增加回测结束边界状态审计

crates/fidc-core/tests/engine_hooks.rs

@@ -6,12 +6,13 @@ use std::sync::{Arc, Mutex};
 use chrono::{NaiveDate, NaiveDateTime};
 use fidc_core::{
     BacktestConfig, BacktestEngine, BacktestProcessMod, BacktestProcessModLoader,
-    BenchmarkSnapshot, BrokerSimulator, CandidateEligibility, ChinaAShareCostModel,
-    ChinaEquityRuleHooks, DailyFactorSnapshot, DailyMarketSnapshot, DataSet, ExecutionQuoteRequest,
-    FuturesAccountState, FuturesCommissionType, FuturesContractSpec, FuturesDirection,
-    FuturesOrderIntent, FuturesPositionEffect, FuturesTradingParameter, FuturesValidationConfig,
-    Instrument, IntradayExecutionQuote, IntradayOrderBookDepthLevel, MatchingType,
-    NumericFactorMap, OpenOrderView, OrderIntent, OrderSide, OrderStatus, PlatformExprStrategy,
+    BacktestTerminalAssetClass, BacktestTerminalStatus, BenchmarkSnapshot, BrokerSimulator,
+    CandidateEligibility, ChinaAShareCostModel, ChinaEquityRuleHooks, DailyFactorSnapshot,
+    DailyMarketSnapshot, DataSet, ExecutionQuoteRequest, FuturesAccountState,
+    FuturesCommissionType, FuturesContractSpec, FuturesDirection, FuturesOrderIntent,
+    FuturesPositionEffect, FuturesTradingParameter, FuturesValidationConfig, Instrument,
+    IntradayExecutionQuote, IntradayOrderBookDepthLevel, MatchingType, NumericFactorMap,
+    OpenOrderView, OrderIntent, OrderSide, OrderStatus, PlatformExprStrategy,
     PlatformExprStrategyConfig, PlatformTradeAction, PortfolioState, PriceField, ProcessEvent,
     ProcessEventBus, ProcessEventKind, ScheduleRule, ScheduleStage, ScheduleTimeRule, Strategy,
     StrategyContext, StrategyDecision,
@@ -1683,6 +1684,61 @@ fn engine_matches_pending_futures_limit_order_with_data_driven_costs() {
         .expect("long futures position");
     assert_eq!(position.quantity, 2);
     assert!((position.contract_multiplier - 300.0).abs() < 1e-6);
+    assert_eq!(result.terminal_audit.status, BacktestTerminalStatus::Clean);
+    assert_eq!(result.terminal_audit.open_order_count(), 0);
+}
+
+#[test]
+fn engine_reports_pending_futures_order_at_backtest_boundary() {
+    let date = d(2025, 1, 2);
+    let broker = BrokerSimulator::new_with_execution_price(
+        ChinaAShareCostModel::default(),
+        ChinaEquityRuleHooks::default(),
+        PriceField::Open,
+    );
+    let mut engine = BacktestEngine::new(
+        two_day_futures_data(),
+        FuturesLimitOrderStrategy,
+        broker,
+        BacktestConfig {
+            initial_cash: 100_000.0,
+            benchmark_code: "000300.SH".to_string(),
+            start_date: Some(date),
+            end_date: Some(date),
+            decision_lag_trading_days: 0,
+            execution_price_field: PriceField::Open,
+        },
+    )
+    .with_futures_initial_cash(1_000_000.0);
+
+    let result = engine.run().expect("backtest succeeds");
+
+    assert!(result.fills.is_empty());
+    assert_eq!(
+        result.terminal_audit.status,
+        BacktestTerminalStatus::CompletedWithPendingState
+    );
+    assert_eq!(result.terminal_audit.last_execution_date, Some(date));
+    assert_eq!(result.terminal_audit.stock_open_order_count, 0);
+    assert_eq!(result.terminal_audit.futures_open_order_count, 1);
+    assert_eq!(result.terminal_audit.open_order_count(), 1);
+    assert_eq!(result.terminal_audit.omitted_open_order_count, 0);
+    assert_eq!(result.terminal_audit.open_order_samples.len(), 1);
+    assert_eq!(
+        result.terminal_audit.open_order_samples[0].asset_class,
+        BacktestTerminalAssetClass::Futures
+    );
+    assert_eq!(result.terminal_audit.open_order_samples[0].symbol, "IF2501");
+    assert_eq!(
+        result.terminal_audit.open_order_samples[0].remaining_quantity,
+        2
+    );
+    assert!(
+        result
+            .order_events
+            .iter()
+            .any(|event| { event.symbol == "IF2501" && event.status == OrderStatus::Pending })
+    );
 }
 
 #[test]
@@ -2895,6 +2951,8 @@ fn engine_applies_account_cash_flow_and_financing_intents() {
     assert!(result.process_events.iter().any(|event| {
         event.kind == ProcessEventKind::AccountManagementFee && event.detail.contains("fee=42.00")
     }));
+    assert_eq!(result.terminal_audit.status, BacktestTerminalStatus::Clean);
+    assert_eq!(result.terminal_audit.pending_cash_flow_count, 0);
 }
 
 #[test]
@@ -3066,6 +3124,8 @@ fn engine_rejects_pending_limit_orders_at_market_close() {
     assert!(result.process_events.iter().any(|event| {
         event.date == date1 && event.kind == ProcessEventKind::OrderUnsolicitedUpdate
     }));
+    assert_eq!(result.terminal_audit.status, BacktestTerminalStatus::Clean);
+    assert_eq!(result.terminal_audit.stock_open_order_count, 0);
 }
 
 #[test]