修复AiQuant回测撮合一致性

crates/fidc-core/src/broker.rs

@@ -11,7 +11,7 @@ use crate::events::{
     ProcessEventKind,
 };
 use crate::portfolio::PortfolioState;
-use crate::rules::EquityRuleHooks;
+use crate::rules::{EquityRuleHooks, RuleCheck};
 use crate::strategy::{
     AlgoOrderStyle, OpenOrderView, OrderIntent, StrategyDecision, TargetPortfolioOrderPricing,
 };
@@ -111,6 +111,7 @@ pub struct BrokerSimulator<C, R> {
     inactive_limit: bool,
     liquidity_limit: bool,
     strict_value_budget: bool,
+    aiquant_rqalpha_execution_rules: bool,
     same_day_buy_close_mark_at_fill: bool,
     intraday_execution_start_time: Option<NaiveTime>,
     runtime_intraday_start_time: Cell<Option<NaiveTime>>,
@@ -133,6 +134,7 @@ impl<C, R> BrokerSimulator<C, R> {
             inactive_limit: true,
             liquidity_limit: true,
             strict_value_budget: false,
+            aiquant_rqalpha_execution_rules: false,
             same_day_buy_close_mark_at_fill: false,
             intraday_execution_start_time: None,
             runtime_intraday_start_time: Cell::new(None),
@@ -159,6 +161,7 @@ impl<C, R> BrokerSimulator<C, R> {
             inactive_limit: true,
             liquidity_limit: true,
             strict_value_budget: false,
+            aiquant_rqalpha_execution_rules: false,
             same_day_buy_close_mark_at_fill: false,
             intraday_execution_start_time: None,
             runtime_intraday_start_time: Cell::new(None),
@@ -188,6 +191,11 @@ impl<C, R> BrokerSimulator<C, R> {
         self
     }
 
+    pub fn with_aiquant_rqalpha_execution_rules(mut self, enabled: bool) -> Self {
+        self.aiquant_rqalpha_execution_rules = enabled;
+        self
+    }
+
     pub fn with_same_day_buy_close_mark_at_fill(mut self, enabled: bool) -> Self {
         self.same_day_buy_close_mark_at_fill = enabled;
         self
@@ -1825,6 +1833,68 @@ where
         Ok(())
     }
 
