修正next-open成交日风控语义

2026-07-03 21:08:27 +08:00
parent 3d98ec35e7
commit 25001fd3e4
1 changed files with 198 additions and 12 deletions
@@ -1850,7 +1850,7 @@ where
                process_events: &process_events,
                active_process_event: None,
                active_datetime: stage_datetime(
-                    execution_date,
+                    decision_date,
                    default_stage_time(ScheduleStage::BeforeTrading),
                ),
                order_events: result.order_events.as_slice(),
@@ -1970,7 +1970,7 @@ where
                process_events: &process_events,
                active_process_event: None,
                active_datetime: stage_datetime(
-                    execution_date,
+                    decision_date,
                    default_stage_time(ScheduleStage::OpenAuction),
                ),
                order_events: result.order_events.as_slice(),
@@ -2086,7 +2086,7 @@ where
                        process_events: &process_events,
                        active_process_event: None,
                        active_datetime: stage_datetime(
-                            execution_date,
+                            decision_date,
                            default_stage_time(ScheduleStage::OnDay),
                        ),
                        order_events: result.order_events.as_slice(),
@@ -2118,7 +2118,7 @@ where
                        process_events: &process_events,
                        active_process_event: None,
                        active_datetime: stage_datetime(
-                            execution_date,
+                            decision_date,
                            default_stage_time(ScheduleStage::OnDay),
                        ),
                        order_events: result.order_events.as_slice(),
@@ -2215,7 +2215,7 @@ where
                process_events: &process_events,
                active_process_event: None,
                active_datetime: stage_datetime(
-                    execution_date,
+                    decision_date,
                    default_stage_time(ScheduleStage::Bar),
                ),
                order_events: result.order_events.as_slice(),
@@ -2519,7 +2519,7 @@ where
                process_events: &process_events,
                active_process_event: None,
                active_datetime: stage_datetime(
-                    execution_date,
+                    decision_date,
                    default_stage_time(ScheduleStage::AfterTrading),
                ),
                order_events: visible_order_events.as_slice(),
@@ -2653,7 +2653,7 @@ where
                process_events: &process_events,
                active_process_event: None,
                active_datetime: stage_datetime(
-                    execution_date,
+                    decision_date,
                    default_stage_time(ScheduleStage::Settlement),
                ),
                order_events: visible_order_events_after_close.as_slice(),
@@ -3243,7 +3243,7 @@ where
                    process_events: process_events.as_slice(),
                    active_process_event: None,
                    active_datetime: stage_datetime(
-                        execution_date,
+                        decision_date,
                        default_stage_time(ScheduleStage::Settlement),
                    ),
                    order_events,
@@ -3594,7 +3594,11 @@ fn collect_scheduled_decisions<S: Strategy>(
    fills: &[FillEvent],
 ) -> Result<crate::strategy::StrategyDecision, BacktestError> {
    let mut combined = crate::strategy::StrategyDecision::default();
-    for rule in scheduler.triggered_rules_at(execution_date, stage, current_time, rules) {
+    // In lagged modes such as next_bar_open, scheduled callbacks generate
+    // signals on the decision date while the broker later matches them on the
+    // execution date.  Triggering schedules with the execution date would let a
+    // T+1 calendar state suppress or create T-day signals.
+    for rule in scheduler.triggered_rules_at(decision_date, stage, current_time, rules) {
        publish_phase_event(
            strategy,
            process_event_bus,
@@ -3625,7 +3629,7 @@ fn collect_scheduled_decisions<S: Strategy>(
                subscriptions,
                process_events: process_events.as_slice(),
                active_process_event: None,
-                active_datetime: stage_datetime(execution_date, current_time),
+                active_datetime: stage_datetime(decision_date, current_time),
                order_events,
                fills,
            },
@@ -3942,8 +3946,10 @@ mod tests {
        BenchmarkSnapshot, CandidateEligibility, DailyFactorSnapshot, DailyMarketSnapshot, DataSet,
        PriceField,
    };
+    use crate::events::OrderStatus;
    use crate::instrument::Instrument;
    use crate::rules::ChinaEquityRuleHooks;
+    use crate::scheduler::{ScheduleRule, ScheduleStage};
    use crate::strategy::{OrderIntent, Strategy, StrategyContext, StrategyDecision};

    const SYMBOL: &str = "000001.SZ";
@@ -3976,6 +3982,46 @@ mod tests {
        }
    }

