修复next-open涨跌停风控价格口径

2026-07-05 10:41:27 +08:00
parent 61ad4119cf
commit 2f61bd8e57
1 changed files with 248 additions and 0 deletions
@@ -297,6 +297,7 @@ impl<C, R> BrokerSimulator<C, R> {

    pub fn with_matching_type(mut self, matching_type: MatchingType) -> Self {
        self.matching_type = matching_type;
+        self.execution_price_field = execution_price_field_from_matching_type(matching_type);
        self
    }

@@ -5801,6 +5802,19 @@ fn matching_type_from_price_field(field: PriceField) -> MatchingType {
    }
 }

+fn execution_price_field_from_matching_type(matching_type: MatchingType) -> PriceField {
+    match matching_type {
+        MatchingType::OpenAuction => PriceField::DayOpen,
+        MatchingType::CurrentBarClose => PriceField::Close,
+        MatchingType::NextBarOpen => PriceField::Open,
+        MatchingType::MinuteLast
+        | MatchingType::MinuteBestOwn
+        | MatchingType::MinuteBestCounterparty
+        | MatchingType::Vwap
+        | MatchingType::Twap => PriceField::Last,
+    }
+}
+
 fn merge_partial_fill_reason(current: Option<String>, next: Option<&str>) -> Option<String> {
    match (current, next) {
        (Some(existing), Some(next_reason)) if !existing.contains(next_reason) => {
@@ -6153,6 +6167,119 @@ mod tests {
        );
    }

+    #[test]
+    fn next_open_buy_limit_risk_uses_open_not_close() {
+        let execution_date = chrono::NaiveDate::from_ymd_opt(2025, 1, 3).expect("valid date");
+        let broker = BrokerSimulator::new_with_execution_price(
+            ChinaAShareCostModel::default(),
+            ChinaEquityRuleHooks,
+            PriceField::Close,
+        )
+        .with_matching_type(MatchingType::NextBarOpen)
+        .with_volume_limit(false)
+        .with_liquidity_limit(false);
+        let mut execution_snapshot = dated_limit_test_snapshot(execution_date);
+        execution_snapshot.open = 10.0;
+        execution_snapshot.day_open = 10.0;
+        execution_snapshot.close = execution_snapshot.upper_limit;
+        execution_snapshot.last_price = execution_snapshot.upper_limit;
+        let data = DataSet::from_components_with_actions_and_quotes(
+            vec![limit_test_instrument()],
+            vec![execution_snapshot],
+            Vec::new(),
+            vec![dated_limit_test_candidate(
+                execution_date,
+                false,
+                false,
+                true,
+                true,
+            )],
+            vec![dated_limit_test_benchmark(execution_date)],
+            Vec::new(),
+            Vec::new(),
+        )
+        .expect("valid dataset");
+        let mut portfolio = PortfolioState::new(20_000.0);
+
+        let report = broker
+            .execute(
+                execution_date,
+                &mut portfolio,
+                &data,
+                &next_open_buy_decision(),
+            )
+            .expect("execute next open buy");
+
+        assert_eq!(report.fill_events.len(), 1);
+        assert_eq!(report.fill_events[0].price, 10.0);
+        assert_eq!(
+            portfolio
+                .position("000001.SZ")
+                .map(|position| position.quantity),
+            Some(100)
+        );
+    }
+
+    #[test]
+    fn next_open_buy_limit_risk_rejects_open_upper_limit_even_when_close_is_clean() {
+        let execution_date = chrono::NaiveDate::from_ymd_opt(2025, 1, 3).expect("valid date");
+        let broker = BrokerSimulator::new_with_execution_price(
+            ChinaAShareCostModel::default(),
+            ChinaEquityRuleHooks,
+            PriceField::Close,
+        )
+        .with_matching_type(MatchingType::NextBarOpen)
+        .with_volume_limit(false)
+        .with_liquidity_limit(false);
+        let mut execution_snapshot = dated_limit_test_snapshot(execution_date);
+        execution_snapshot.open = execution_snapshot.upper_limit;
+        execution_snapshot.day_open = execution_snapshot.upper_limit;
+        execution_snapshot.close = 10.0;
+        execution_snapshot.last_price = 10.0;
+        let data = DataSet::from_components_with_actions_and_quotes(
+            vec![limit_test_instrument()],
+            vec![execution_snapshot],
+            Vec::new(),
+            vec![dated_limit_test_candidate(
+                execution_date,
+                false,
+                false,
+                true,
+                true,
+            )],
+            vec![dated_limit_test_benchmark(execution_date)],
+            Vec::new(),
+            Vec::new(),
+        )
+        .expect("valid dataset");
+        let mut portfolio = PortfolioState::new(20_000.0);
+
+        let report = broker
+            .execute(
+                execution_date,
+                &mut portfolio,
+                &data,
+                &next_open_buy_decision(),
+            )
+            .expect("execute next open buy");
+
+        assert!(report.fill_events.is_empty());
+        assert!(portfolio.position("000001.SZ").is_none());
+        let rejected_order = report
+            .order_events
+            .iter()
+            .find(|event| event.side == OrderSide::Buy)
+            .expect("buy order event");
+        assert_eq!(rejected_order.status, OrderStatus::Canceled);
+        assert!(
+            rejected_order
+                .reason
+                .contains("open at or above upper limit"),
+            "{}",
+            rejected_order.reason
+        );
+    }
+
    #[test]
    fn next_open_sell_risk_uses_execution_date_not_signal_date() {
        let signal_date = chrono::NaiveDate::from_ymd_opt(2025, 1, 2).expect("valid date");
@@ -6267,6 +6394,127 @@ mod tests {
        );
    }