+    fn aiquant_limit_check_price(
+        &self,
+        snapshot: &crate::data::DailyMarketSnapshot,
+        side: OrderSide,
+    ) -> f64 {
+        match (self.execution_price_field, side) {
+            (PriceField::Last, _) => snapshot.price(PriceField::Last),
+            (_, OrderSide::Buy) => snapshot.buy_price(self.execution_price_field),
+            (_, OrderSide::Sell) => snapshot.sell_price(self.execution_price_field),
+        }
+    }
+
+    fn buy_rule_check(
+        &self,
+        date: NaiveDate,
+        snapshot: &crate::data::DailyMarketSnapshot,
+        candidate: &crate::data::CandidateEligibility,
+    ) -> RuleCheck {
+        if !self.aiquant_rqalpha_execution_rules {
+            return self
+                .rules
+                .can_buy(date, snapshot, candidate, self.execution_price_field);
+        }
+        if snapshot.paused || candidate.is_paused {
+            return RuleCheck::reject("paused");
+        }
+        let check_price = self.aiquant_limit_check_price(snapshot, OrderSide::Buy);
+        if snapshot.is_at_upper_limit_price(check_price) {
+            return RuleCheck::reject("open at or above upper limit");
+        }
+        RuleCheck::allow()
+    }
+
+    fn sell_rule_check(
+        &self,
+        date: NaiveDate,
+        snapshot: &crate::data::DailyMarketSnapshot,
+        candidate: &crate::data::CandidateEligibility,
+        position: &crate::portfolio::Position,
+    ) -> RuleCheck {
+        if !self.aiquant_rqalpha_execution_rules {
+            return self.rules.can_sell(
+                date,
+                snapshot,
+                candidate,
+                position,
+                self.execution_price_field,
+            );
+        }
+        if snapshot.paused || candidate.is_paused {
+            return RuleCheck::reject("paused");
+        }
+        let check_price = self.aiquant_limit_check_price(snapshot, OrderSide::Sell);
+        if snapshot.is_at_lower_limit_price(check_price) {
+            return RuleCheck::reject("open at or below lower limit");
+        }
+        if position.sellable_qty(date) == 0 {
+            return RuleCheck::reject("t+1 sellable quantity is zero");
+        }
+        RuleCheck::allow()
+    }
+
     fn minimum_target_quantity(
         &self,
         date: NaiveDate,
@@ -1847,13 +1917,7 @@ where
         let Ok(candidate) = data.require_candidate(date, symbol) else {
             return current_qty;
         };
-        let rule = self.rules.can_sell(
-            date,
-            snapshot,
-            candidate,
-            position,
-            self.execution_price_field,
-        );
+        let rule = self.sell_rule_check(date, snapshot, candidate, position);
         if !rule.allowed {
             return current_qty;
         }
@@ -1891,9 +1955,7 @@ where
         let Ok(candidate) = data.require_candidate(date, symbol) else {
             return current_qty;
         };
-        let rule = self
-            .rules
-            .can_buy(date, snapshot, candidate, self.execution_price_field);
+        let rule = self.buy_rule_check(date, snapshot, candidate);
         if !rule.allowed {
             return current_qty;
         }
@@ -1937,13 +1999,7 @@ where
         let position = portfolio.position(symbol)?;
         let snapshot = data.require_market(date, symbol).ok()?;
         let candidate = data.require_candidate(date, symbol).ok()?;
-        let rule = self.rules.can_sell(
-            date,
-            snapshot,
-            candidate,
-            position,
-            self.execution_price_field,
-        );
+        let rule = self.sell_rule_check(date, snapshot, candidate, position);
         if !rule.allowed {
             return rule.reason;
         }
@@ -1983,9 +2039,7 @@ where
     ) -> Option<String> {
         let snapshot = data.require_market(date, symbol).ok()?;
         let candidate = data.require_candidate(date, symbol).ok()?;
-        let rule = self
-            .rules
-            .can_buy(date, snapshot, candidate, self.execution_price_field);
+        let rule = self.buy_rule_check(date, snapshot, candidate);
         if !rule.allowed {
             return rule.reason;
         }
@@ -2055,13 +2109,7 @@ where
             );
         }
 
-        let rule = self.rules.can_sell(
-            date,
-            snapshot,
-            candidate,
-            position,
-            self.execution_price_field,
-        );
+        let rule = self.sell_rule_check(date, snapshot, candidate, position);
         if !rule.allowed {
             let rule_reason = rule.reason.as_deref().unwrap_or_default().to_string();
             let status = match rule.reason.as_deref() {
@@ -3494,9 +3542,7 @@ where
             );
         }
 
-        let rule = self
-            .rules
-            .can_buy(date, snapshot, candidate, self.execution_price_field);
+        let rule = self.buy_rule_check(date, snapshot, candidate);
         if !rule.allowed {
             let rule_reason = rule.reason.as_deref().unwrap_or_default().to_string();
             let status = match rule.reason.as_deref() {
@@ -4717,7 +4763,9 @@ fn sell_reason(decision: &StrategyDecision, symbol: &str) -> &'static str {
 mod tests {
     use super::{BrokerSimulator, MatchingType};
     use crate::cost::ChinaAShareCostModel;
-    use crate::data::{DailyMarketSnapshot, IntradayExecutionQuote, PriceField};
+    use crate::data::{
+        CandidateEligibility, DailyMarketSnapshot, IntradayExecutionQuote, PriceField,
+    };
     use crate::events::OrderSide;
     use crate::rules::ChinaEquityRuleHooks;
 
@@ -4765,6 +4813,21 @@ mod tests {
         }
     }
 
+    fn limit_test_candidate(allow_buy: bool, allow_sell: bool) -> CandidateEligibility {
+        let date = chrono::NaiveDate::from_ymd_opt(2025, 1, 2).expect("valid date");
+        CandidateEligibility {
+            date,
+            symbol: "000001.SZ".to_string(),
+            is_st: false,
+            is_new_listing: false,
+            is_paused: false,
+            allow_buy,
+            allow_sell,
+            is_kcb: false,
+            is_one_yuan: false,
+        }
+    }
+
     #[test]
     fn next_tick_last_without_volume_or_liquidity_limit_does_not_cap_quote_quantity() {
         let broker = BrokerSimulator::new(ChinaAShareCostModel::default(), ChinaEquityRuleHooks)
@@ -4849,6 +4912,38 @@ mod tests {
         assert_eq!(fill.unfilled_reason, Some("open at or above upper limit"));
     }
 
