修复FIDC默认选股池依赖风控事实
This commit is contained in:
boris
+113
-23
@@ -2493,14 +2493,7 @@ impl DataSet {
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pub fn eligible_universe_on(&self, date: NaiveDate) -> &[EligibleUniverseSnapshot] {
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self.eligible_universe_by_date
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.get_or_init(|| {
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build_eligible_universe(
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&self.factor_by_date,
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&self.candidate_by_date,
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&self.market_by_date,
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&self.instruments,
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)
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})
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.get_or_init(|| build_eligible_universe(&self.factor_by_date, &self.market_by_date))
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.get(&date)
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.map(Vec::as_slice)
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.unwrap_or(&[])
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@@ -3033,22 +3026,12 @@ fn build_order_book_depth_index(
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fn build_eligible_universe(
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factor_by_date: &BTreeMap<NaiveDate, Vec<Arc<DailyFactorSnapshot>>>,
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candidate_by_date: &BTreeMap<NaiveDate, Vec<Arc<CandidateEligibility>>>,
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market_by_date: &BTreeMap<NaiveDate, Vec<Arc<DailyMarketSnapshot>>>,
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instruments: &HashMap<String, Instrument>,
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) -> BTreeMap<NaiveDate, Vec<EligibleUniverseSnapshot>> {
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let mut per_date = BTreeMap::<NaiveDate, Vec<EligibleUniverseSnapshot>>::new();
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let risk_config = FidcRiskControlConfig::default();
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for (date, factors) in factor_by_date {
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let rows = build_eligible_universe_for_date_from_factors(
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*date,
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factors,
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candidate_by_date,
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market_by_date,
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instruments,
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&risk_config,
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);
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for date in factor_by_date.keys() {
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let rows = build_fundamental_universe_for_date(*date, factor_by_date, market_by_date);
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per_date.insert(*date, rows);
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}
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@@ -3126,11 +3109,15 @@ fn build_eligible_universe_for_date_from_factors(
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if factor.market_cap_bn <= 0.0 || !factor.market_cap_bn.is_finite() {
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continue;
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}
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let Some(candidate) = candidate_by_date
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let synthetic_candidate;
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let candidate = if let Some(candidate) = candidate_by_date
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.get(&date)
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.and_then(|rows| find_arc_by_symbol(rows, &factor.symbol, |row| row.symbol.as_str()))
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else {
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continue;
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{
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candidate
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} else {
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synthetic_candidate = missing_candidate_risk_state(date, &factor.symbol);
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&synthetic_candidate
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};
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let Some(market) = market_by_date
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.get(&date)
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@@ -3169,6 +3156,25 @@ fn build_eligible_universe_for_date_from_factors(
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rows
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}
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fn missing_candidate_risk_state(date: NaiveDate, symbol: &str) -> CandidateEligibility {
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CandidateEligibility {
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date,
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symbol: symbol.to_string(),
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is_st: false,
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is_star_st: false,
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is_new_listing: false,
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is_paused: false,
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allow_buy: true,
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allow_sell: true,
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is_kcb: false,
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is_one_yuan: false,
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risk_level_code: Some(
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"missing_risk_state:is_st,is_star_st,is_paused,listed_days,is_kcb,is_one_yuan"
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.to_string(),
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),
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}
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}
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#[cfg(test)]
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fn instrument_passes_baseline_selection(instrument: Option<&Instrument>, date: NaiveDate) -> bool {
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ChinaAShareRiskControl::instrument_rejection_reason(instrument, date).is_none()
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@@ -3445,6 +3451,90 @@ mod tests {
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assert!((rows[1].market_cap_bn - 10.0).abs() < 1e-9);
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}
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#[test]
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fn eligible_universe_does_not_require_candidate_risk_state_when_selection_risk_is_disabled() {
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let date = NaiveDate::parse_from_str("2025-01-06", "%Y-%m-%d").unwrap();
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let symbol = "000001.SZ";
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let data = DataSet::from_components(
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vec![Instrument {
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symbol: symbol.to_string(),
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name: symbol.to_string(),
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board: "SZ".to_string(),
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round_lot: 100,
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listed_at: Some(NaiveDate::parse_from_str("2020-01-01", "%Y-%m-%d").unwrap()),
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delisted_at: None,
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status: "active".to_string(),
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}],
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vec![DailyMarketSnapshot {
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date,
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symbol: symbol.to_string(),
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timestamp: Some("2025-01-06 10:18:00".to_string()),
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day_open: 10.0,
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open: 10.0,
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high: 10.2,
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low: 9.8,
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close: 10.1,
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last_price: 10.1,
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bid1: 10.0,
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ask1: 10.1,
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prev_close: 10.0,
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volume: 100_000,
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minute_volume: 1_000,
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bid1_volume: 1_000,
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ask1_volume: 1_000,
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trading_phase: Some("continuous".to_string()),
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paused: false,
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upper_limit: 11.0,
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lower_limit: 9.0,
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price_tick: 0.01,
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}],
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vec![DailyFactorSnapshot {
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date,
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symbol: symbol.to_string(),
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market_cap_bn: 10.0,
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free_float_cap_bn: 9.0,
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pe_ttm: 10.0,
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turnover_ratio: Some(1.0),
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effective_turnover_ratio: Some(1.0),
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extra_factors: BTreeMap::new(),
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}],
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Vec::new(),
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vec![BenchmarkSnapshot {
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date,
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benchmark: "000852.SH".to_string(),
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open: 100.0,
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close: 101.0,
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prev_close: 99.0,
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volume: 1_000_000,
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}],
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)
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.expect("dataset");
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assert_eq!(
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data.eligible_universe_on(date)
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.iter()
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.map(|row| row.symbol.as_str())
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.collect::<Vec<_>>(),
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vec![symbol]
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);
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assert_eq!(
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data.eligible_universe_on_with_risk_config(date, &FidcRiskControlConfig::default())
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.iter()
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.map(|row| row.symbol.as_str())
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.collect::<Vec<_>>(),
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vec![symbol],
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"execution-risk defaults must not make selection depend on candidate risk facts"
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);
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let mut selection_risk_config = FidcRiskControlConfig::default();
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selection_risk_config.static_rules.reject_st_selection = true;
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assert!(
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data.eligible_universe_on_with_risk_config(date, &selection_risk_config)
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.is_empty(),
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"explicit selection risk must reject when required candidate facts are missing"
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);
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}
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#[test]
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fn eligible_universe_can_use_configured_risk_policy() {
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let date = NaiveDate::parse_from_str("2025-01-06", "%Y-%m-%d").unwrap();
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