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修复退市生效日结算

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boris
2026-07-04 14:12:10 +08:00
parent 3e907d8e43
commit 14810708f0
3 changed files with 60 additions and 1 deletions
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crates/fidc-core/tests/delisting.rs
+54
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@@ -114,6 +114,29 @@ fn engine_settles_delisted_position_before_missing_market_snapshot_breaks_run()
lower_limit: 4.5,
price_tick: 0.01,
},
DailyMarketSnapshot {
date: delist_date,
symbol: "000002.SZ".to_string(),
timestamp: Some("2025-01-03 10:18:00".to_string()),
day_open: 5.05,
open: 5.05,
high: 5.15,
low: 5.0,
close: 5.05,
last_price: 5.05,
bid1: 5.04,
ask1: 5.06,
prev_close: 5.0,
volume: 110_000,
minute_volume: 110_000,
bid1_volume: 110_000,
ask1_volume: 110_000,
trading_phase: Some("continuous".to_string()),
paused: false,
upper_limit: 5.5,
lower_limit: 4.5,
price_tick: 0.01,
},
DailyMarketSnapshot {
date: date2,
symbol: "000002.SZ".to_string(),
@@ -159,6 +182,16 @@ fn engine_settles_delisted_position_before_missing_market_snapshot_breaks_run()
effective_turnover_ratio: Some(1.0),
extra_factors: BTreeMap::new(),
},
DailyFactorSnapshot {
date: delist_date,
symbol: "000002.SZ".to_string(),
market_cap_bn: 30.5,
free_float_cap_bn: 28.5,
pe_ttm: 10.0,
turnover_ratio: Some(1.0),
effective_turnover_ratio: Some(1.0),
extra_factors: BTreeMap::new(),
},
DailyFactorSnapshot {
date: date2,
symbol: "000002.SZ".to_string(),
@@ -197,6 +230,19 @@ fn engine_settles_delisted_position_before_missing_market_snapshot_breaks_run()
is_one_yuan: false,
risk_level_code: None,
},
CandidateEligibility {
date: delist_date,
symbol: "000002.SZ".to_string(),
is_st: false,
is_star_st: false,
is_new_listing: false,
is_paused: false,
allow_buy: true,
allow_sell: true,
is_kcb: false,
is_one_yuan: false,
risk_level_code: None,
},
CandidateEligibility {
date: date2,
symbol: "000002.SZ".to_string(),
@@ -220,6 +266,14 @@ fn engine_settles_delisted_position_before_missing_market_snapshot_breaks_run()
prev_close: 99.0,
volume: 1_000_000,
},
BenchmarkSnapshot {
date: delist_date,
benchmark: "000300.SH".to_string(),
open: 100.5,
close: 100.5,
prev_close: 100.0,
volume: 1_050_000,
},
BenchmarkSnapshot {
date: date2,
benchmark: "000300.SH".to_string(),