+    #[test]
+    fn aiquant_rules_allow_buy_when_day_flags_block_but_last_price_is_tradable() {
+        let mut snapshot = limit_test_snapshot();
+        snapshot.open = 11.0;
+        snapshot.day_open = 11.0;
+        snapshot.last_price = 10.98;
+        snapshot.ask1 = 11.0;
+        let candidate = limit_test_candidate(false, true);
+        let date = snapshot.date;
+
+        let default_broker = BrokerSimulator::new_with_execution_price(
+            ChinaAShareCostModel::default(),
+            ChinaEquityRuleHooks,
+            PriceField::Last,
+        );
+        let default_rule = default_broker.buy_rule_check(date, &snapshot, &candidate);
+        assert!(!default_rule.allowed);
+        assert_eq!(
+            default_rule.reason.as_deref(),
+            Some("buy disabled by eligibility flags")
+        );
+
+        let aiquant_broker = BrokerSimulator::new_with_execution_price(
+            ChinaAShareCostModel::default(),
+            ChinaEquityRuleHooks,
+            PriceField::Last,
+        )
+        .with_aiquant_rqalpha_execution_rules(true);
+        let aiquant_rule = aiquant_broker.buy_rule_check(date, &snapshot, &candidate);
+        assert!(aiquant_rule.allowed);
+    }
+
     #[test]
     fn intraday_execution_rejects_sell_at_lower_limit_price() {
         let broker = BrokerSimulator::new_with_execution_price(

crates/fidc-core/src/cost.rs

@@ -53,6 +53,14 @@ impl Default for ChinaAShareCostModel {
 }
 
 impl ChinaAShareCostModel {
+    pub fn aiquant_rqalpha_default() -> Self {
+        Self {
+            stamp_tax_rate_before_change: 0.0005,
+            stamp_tax_rate_after_change: 0.0005,
+            ..Self::default()
+        }
+    }
+
     pub fn commission_for(&self, gross_amount: f64) -> f64 {
         if gross_amount <= 0.0 {
             return 0.0;

crates/fidc-core/src/engine.rs

@@ -313,6 +313,7 @@ pub struct BacktestEngine<S, C, R> {
     broker: BrokerSimulator<C, R>,
     config: BacktestConfig,
     dividend_reinvestment: bool,
+    cash_dividends_enabled: bool,
     process_event_bus: ProcessEventBus,
     dynamic_universe: Option<BTreeSet<String>>,
     subscriptions: BTreeSet<String>,
@@ -338,6 +339,7 @@ impl<S, C, R> BacktestEngine<S, C, R> {
             broker,
             config,
             dividend_reinvestment: false,
+            cash_dividends_enabled: true,
             process_event_bus: ProcessEventBus::new(),
             dynamic_universe: None,
             subscriptions: BTreeSet::new(),
@@ -356,6 +358,11 @@ impl<S, C, R> BacktestEngine<S, C, R> {
         self
     }
 
+    pub fn with_cash_dividends(mut self, enabled: bool) -> Self {
+        self.cash_dividends_enabled = enabled;
+        self
+    }
+
     pub fn with_futures_account(mut self, account: FuturesAccountState) -> Self {
         self.futures_account = Some(account);
         self
@@ -2521,7 +2528,7 @@ where
                 continue;
             }
 
-            if action.share_cash.abs() > f64::EPSILON {
+            if self.cash_dividends_enabled && action.share_cash.abs() > f64::EPSILON {
                 let cash_before = portfolio.cash();
                 let (cash_delta, quantity_after, average_cost) = {
                     let position = portfolio
@@ -2990,24 +2997,17 @@ where
             }
 
