统一策略成交保护与锁定周期并修正日期条件覆盖

2026-09-11 09:52:04 +08:00
parent 6684f48f95
commit 33924b1fba
9 changed files with 1008 additions and 11 deletions
@@ -0,0 +1,369 @@
+use chrono::NaiveDate;
+use serde::{Deserialize, Serialize};
+
+use crate::TradingCalendar;
+
+#[derive(Debug, Clone, Copy, PartialEq, Eq)]
+pub enum TradingActionOrigin {
+    Strategy,
+    Manual,
+}
+
+#[derive(Debug, Clone, Default, PartialEq, Eq, Serialize, Deserialize)]
+#[serde(deny_unknown_fields)]
+pub struct AutomaticTradeProtection {
+    #[serde(default, deserialize_with = "optional_days")]
+    pub buy_protection_days: u32,
+    #[serde(default, deserialize_with = "optional_days")]
+    pub sell_cooldown_days: u32,
+    #[serde(default, deserialize_with = "optional_days")]
+    pub max_holding_days: u32,
+    #[serde(default, deserialize_with = "optional_locks")]
+    pub locks: Vec<AutomaticTradeLock>,
+}
+
+pub fn deserialize_optional_policy<'de, D: serde::Deserializer<'de>>(
+    deserializer: D,
+) -> Result<AutomaticTradeProtection, D::Error> {
+    Ok(Option::<AutomaticTradeProtection>::deserialize(deserializer)?.unwrap_or_default())
+}
+
+fn optional_days<'de, D: serde::Deserializer<'de>>(deserializer: D) -> Result<u32, D::Error> {
+    let raw = serde_json::Value::deserialize(deserializer)?;
+    if raw.is_null() {
+        return Ok(0);
+    }
+    raw.as_f64()
+        .filter(|value| {
+            value.is_finite() && value.fract() == 0.0 && *value >= 0.0 && *value <= 3650.0
+        })
+        .map(|value| value as u32)
+        .ok_or_else(|| serde::de::Error::custom("protection days must be integers in 0..3650"))
+}
+
+fn optional_locks<'de, D: serde::Deserializer<'de>>(
+    deserializer: D,
+) -> Result<Vec<AutomaticTradeLock>, D::Error> {
+    Ok(Option::<Vec<AutomaticTradeLock>>::deserialize(deserializer)?.unwrap_or_default())
+}
+
+#[derive(Debug, Clone, PartialEq, Eq, Serialize, Deserialize)]
+#[serde(deny_unknown_fields)]
+pub struct AutomaticTradeLock {
+    pub symbol: String,
+    pub start_date: NaiveDate,
+    pub end_date: Option<NaiveDate>,
+}
+
+#[derive(Debug, Clone, Default, PartialEq, Eq)]
+pub struct HoldingLifecycleEvidence {
+    pub has_position: bool,
+    pub opened_date: Option<NaiveDate>,
+    pub last_buy_date: Option<NaiveDate>,
+    pub last_sell_date: Option<NaiveDate>,
+}
+
+#[derive(Debug, Clone, Default, PartialEq, Eq)]
+pub struct AutomaticTradePermission {
+    pub buy_denial: Option<&'static str>,
+    pub sell_denial: Option<&'static str>,
+    pub max_holding_exit: bool,
+}
+
+impl AutomaticTradeProtection {
+    pub fn enabled(&self) -> bool {
+        self.buy_protection_days > 0
+            || self.sell_cooldown_days > 0
+            || self.max_holding_days > 0
+            || !self.locks.is_empty()
+    }
+
+    pub fn validate(&self) -> Result<(), String> {
+        if [
+            self.buy_protection_days,
+            self.sell_cooldown_days,
+            self.max_holding_days,
+        ]
+        .into_iter()
+        .any(|days| days > 3650)
+        {
+            return Err("automatic_trade_holding_days_out_of_range: expected 0..3650".into());
+        }
+        if self.locks.len() > 2000 {
+            return Err("automatic_trade_locks_limit: maximum 2000 intervals".into());
+        }
+        for lock in &self.locks {
+            let valid_symbol = lock.symbol.split_once('.').is_some_and(|(code, venue)| {
+                code.len() == 6
+                    && code.bytes().all(|ch| ch.is_ascii_digit())
+                    && matches!(venue, "SH" | "SZ" | "BJ")
+            });
+            if !valid_symbol {
+                return Err(format!(
+                    "automatic_trade_lock_invalid_symbol: {}",
+                    lock.symbol
+                ));
+            }
+            if lock.end_date.is_some_and(|end| end < lock.start_date) {
+                return Err(format!(
+                    "automatic_trade_lock_invalid_interval: {}",
+                    lock.symbol
+                ));
+            }
+        }
+        Ok(())
+    }
+
+    pub fn evaluate(
+        &self,
+        symbol: &str,
+        execution_date: NaiveDate,
+        evidence: &HoldingLifecycleEvidence,
+        calendar: &TradingCalendar,