+    #[test]
+    fn next_open_sell_limit_risk_uses_open_not_close() {
+        let signal_date = chrono::NaiveDate::from_ymd_opt(2025, 1, 2).expect("valid date");
+        let execution_date = chrono::NaiveDate::from_ymd_opt(2025, 1, 3).expect("valid date");
+        let broker = BrokerSimulator::new_with_execution_price(
+            ChinaAShareCostModel::default(),
+            ChinaEquityRuleHooks,
+            PriceField::Close,
+        )
+        .with_matching_type(MatchingType::NextBarOpen)
+        .with_volume_limit(false)
+        .with_liquidity_limit(false);
+        let mut execution_snapshot = dated_limit_test_snapshot(execution_date);
+        execution_snapshot.open = 10.0;
+        execution_snapshot.day_open = 10.0;
+        execution_snapshot.close = execution_snapshot.lower_limit;
+        execution_snapshot.last_price = execution_snapshot.lower_limit;
+        let data = DataSet::from_components_with_actions_and_quotes(
+            vec![limit_test_instrument()],
+            vec![execution_snapshot],
+            Vec::new(),
+            vec![dated_limit_test_candidate(
+                execution_date,
+                false,
+                false,
+                true,
+                true,
+            )],
+            vec![dated_limit_test_benchmark(execution_date)],
+            Vec::new(),
+            Vec::new(),
+        )
+        .expect("valid dataset");
+        let mut portfolio = PortfolioState::new(20_000.0);
+        portfolio
+            .position_mut("000001.SZ")
+            .buy(signal_date, 100, 10.0);
+
+        let report = broker
+            .execute(
+                execution_date,
+                &mut portfolio,
+                &data,
+                &next_open_sell_decision(),
+            )
+            .expect("execute next open sell");
+
+        assert_eq!(report.fill_events.len(), 1);
+        assert_eq!(report.fill_events[0].price, 10.0);
+        assert!(portfolio.position("000001.SZ").is_none());
+    }
+
+    #[test]
+    fn next_open_sell_limit_risk_rejects_open_lower_limit_even_when_close_is_clean() {
+        let signal_date = chrono::NaiveDate::from_ymd_opt(2025, 1, 2).expect("valid date");
+        let execution_date = chrono::NaiveDate::from_ymd_opt(2025, 1, 3).expect("valid date");
+        let broker = BrokerSimulator::new_with_execution_price(
+            ChinaAShareCostModel::default(),
+            ChinaEquityRuleHooks,
+            PriceField::Close,
+        )
+        .with_matching_type(MatchingType::NextBarOpen)
+        .with_volume_limit(false)
+        .with_liquidity_limit(false);
+        let mut execution_snapshot = dated_limit_test_snapshot(execution_date);
+        execution_snapshot.open = execution_snapshot.lower_limit;
+        execution_snapshot.day_open = execution_snapshot.lower_limit;
+        execution_snapshot.close = 10.0;
+        execution_snapshot.last_price = 10.0;
+        let data = DataSet::from_components_with_actions_and_quotes(
+            vec![limit_test_instrument()],
+            vec![execution_snapshot],
+            Vec::new(),
+            vec![dated_limit_test_candidate(
+                execution_date,
+                false,
+                false,
+                true,
+                true,
+            )],
+            vec![dated_limit_test_benchmark(execution_date)],
+            Vec::new(),
+            Vec::new(),
+        )
+        .expect("valid dataset");
+        let mut portfolio = PortfolioState::new(20_000.0);
+        portfolio
+            .position_mut("000001.SZ")
+            .buy(signal_date, 100, 10.0);
+
+        let report = broker
+            .execute(
+                execution_date,
+                &mut portfolio,
+                &data,
+                &next_open_sell_decision(),
+            )
+            .expect("execute next open sell");
+
+        assert!(report.fill_events.is_empty());
+        assert_eq!(
+            portfolio
+                .position("000001.SZ")
+                .map(|position| position.quantity),
+            Some(100)
+        );
+        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("open at or below lower limit"),
+            "{}",
+            rejected_order.reason
+        );
+    }
+
    #[test]
    fn current_bar_close_volume_limit_uses_daily_volume_when_minute_volume_missing() {
        let mut snapshot = limit_test_snapshot();