chore: 更新 fidc-backtest-engine - 2026-05-08

crates/fidc-core/src/platform_expr_strategy.rs

@@ -4612,18 +4612,13 @@ impl Strategy for PlatformExprStrategy {
             0
         };
         let stock_list = if self.config.rotation_enabled {
-            let selection_scan_limit = if self.config.daily_top_up_enabled {
-                selection_limit.saturating_add(80).max(120)
-            } else {
-                selection_limit
-            };
             let (stock_list, notes) = self.select_symbols(
                 ctx,
                 decision_date,
                 &day,
                 band_low,
                 band_high,
-                selection_scan_limit,
+                selection_limit,
             )?;
             selection_notes = notes;
             stock_list
@@ -6121,6 +6116,139 @@ mod tests {
         assert_eq!(decision.order_intents.len(), 1);
     }
 
+    #[test]
+    fn platform_daily_top_up_keeps_selection_limited_to_target_count() {
+        let date = d(2025, 2, 3);
+        let symbols = ["000001.SZ", "000002.SZ", "000003.SZ"];
+        let data = DataSet::from_components(
+            symbols
+                .iter()
+                .map(|symbol| Instrument {
+                    symbol: (*symbol).to_string(),
+                    name: (*symbol).to_string(),
+                    board: "SZ".to_string(),
+                    round_lot: 100,
+                    listed_at: Some(d(2020, 1, 1)),
+                    delisted_at: None,
+                    status: "active".to_string(),
+                })
+                .collect(),
+            symbols
+                .iter()
+                .map(|symbol| DailyMarketSnapshot {
+                    date,
+                    symbol: (*symbol).to_string(),
+                    timestamp: Some("2025-02-03 09:33:00".to_string()),
+                    day_open: 10.0,
+                    open: 10.0,
+                    high: 10.5,
+                    low: 9.8,
+                    close: 10.0,
+                    last_price: 10.0,
+                    bid1: 9.99,
+                    ask1: 10.01,
+                    prev_close: 9.9,
+                    volume: 1_000_000,
+                    tick_volume: 10_000,
+                    bid1_volume: 2_000,
+                    ask1_volume: 2_000,
+                    trading_phase: Some("continuous".to_string()),
+                    paused: false,
+                    upper_limit: 11.0,
+                    lower_limit: 9.0,
+                    price_tick: 0.01,
+                })
+                .collect(),
+            symbols
+                .iter()
+                .enumerate()
+                .map(|(index, symbol)| DailyFactorSnapshot {
+                    date,
+                    symbol: (*symbol).to_string(),
+                    market_cap_bn: 10.0 + index as f64,
+                    free_float_cap_bn: 10.0 + index as f64,
+                    pe_ttm: 8.0,
+                    turnover_ratio: Some(1.0),
+                    effective_turnover_ratio: Some(1.0),
+                    extra_factors: BTreeMap::new(),
+                })
+                .collect(),
+            symbols
+                .iter()
+                .map(|symbol| CandidateEligibility {
+                    date,
+                    symbol: (*symbol).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![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(30_000.0);
+        let subscriptions = BTreeSet::new();
+        let ctx = StrategyContext {
+            execution_date: date,
+            decision_date: date,
+            decision_index: 1,
+            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 = 99;
+        cfg.max_positions = 2;
+        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 = "2".to_string();
+        cfg.stock_filter_expr = "close > 0".to_string();
+        cfg.daily_top_up_enabled = true;
+        cfg.retry_empty_rebalance = true;
+        let mut strategy = PlatformExprStrategy::new(cfg);
+
+        let decision = strategy.on_day(&ctx).expect("platform decision");
+
+        assert!(
+            decision
+                .diagnostics
+                .iter()
+                .any(|item| item.contains("selected=2")),
+            "{:?}",
+            decision.diagnostics
+        );
+        assert!(
+            !decision
+                .diagnostics
+                .iter()
+                .any(|item| item.contains("selected=3")),
+            "{:?}",
+            decision.diagnostics
+        );
+    }
+
     #[test]
     fn platform_strategy_emits_target_shares_explicit_action() {
         let date = d(2025, 2, 3);