+    #[derive(Debug)]
+    struct ScheduledBuyStrategy {
+        rule: ScheduleRule,
+        expected_decision_date: NaiveDate,
+    }
+
+    impl Strategy for ScheduledBuyStrategy {
+        fn name(&self) -> &str {
+            "scheduled_buy"
+        }
+
+        fn schedule_rules(&self) -> Vec<ScheduleRule> {
+            vec![self.rule.clone()]
+        }
+
+        fn on_scheduled(
+            &mut self,
+            ctx: &StrategyContext<'_>,
+            rule: &ScheduleRule,
+        ) -> Result<StrategyDecision, super::BacktestError> {
+            assert_eq!(rule.name, self.rule.name);
+            assert_eq!(ctx.decision_date, self.expected_decision_date);
+            assert_eq!(
+                ctx.current_datetime().map(|value| value.date()),
+                Some(self.expected_decision_date)
+            );
+            if ctx.portfolio.position(SYMBOL).is_none() {
+                return Ok(StrategyDecision {
+                    order_intents: vec![OrderIntent::Shares {
+                        symbol: SYMBOL.to_string(),
+                        quantity: 100,
+                        reason: "scheduled_test_buy".to_string(),
+                    }],
+                    ..StrategyDecision::default()
+                });
+            }
+            Ok(StrategyDecision::default())
+        }
+    }
+
    fn d(year: i32, month: u32, day: u32) -> NaiveDate {
        NaiveDate::from_ymd_opt(year, month, day).expect("valid date")
    }
@@ -4006,6 +4052,22 @@ mod tests {
        }
    }

+    fn market_with_state(
+        date: NaiveDate,
+        open: f64,
+        close: f64,
+        paused: bool,
+        upper_limit: f64,
+        lower_limit: f64,
+    ) -> DailyMarketSnapshot {
+        DailyMarketSnapshot {
+            paused,
+            upper_limit,
+            lower_limit,
+            ..market(date, open, close)
+        }
+    }
+
    fn factor(date: NaiveDate) -> DailyFactorSnapshot {
        DailyFactorSnapshot {
            date,
@@ -4035,6 +4097,18 @@ mod tests {
        }
    }

+    fn candidate_with_state(
+        date: NaiveDate,
+        is_paused: bool,
+        allow_buy: bool,
+    ) -> CandidateEligibility {
+        CandidateEligibility {
+            is_paused,
+            allow_buy,
+            ..candidate(date)
+        }
+    }
+
    fn benchmark(date: NaiveDate) -> BenchmarkSnapshot {
        BenchmarkSnapshot {
            date,
@@ -4049,6 +4123,22 @@ mod tests {
    fn dataset() -> DataSet {
        let first = d(2025, 1, 2);
        let second = d(2025, 1, 3);
+        dataset_with(
+            market(first, 10.0, 11.5),
+            market(second, 12.0, 99.0),
+            candidate(first),
+            candidate(second),
+        )
+    }
+
+    fn dataset_with(
+        first_market: DailyMarketSnapshot,
+        second_market: DailyMarketSnapshot,
+        first_candidate: CandidateEligibility,
+        second_candidate: CandidateEligibility,
+    ) -> DataSet {
+        let first = first_market.date;
+        let second = second_market.date;
        DataSet::from_components(
            vec![Instrument {
                symbol: SYMBOL.to_string(),
@@ -4059,9 +4149,9 @@ mod tests {
                delisted_at: None,
                status: "active".to_string(),
            }],
-            vec![market(first, 10.0, 11.5), market(second, 12.0, 99.0)],
+            vec![first_market, second_market],
            vec![factor(first), factor(second)],
-            vec![candidate(first), candidate(second)],
+            vec![first_candidate, second_candidate],
            vec![benchmark(first), benchmark(second)],
        )
        .expect("dataset")
@@ -4103,6 +4193,39 @@ mod tests {
        .expect("backtest run")
    }