+    ) -> Result<AutomaticTradePermission, String> {
+        self.validate()?;
+        if self.locks.iter().any(|lock| {
+            lock.symbol == symbol
+                && lock.start_date <= execution_date
+                && lock.end_date.is_none_or(|end| execution_date <= end)
+        }) {
+            return Ok(AutomaticTradePermission {
+                buy_denial: Some("automatic_trade_locked"),
+                sell_denial: Some("automatic_trade_locked"),
+                max_holding_exit: false,
+            });
+        }
+        let elapsed = |date: NaiveDate| -> Result<usize, String> {
+            let start = calendar.index_of(date).ok_or_else(|| {
+                format!(
+                    "automatic_trade_holding_calendar_missing: symbol={symbol} fact_date={date}"
+                )
+            })?;
+            let end = calendar.index_of(execution_date).ok_or_else(|| format!("automatic_trade_holding_calendar_missing: symbol={symbol} execution_date={execution_date}"))?;
+            end.checked_sub(start).ok_or_else(|| format!("automatic_trade_holding_future_fact: symbol={symbol} fact_date={date} execution_date={execution_date}"))
+        };
+        let mut decision = AutomaticTradePermission::default();
+        if self.buy_protection_days > 0
+            && evidence.has_position
+            && let Some(date) = evidence.last_buy_date
+            && elapsed(date)? <= self.buy_protection_days as usize
+        {
+            decision.sell_denial = Some("buy_fill_protection");
+        }
+        if self.sell_cooldown_days > 0
+            && let Some(date) = evidence.last_sell_date
+            && elapsed(date)? <= self.sell_cooldown_days as usize
+        {
+            decision.buy_denial = Some("sell_fill_cooldown");
+        }
+        if self.max_holding_days > 0 && evidence.has_position {
+            let opened = evidence.opened_date.ok_or_else(|| format!("automatic_trade_opened_date_missing: symbol={symbol}; require confirmed position lifecycle evidence"))?;
+            decision.max_holding_exit = elapsed(opened)? >= self.max_holding_days as usize
+                && decision.sell_denial.is_none();
+            if decision.max_holding_exit {
+                decision.buy_denial = Some("maximum_holding_exit");
+            }
+        }
+        Ok(decision)
+    }
+
+    /// The caller supplies origin from its authenticated execution path, never
+    /// from an untrusted order-body flag. Broker and ordinary risk checks remain.
+    pub fn evaluate_for_origin(
+        &self,
+        origin: TradingActionOrigin,
+        symbol: &str,
+        execution_date: NaiveDate,
+        evidence: &HoldingLifecycleEvidence,
+        calendar: &TradingCalendar,
+    ) -> Result<AutomaticTradePermission, String> {
+        self.validate()?;
+        match origin {
+            TradingActionOrigin::Strategy => {
+                self.evaluate(symbol, execution_date, evidence, calendar)
+            }
+            TradingActionOrigin::Manual => Ok(AutomaticTradePermission::default()),
+        }
+    }
+}
+
+#[cfg(test)]
+mod tests {
+    use super::*;
+    fn d(value: &str) -> NaiveDate {
+        NaiveDate::parse_from_str(value, "%Y-%m-%d").unwrap()
+    }
+    fn calendar() -> TradingCalendar {
+        TradingCalendar::new(
+            [
+                "2026-09-11",
+                "2026-09-14",
+                "2026-09-15",
+                "2026-09-16",
+                "2026-09-17",
+            ]
+            .into_iter()
+            .map(d)
+            .collect(),
+        )
+    }
+
+    #[test]
+    fn three_complete_sessions_protect_through_wednesday_not_72_hours() {
+        let policy = AutomaticTradeProtection {
+            buy_protection_days: 3,
+            sell_cooldown_days: 3,
+            ..Default::default()
+        };
+        let evidence = HoldingLifecycleEvidence {
+            has_position: true,
+            last_buy_date: Some(d("2026-09-11")),
+            last_sell_date: Some(d("2026-09-11")),
+            ..Default::default()
+        };
+        for day in ["2026-09-11", "2026-09-14", "2026-09-15", "2026-09-16"] {
+            let decision = policy
+                .evaluate("000001.SZ", d(day), &evidence, &calendar())
