修复FIDC选股阶段风控语义

2026-07-05 14:51:54 +08:00
parent d3c986e1f2
commit 00c9042c15
8 changed files with 307 additions and 88 deletions
@@ -2426,18 +2426,26 @@ where
        } else {
            ChinaAShareRiskControl::sell_check_price(snapshot, self.execution_price_field)
        };
-        let mut risk_config = self.risk_config.clone();
-        if self.aiquant_execution_rules {
-            risk_config.static_rules.respect_allow_buy_sell = false;
-        }
+        let adjusted_candidate;
+        let candidate_for_check = if self.aiquant_execution_rules
+            && self.aiquant_sell_allow_flag_is_stale_lower_limit(candidate, snapshot, check_price)
+        {
+            adjusted_candidate = crate::data::CandidateEligibility {
+                allow_sell: true,
+                ..candidate.clone()
+            };
+            &adjusted_candidate
+        } else {
+            candidate
+        };
        if let Some(reason) = ChinaAShareRiskControl::sell_rejection_reason_with_config(
            date,
-            candidate,
+            candidate_for_check,
            snapshot,
            instrument,
            Some(position),
            check_price,
-            &risk_config,
+            &self.risk_config,
        ) {
            return RuleCheck::reject(reason);
        }
@@ -2453,6 +2461,21 @@ where
        RuleCheck::allow()
    }

+    fn aiquant_sell_allow_flag_is_stale_lower_limit(
+        &self,
+        candidate: &crate::data::CandidateEligibility,
+        snapshot: &crate::data::DailyMarketSnapshot,
+        check_price: f64,
+    ) -> bool {
+        if candidate.allow_sell || candidate.is_paused || snapshot.paused {
+            return false;
+        }
+        let snapshot_check_price =
+            ChinaAShareRiskControl::sell_check_price(snapshot, self.execution_price_field);
+        snapshot.is_at_lower_limit_price(snapshot_check_price)
+            && !snapshot.is_at_lower_limit_price(check_price)
+    }
+
    fn minimum_target_quantity(
        &self,
        date: NaiveDate,
@@ -5283,7 +5306,7 @@ where
        }

        if self.volume_limit {
-            let raw_limit = ((available_market_volume as f64) * self.volume_percent).round() as i64
+            let raw_limit = ((available_market_volume as f64) * self.volume_percent).floor() as i64
                - consumed_turnover as i64;
            if raw_limit <= 0 {
                return Err(volume_limit_reason.to_string());
@@ -6537,6 +6560,27 @@ mod tests {
        assert_eq!(fillable, Ok(5_000));
    }

+    #[test]
+    fn volume_limit_uses_floor_for_odd_lot_sell() {
+        let mut snapshot = limit_test_snapshot();
+        snapshot.minute_volume = 0;
+        snapshot.volume = 3;
+        let broker = BrokerSimulator::new_with_execution_price(
+            ChinaAShareCostModel::default(),
+            ChinaEquityRuleHooks,
+            PriceField::Close,
+        )
+        .with_matching_type(MatchingType::CurrentBarClose)
+        .with_volume_limit(true)
+        .with_volume_percent(0.5)
+        .with_liquidity_limit(false);
+
+        let fillable =
+            broker.market_fillable_quantity(&snapshot, OrderSide::Sell, 10, 100, 100, 0, true);
+
+        assert_eq!(fillable, Ok(1));
+    }
+
    #[test]
    fn current_bar_close_volume_limit_rejects_daily_zero_volume() {
        let mut snapshot = limit_test_snapshot();
@@ -7427,4 +7471,99 @@ mod tests {
            report.order_events
        );
    }
+
+    #[test]
+    fn aiquant_sell_rule_still_blocks_real_allow_sell_false() {
+        let date = chrono::NaiveDate::from_ymd_opt(2024, 4, 17).expect("valid date");
+        let prev_date = chrono::NaiveDate::from_ymd_opt(2024, 4, 16).expect("valid date");
+        let symbol = "000001.SZ";
+        let broker = BrokerSimulator::new_with_execution_price(
+            ChinaAShareCostModel::default(),
+            ChinaEquityRuleHooks,
+            PriceField::Last,
+        )
+        .with_aiquant_execution_rules(true)
+        .with_intraday_execution_start_time(date.and_hms_opt(10, 18, 0).unwrap().time())
+        .with_volume_limit(false)
+        .with_liquidity_limit(false)
+        .with_inactive_limit(false)
+        .with_slippage_model(SlippageModel::None);
+
+        let mut snapshot = limit_test_snapshot();
+        snapshot.date = date;
+        snapshot.timestamp = Some("2024-04-17 10:18:00".to_string());
+        snapshot.day_open = 10.0;
+        snapshot.open = 10.0;
+        snapshot.high = 10.2;
+        snapshot.low = 9.8;
+        snapshot.close = 10.0;
+        snapshot.last_price = 10.0;
+        snapshot.bid1 = 10.0;
+        snapshot.ask1 = 10.0;
+        snapshot.prev_close = 10.0;
+        snapshot.upper_limit = 11.0;
+        snapshot.lower_limit = 9.0;
+        let mut candidate = limit_test_candidate(true, false);
+        candidate.date = date;
+        let mut quote = limit_test_quote(10.0, 9.99, 10.0);
+        quote.date = date;
+        quote.timestamp = date.and_hms_opt(10, 18, 0).unwrap();
+        quote.last_price = 10.0;
+        quote.bid1 = 9.99;
+        quote.ask1 = 10.0;
+
+        let data = DataSet::from_components_with_actions_and_quotes(
+            vec![limit_test_instrument()],
+            vec![snapshot],
+            Vec::new(),
+            vec![candidate],
+            vec![BenchmarkSnapshot {
+                date,
+                benchmark: "000852.SH".to_string(),
+                open: 1000.0,
+                close: 1000.0,
+                prev_close: 1000.0,
+                volume: 1_000_000,
+            }],
+            Vec::new(),
+            vec![quote],
+        )
+        .expect("valid dataset");
+        let mut portfolio = PortfolioState::new(100.0);
+        portfolio.position_mut(symbol).buy(prev_date, 7_200, 8.48);
+        let mut report = BrokerExecutionReport::default();
+
+        broker
+            .process_target_value(
+                date,
+                &mut portfolio,
+                &data,
+                symbol,
+                0.0,
+                "stop_loss_exit",
+                &mut BTreeMap::new(),
+                &mut BTreeMap::new(),
+                &mut None,
+                &mut BTreeMap::new(),
+                &mut report,
+            )
+            .expect("target sell processed");
+
+        assert!(report.fill_events.is_empty());
+        assert_eq!(
+            portfolio.position(symbol).map(|position| position.quantity),
+            Some(7_200)
+        );
+        let rejected_order = report
+            .order_events
+            .iter()
+            .find(|event| event.side == OrderSide::Sell)
+            .expect("sell order event");
+        assert_eq!(rejected_order.status, OrderStatus::Canceled);
+        assert!(
+            rejected_order.reason.contains("sell_disabled"),
+            "{}",
+            rejected_order.reason
+        );
+    }
 }