             let quantity = position.quantity;
-            let fallback_reference_price = if position.last_price > 0.0 {
+            let settlement_price = if position.last_price.is_finite() && position.last_price > 0.0 {
                 position.last_price
-            } else {
+            } else if position.average_cost.is_finite() && position.average_cost > 0.0 {
                 position.average_cost
+            } else {
+                0.0
             };
             let effective_delisted_at = instrument
                 .delisted_at
                 .or_else(|| self.data.calendar().previous_day(date))
                 .unwrap_or(date);
-            let settlement_price = self
-                .data
-                .price_on_or_before(effective_delisted_at, &symbol, PriceField::Close)
-                .or_else(|| {
-                    self.data
-                        .price_on_or_before(date, &symbol, PriceField::Close)
-                })
-                .filter(|price| price.is_finite() && *price > 0.0)
-                .unwrap_or(fallback_reference_price);
             if !settlement_price.is_finite() || settlement_price <= 0.0 {
                 return Err(BacktestError::Execution(format!(
                     "missing delisting settlement price for {} on {}",

crates/fidc-core/src/platform_strategy_spec.rs

@@ -52,6 +52,8 @@ pub struct StrategyUniverseSpec {
 #[derive(Debug, Clone, Default, Deserialize, Serialize)]
 #[serde(rename_all = "camelCase")]
 pub struct StrategyExecutionSpec {
+    #[serde(default)]
+    pub compatibility_profile: Option<String>,
     #[serde(default)]
     pub matching_type: Option<String>,
     #[serde(default)]
@@ -370,6 +372,13 @@ pub fn platform_expr_config_from_spec(
         {
             cfg.rebalance_schedule = Some(schedule);
         }
+        if let Some(time) = engine
+            .rebalance_schedule
+            .as_ref()
+            .and_then(parse_schedule_execution_time)
+        {
+            cfg.intraday_execution_time = Some(time);
+        }
         if let Some(stock_ma_filter) = engine.stock_ma_filter.as_ref() {
             if let Some(days) = stock_ma_filter.short_days.filter(|value| *value > 0) {
                 cfg.stock_short_ma_days = days;
@@ -499,6 +508,13 @@ pub fn platform_expr_config_from_spec(
         {
             cfg.rebalance_schedule = Some(schedule);
         }
+        if let Some(time) = runtime_expr
+            .schedule
+            .as_ref()
+            .and_then(parse_schedule_execution_time)
+        {
+            cfg.intraday_execution_time = Some(time);
+        }
         if let Some(selection) = runtime_expr.selection.as_ref() {
             if let Some(expr) = selection
                 .limit_expr
@@ -628,6 +644,13 @@ pub fn platform_expr_config_from_spec(
             {
                 cfg.explicit_action_schedule = Some(schedule);
             }
+            if let Some(time) = trading
+                .schedule
+                .as_ref()
+                .and_then(parse_schedule_execution_time)
+            {
+                cfg.intraday_execution_time = Some(time);
+            }
             cfg.explicit_actions = trading
                 .actions
                 .iter()
@@ -688,6 +711,16 @@ pub fn platform_expr_config_from_spec(
     if !cfg.benchmark_symbol.trim().is_empty() {
         cfg.benchmark_symbol = normalize_symbol(&cfg.benchmark_symbol, None);
     }
+    if spec
+        .execution
+        .as_ref()
+        .and_then(|execution| execution.compatibility_profile.as_deref())
+        .map(|value| value.trim().to_ascii_lowercase())
+        .is_some_and(|value| value == "aiquant_rqalpha" || value == "aiquant")
+    {
+        cfg.calendar_rebalance_interval = true;
+        cfg.aiquant_transaction_cost = true;
+    }
 
