修正平台表达式选股风控缺口

crates/fidc-core/src/data.rs

@@ -3156,7 +3156,7 @@ fn build_eligible_universe_for_date_from_factors(
     rows
 }
 
-fn missing_candidate_risk_state(date: NaiveDate, symbol: &str) -> CandidateEligibility {
+pub(crate) fn missing_candidate_risk_state(date: NaiveDate, symbol: &str) -> CandidateEligibility {
     CandidateEligibility {
         date,
         symbol: symbol.to_string(),

crates/fidc-core/src/platform_expr_strategy.rs

@@ -6175,8 +6175,13 @@ impl PlatformExprStrategy {
             if ctx.has_dynamic_universe() && !ctx.dynamic_universe_contains(&factor.symbol) {
                 continue;
             }
-            let Some(candidate) = ctx.data.candidate(date, &factor.symbol) else {
-                continue;
+            let synthetic_candidate;
+            let candidate = if let Some(candidate) = ctx.data.candidate(date, &factor.symbol) {
+                candidate
+            } else {
+                synthetic_candidate =
+                    crate::data::missing_candidate_risk_state(date, &factor.symbol);
+                &synthetic_candidate
             };
             let Some(market) = ctx.data.market(date, &factor.symbol) else {
                 continue;
@@ -6237,8 +6242,13 @@ impl PlatformExprStrategy {
             if ctx.has_dynamic_universe() && !ctx.dynamic_universe_contains(&factor.symbol) {
                 continue;
             }
-            let Some(candidate) = ctx.data.candidate(date, &factor.symbol) else {
-                continue;
+            let synthetic_candidate;
+            let candidate = if let Some(candidate) = ctx.data.candidate(date, &factor.symbol) {
+                candidate
+            } else {
+                synthetic_candidate =
+                    crate::data::missing_candidate_risk_state(date, &factor.symbol);
+                &synthetic_candidate
             };
             let Some(market) = ctx.data.market(date, &factor.symbol) else {
                 continue;
@@ -9170,6 +9180,123 @@ mod tests {
         assert_eq!(universe[0].symbol, symbol);
     }
 
+    #[test]
+    fn platform_selection_missing_candidate_risk_state_does_not_change_default_universe() {
+        let date = d(2025, 1, 2);
+        let symbol = "000001.SZ";
+        let data = DataSet::from_components(
+            vec![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(),
+            }],
+            vec![DailyMarketSnapshot {
+                date,
+                symbol: symbol.to_string(),
+                timestamp: None,
+                day_open: 10.0,
+                open: 10.0,
+                high: 10.2,
+                low: 9.8,
+                close: 10.1,
+                last_price: 10.1,
+                bid1: 10.0,
+                ask1: 10.1,
+                prev_close: 10.0,
+                volume: 1_000_000,
+                minute_volume: 10_000,
+                bid1_volume: 10_000,
+                ask1_volume: 10_000,
+                trading_phase: Some("continuous".to_string()),
+                paused: false,
+                upper_limit: 11.0,
+                lower_limit: 9.0,
+                price_tick: 0.01,
+            }],
+            vec![DailyFactorSnapshot {
+                date,
+                symbol: symbol.to_string(),
+                market_cap_bn: 10.0,
+                free_float_cap_bn: 9.0,
+                pe_ttm: 12.0,
+                turnover_ratio: Some(1.0),
+                effective_turnover_ratio: Some(1.0),
+                extra_factors: BTreeMap::new(),
+            }],
+            Vec::<CandidateEligibility>::new(),
+            vec![BenchmarkSnapshot {
+                date,
+                benchmark: "000852.SH".to_string(),
+                open: 1000.0,
+                close: 1001.0,
+                prev_close: 999.0,
+                volume: 1_000_000,
+            }],
+        )
+        .expect("dataset");
+        let portfolio = PortfolioState::new(1_000_000.0);
+        let subscriptions = BTreeSet::new();
+        let ctx = StrategyContext {
+            execution_date: date,
+            decision_date: date,
+            decision_index: 0,
+            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 default_strategy =
+            PlatformExprStrategy::new(PlatformExprStrategyConfig::microcap_rotation());
+        assert_eq!(
+            default_strategy
+                .selectable_universe_on(&ctx, date, date)
+                .iter()
+                .map(|row| row.symbol.as_str())
+                .collect::<Vec<_>>(),
+            vec![symbol],
+            "default selection must not drop source rows only because risk facts are missing"
+        );
+        assert!(
+            default_strategy
+                .selection_risk_decisions(&ctx, date, date)
+                .is_empty()
+        );
+
+        let mut strict_cfg = PlatformExprStrategyConfig::microcap_rotation();
+        strict_cfg.risk_config.static_rules.reject_st_selection = true;
+        let strict_strategy = PlatformExprStrategy::new(strict_cfg);
+        assert!(
+            strict_strategy
+                .selectable_universe_on(&ctx, date, date)
+                .is_empty(),
+            "explicit selection risk can still reject missing risk facts"
+        );
+        let diagnostics = PlatformExprStrategy::selection_risk_decision_diagnostics(
+            &strict_strategy.selection_risk_decisions(&ctx, date, date),
+            date,
+            date,
+            5,
+        );
+        assert!(
+            diagnostics
+                .iter()
+                .any(|item| item.contains("\"rule_code\":\"missing_risk_state\"")),
+            "{diagnostics:?}"
+        );
+    }
+
     #[test]
     fn platform_selection_uses_complete_static_risk_policy_before_universe_output() {
         let date = d(2025, 1, 2);