+    fn run_scheduled_next_open_with_dataset(dataset: DataSet) -> super::BacktestResult {
+        let first = d(2025, 1, 2);
+        let broker = BrokerSimulator::new_with_execution_price(
+            ChinaAShareCostModel::default(),
+            ChinaEquityRuleHooks,
+            PriceField::Open,
+        )
+        .with_matching_type(MatchingType::NextBarOpen)
+        .with_volume_limit(false)
+        .with_liquidity_limit(false)
+        .with_inactive_limit(false);
+        let config = BacktestConfig {
+            initial_cash: 100_000.0,
+            benchmark_code: "000852.SH".to_string(),
+            start_date: Some(first),
+            end_date: Some(d(2025, 1, 3)),
+            decision_lag_trading_days: 1,
+            execution_price_field: PriceField::Open,
+        };
+
+        BacktestEngine::new(
+            dataset,
+            ScheduledBuyStrategy {
+                rule: ScheduleRule::weekly_by_weekday("weekly_signal", 4, ScheduleStage::OnDay),
+                expected_decision_date: first,
+            },
+            broker,
+            config,
+        )
+        .run()
+        .expect("backtest run")
+    }
+
    #[test]
    fn current_bar_close_uses_decision_day_close_for_fill() {
        let result = run_with_matching(MatchingType::CurrentBarClose, PriceField::Close, 0);
@@ -4127,4 +4250,67 @@ mod tests {
            result.equity_curve[0].diagnostics
        );
    }
+
+    #[test]
+    fn next_bar_open_scheduled_signal_uses_decision_date_not_execution_date() {
+        let result = run_scheduled_next_open_with_dataset(dataset());
+
+        assert_eq!(result.fills.len(), 1);
+        assert_eq!(result.fills[0].date, d(2025, 1, 3));
+        assert_eq!(result.fills[0].price, 12.0);
+    }
+
+    #[test]
+    fn next_bar_open_execution_risk_ignores_decision_day_paused_state() {
+        let first = d(2025, 1, 2);
+        let second = d(2025, 1, 3);
+        let result = run_scheduled_next_open_with_dataset(dataset_with(
+            market_with_state(first, 10.0, 11.5, true, 10.0, 9.0),
+            market_with_state(second, 12.0, 99.0, false, 200.0, 1.0),
+            candidate_with_state(first, true, false),
+            candidate(second),
+        ));
+
+        assert_eq!(result.fills.len(), 1);
+        assert_eq!(result.fills[0].date, second);
+        assert_eq!(result.fills[0].price, 12.0);
+    }
+
+    #[test]
+    fn next_bar_open_execution_risk_rejects_execution_day_paused_state() {
+        let first = d(2025, 1, 2);
+        let second = d(2025, 1, 3);
+        let result = run_scheduled_next_open_with_dataset(dataset_with(
+            market(first, 10.0, 11.5),
+            market_with_state(second, 12.0, 99.0, true, 200.0, 1.0),
+            candidate(first),
+            candidate_with_state(second, true, true),
+        ));
+
+        assert!(result.fills.is_empty());
+        assert!(result.order_events.iter().any(|event| {
+            event.date == second
+                && event.status == OrderStatus::Canceled
+                && event.reason.contains("paused")
+        }));
+    }
+
+    #[test]
+    fn next_bar_open_execution_risk_rejects_execution_day_upper_limit_buy() {
+        let first = d(2025, 1, 2);
+        let second = d(2025, 1, 3);
+        let result = run_scheduled_next_open_with_dataset(dataset_with(
+            market(first, 10.0, 11.5),
+            market_with_state(second, 12.0, 99.0, false, 12.0, 1.0),
+            candidate(first),
+            candidate(second),
+        ));
+
+        assert!(result.fills.is_empty());
+        assert!(result.order_events.iter().any(|event| {
+            event.date == second
+                && event.status == OrderStatus::Canceled
+                && event.reason.contains("open at or above upper limit")
+        }));
+    }
 }