     cfg
 }
@@ -744,6 +777,16 @@ fn parse_schedule_time_rule(
     }
 }
 
+fn parse_schedule_execution_time(schedule: &StrategyExpressionScheduleConfig) -> Option<NaiveTime> {
+    match parse_schedule_time_rule(schedule)? {
+        ScheduleTimeRule::BeforeTrading => NaiveTime::from_hms_opt(9, 0, 0),
+        ScheduleTimeRule::MinuteOfDay(minutes) => {
+            let seconds = minutes.checked_mul(60)?;
+            NaiveTime::from_num_seconds_from_midnight_opt(seconds, 0)
+        }
+    }
+}
+
 fn parse_schedule_clock_time(raw: Option<&str>) -> Option<NaiveTime> {
     let value = raw?.trim();
     if value.is_empty() {
@@ -1060,6 +1103,7 @@ mod tests {
             "signalSymbol": "000852.SH",
             "benchmark": { "instrumentId": "000852.SH" },
             "universe": { "exclude": ["paused", "st", "kcb", "one_yuan"] },
+            "execution": { "compatibilityProfile": "aiquant_rqalpha" },
             "runtimeExpressions": {
                 "prelude": "let stocknum = 8;",
                 "selection": {
@@ -1094,10 +1138,32 @@ mod tests {
         assert!(!cfg.rotation_enabled);
         assert!(cfg.daily_top_up_enabled);
         assert!(cfg.retry_empty_rebalance);
+        assert!(cfg.calendar_rebalance_interval);
+        assert!(cfg.aiquant_transaction_cost);
         assert_eq!(cfg.explicit_actions.len(), 1);
         assert_eq!(
             cfg.explicit_action_stage,
             PlatformExplicitActionStage::OpenAuction
         );
     }
+
+    #[test]
+    fn parses_daily_schedule_time_for_aiquant_execution_quotes() {
+        let spec = serde_json::json!({
+            "execution": { "compatibilityProfile": "aiquant_rqalpha" },
+            "runtimeExpressions": {
+                "schedule": { "frequency": "daily", "time": "09:33" }
+            }
+        });
+
+        let cfg = platform_expr_config_from_value("", "", &spec).expect("config");
+
+        assert_eq!(cfg.rebalance_schedule, None);
+        assert_eq!(
+            cfg.intraday_execution_time,
+            Some(NaiveTime::from_hms_opt(9, 33, 0).unwrap())
+        );
+        assert!(cfg.calendar_rebalance_interval);
+        assert!(cfg.aiquant_transaction_cost);
+    }
 }

crates/fidc-core/src/strategy_ai.rs

@@ -546,8 +546,8 @@ pub fn build_optimization_prompt(
     prompt.push_str("你是 OmniQuant 平台策略脚本优化器。必须输出完整、可运行的平台策略脚本，不要输出解释文本。\n");
     prompt.push_str("输出格式硬约束：回复第一行必须是 strategy(\"...\")、let、fn、const 或 //；回复中不得包含 Markdown、解释、思考过程、手册复述、JSON 包装或自然语言总结。\n");
     prompt.push_str("长度硬约束：策略代码目标 80 行以内，只保留必要 let/fn/strategy 块；不要复制下面的手册片段、历史策略全文或字段清单。\n");
-    prompt.push_str("只修改与优化目标相关的少量参数或过滤条件，保留原策略的市场、基准、信号指数和核心风控；不要引入手册未列出的字段或外部平台 API 名称。\n");
-    prompt.push_str("优化可以调整调仓周期、持仓数、市值带、filter.stock_expr、ordering.rank_expr、allocation.buy_scale、止盈止损；如上一轮无交易或质量分过低，必须先放宽过滤条件并优先使用已入库指标因子、rolling_mean/ma/vma/rolling_stddev/pct_change 等支持函数。\n");
+    prompt.push_str("优化不限制在原策略已有参数或少量扰动。只要 OmniQuant/FIDC 已支持，可以自由增加、修改、删除策略代码、参数、候选池、过滤函数、排序、仓位、止盈止损、调仓周期、指标因子和辅助函数；不得引入手册未列出的字段或外部平台 API 名称。\n");
+    prompt.push_str("可以使用所有已入库日频字段、指标因子和表达式函数，例如 rolling_mean/ma/vma/rolling_sum/rolling_stddev/pct_change/factor/factor_value/factors；如上一轮无交易或质量分过低，必须先扩大候选覆盖并修正不可交易过滤，再优化收益。\n");
     prompt.push_str("优化目标：\n");
     prompt.push_str(&format!("- {}\n\n", request.objective));
     prompt.push_str("当前策略代码如下，仅作为输入参考；回复时不要包含 Markdown 代码围栏：\n");

crates/fidc-core/tests/delisting.rs

@@ -492,7 +492,7 @@ fn engine_applies_successor_conversion_before_delisted_cash_settlement() {
         .iter()
         .find(|holding| holding.symbol == "000002.SZ")
         .expect("successor holding exists");
-    assert_eq!(successor_holding.quantity, 500);
+    assert_eq!(successor_holding.quantity, 450);
     assert!(
         result
             .holdings_summary
@@ -503,6 +503,6 @@ fn engine_applies_successor_conversion_before_delisted_cash_settlement() {
         event
             .note
             .contains("successor_conversion 000001.SZ->000002.SZ")
-            && event.note.contains("cash=1000.00")
+            && event.note.contains("cash=900.00")
     }));
 }