,
+        is_one_yuan: false,
    }
 }

--- a/crates/fidc-core/tests/strategy_selection.rs
+++ b/crates/fidc-core/tests/strategy_selection.rs
@@ -0,0 +1,34 @@
+use chrono::NaiveDate;
+use fidc_core::{CnSmallCapRotationConfig, CnSmallCapRotationStrategy, DataSet, Strategy, StrategyContext, PortfolioState};
+use std::path::PathBuf;
+
+#[test]
+fn strategy_emits_target_weights_and_diagnostics() {
+    let data_dir = PathBuf::from(env!("CARGO_MANIFEST_DIR")).join("../../data/demo");
+    let data = DataSet::from_csv_dir(&data_dir).expect("demo data");
+    let decision_date = NaiveDate::from_ymd_opt(2024, 1, 10).unwrap();
+    let execution_date = NaiveDate::from_ymd_opt(2024, 1, 11).unwrap();
+    let portfolio = PortfolioState::new(1_000_000.0);
+    let mut cfg = CnSmallCapRotationConfig::demo();
+    cfg.base_index_level = 3000.0;
+    cfg.base_cap_floor = 38.0;
+    cfg.cap_span = 25.0;
+    let mut strategy = CnSmallCapRotationStrategy::new(cfg);
+
+    let decision = strategy
+        .on_day(&StrategyContext {
+            execution_date,
+            decision_date,
+            decision_index: 0,
+            data: &data,
+            portfolio: &portfolio,
+        })
+        .expect("decision");
+
+    assert!(decision.rebalance);
+    assert!(!decision.target_weights.is_empty());
+    assert!(decision
+        .diagnostics
+        .iter()
+        .any(|line| line.contains("selected=")));
+}
--- a/data/demo/candidate_flags.csv
+++ b/data/demo/candidate_flags.csv
@@ -1,37 +1,37 @@
-date,symbol,is_st,is_new_listing,is_paused,allow_buy,allow_sell
-2024-01-02,000001.SZ,false,true,false,false,true
-2024-01-02,000002.SZ,false,false,false,true,true
-2024-01-02,000003.SZ,false,false,false,true,true
-2024-01-02,600001.SH,false,false,false,true,true
-2024-01-03,000001.SZ,false,true,false,false,true
-2024-01-03,000002.SZ,false,false,false,true,true
-2024-01-03,000003.SZ,false,false,false,true,true
-2024-01-03,600001.SH,false,false,false,true,true
-2024-01-04,000001.SZ,false,false,false,true,true
-2024-01-04,000002.SZ,false,false,false,true,true
-2024-01-04,000003.SZ,false,false,false,true,true
-2024-01-04,600001.SH,false,false,false,true,true
-2024-01-05,000001.SZ,false,false,false,true,true
-2024-01-05,000002.SZ,false,false,false,true,true
-2024-01-05,000003.SZ,false,false,false,true,true
-2024-01-05,600001.SH,false,false,false,true,true
-2024-01-08,000001.SZ,false,false,false,true,true
-2024-01-08,000002.SZ,false,false,false,true,true
-2024-01-08,000003.SZ,false,false,false,true,true
-2024-01-08,600001.SH,false,false,false,true,true
-2024-01-09,000001.SZ,false,false,false,true,true
-2024-01-09,000002.SZ,false,false,false,true,true
-2024-01-09,000003.SZ,false,false,false,true,true
-2024-01-09,600001.SH,false,false,false,true,true
-2024-01-10,000001.SZ,false,false,false,true,true
-2024-01-10,000002.SZ,false,false,false,true,true
-2024-01-10,000003.SZ,false,false,false,true,true
-2024-01-10,600001.SH,false,false,false,true,true
-2024-01-11,000001.SZ,false,false,false,true,true
-2024-01-11,000002.SZ,false,false,false,true,true
-2024-01-11,000003.SZ,false,false,false,true,true
-2024-01-11,600001.SH,false,false,true,false,false
-2024-01-12,000001.SZ,false,false,false,true,true
-2024-01-12,000002.SZ,false,false,false,true,true
-2024-01-12,000003.SZ,false,false,false,true,true
-2024-01-12,600001.SH,false,false,false,true,true
+date,symbol,is_st,is_new_listing,is_paused,allow_buy,allow_sell,is_kcb,is_one_yuan
+2024-01-02,000001.SZ,false,true,false,false,true,false,false
+2024-01-02,000002.SZ,false,false,false,true,true,false,false
+2024-01-02,000003.SZ,false,false,false,true,true,false,false
+2024-01-02,600001.SH,false,false,false,true,true,false,false
+2024-01-03,000001.SZ,false,true,false,false,true,false,false
+2024-01-03,000002.SZ,false,false,false,true,true,false,false
+2024-01-03,000003.SZ,false,false,false,true,true,false,false
+2024-01-03,600001.SH,false,false,false,true,true,false,false
+2024-01-04,000001.SZ,false,false,false,true,true,false,false
+2024-01-04,000002.SZ,false,false,false,true,true,false,false
+2024-01-04,000003.SZ,false,false,false,true,true,false,false
+2024-01-04,600001.SH,false,false,false,true,true,false,false
+2024-01-05,000001.SZ,false,false,false,true,true,false,false
+2024-01-05,000002.SZ,false,false,false,true,true,false,false
+2024-01-05,000003.SZ,false,false,false,true,true,false,false
+2024-01-05,600001.SH,false,false,false,true,true,false,false
+2024-01-08,000001.SZ,false,false,false,true,true,false,false
+2024-01-08,000002.SZ,false,false,false,true,true,false,false
+2024-01-08,000003.SZ,false,false,false,true,true,false,false
+2024-01-08,600001.SH,false,false,false,true,true,false,false
+2024-01-09,000001.SZ,false,false,false,true,true,false,false
+2024-01-09,000002.SZ,false,false,false,true,true,false,false
+2024-01-09,000003.SZ,false,false,false,true,true,false,false
+2024-01-09,600001.SH,false,false,false,true,true,false,false
+2024-01-10,000001.SZ,false,false,false,true,true,false,false
+2024-01-10,000002.SZ,false,false,false,true,true,false,false
+2024-01-10,000003.SZ,false,false,false,true,true,false,false
+2024-01-10,600001.SH,false,false,false,true,true,false,false
+2024-01-11,000001.SZ,false,false,false,true,true,false,false
+2024-01-11,000002.SZ,false,false,false,true,true,false,false
+2024-01-11,000003.SZ,false,false,false,true,true,false,false
+2024-01-11,600001.SH,false,false,true,false,false,false,false
+2024-01-12,000001.SZ,false,false,false,true,true,false,false
+2024-01-12,000002.SZ,false,false,false,true,true,false,false
+2024-01-12,000003.SZ,false,false,false,true,true,false,false
+2024-01-12,600001.SH,false,false,false,true,true,false,false