+                .unwrap();
+            assert_eq!(decision.sell_denial, Some("buy_fill_protection"));
+            assert_eq!(decision.buy_denial, Some("sell_fill_cooldown"));
+        }
+        assert_eq!(
+            policy
+                .evaluate("000001.SZ", d("2026-09-17"), &evidence, &calendar())
+                .unwrap(),
+            AutomaticTradePermission::default()
+        );
+    }
+
+    #[test]
+    fn absolute_locks_are_inclusive_and_override_timed_exit_without_changing_other_symbols() {
+        let policy = AutomaticTradeProtection {
+            max_holding_days: 1,
+            locks: vec![AutomaticTradeLock {
+                symbol: "000001.SZ".into(),
+                start_date: d("2026-09-11"),
+                end_date: Some(d("2026-09-16")),
+            }],
+            ..Default::default()
+        };
+        let evidence = HoldingLifecycleEvidence {
+            has_position: true,
+            opened_date: Some(d("2026-09-11")),
+            ..Default::default()
+        };
+        let locked = policy
+            .evaluate("000001.SZ", d("2026-09-16"), &evidence, &calendar())
+            .unwrap();
+        assert_eq!(locked.sell_denial, Some("automatic_trade_locked"));
+        assert!(!locked.max_holding_exit);
+        assert!(
+            policy
+                .evaluate("600000.SH", d("2026-09-16"), &evidence, &calendar())
+                .unwrap()
+                .max_holding_exit
+        );
+        assert!(
+            policy
+                .evaluate("000001.SZ", d("2026-09-17"), &evidence, &calendar())
+                .unwrap()
+                .max_holding_exit
+        );
+    }
+
+    #[test]
+    fn zero_disabled_and_missing_calendar_or_opened_date_are_not_inferred() {
+        let evidence = HoldingLifecycleEvidence {
+            has_position: true,
+            ..Default::default()
+        };
+        assert_eq!(
+            AutomaticTradeProtection::default()
+                .evaluate(
+                    "000001.SZ",
+                    d("2026-09-17"),
+                    &evidence,
+                    &TradingCalendar::new(vec![])
+                )
+                .unwrap(),
+            AutomaticTradePermission::default()
+        );
+        let policy = AutomaticTradeProtection {
+            max_holding_days: 1,
+            ..Default::default()
+        };
+        assert!(
+            policy
+                .evaluate("000001.SZ", d("2026-09-17"), &evidence, &calendar())
+                .unwrap_err()
+                .contains("opened_date_missing")
+        );
+        let evidence = HoldingLifecycleEvidence {
+            opened_date: Some(d("2026-09-10")),
+            ..evidence
+        };
+        assert!(
+            policy
+                .evaluate("000001.SZ", d("2026-09-17"), &evidence, &calendar())
+                .unwrap_err()
+                .contains("calendar_missing")
+        );
+    }
+
+    #[test]
+    fn manual_origin_only_bypasses_automatic_policy_not_an_order_or_broker_permission() {
+        let policy = AutomaticTradeProtection {
+            locks: vec![AutomaticTradeLock {
+                symbol: "000001.SZ".into(),
+                start_date: d("2026-09-11"),
+                end_date: None,
+            }],
+            ..Default::default()
+        };
+        assert_eq!(
+            policy
+                .evaluate_for_origin(
+                    TradingActionOrigin::Manual,
+                    "000001.SZ",
+                    d("2026-09-14"),
+                    &HoldingLifecycleEvidence::default(),
+                    &calendar()
+                )
+                .unwrap(),
+            AutomaticTradePermission::default()
+        );
+        assert_eq!(
+            policy
+                .evaluate_for_origin(
+                    TradingActionOrigin::Strategy,
+                    "000001.SZ",
+                    d("2026-09-14"),
+                    &HoldingLifecycleEvidence::default(),
+                    &calendar()
+                )
+                .unwrap()
+                .buy_denial,
+            Some("automatic_trade_locked")
+        );
+    }
+
+    #[test]
+    fn opening_date_follows_fills_not_partial_sales_or_corporate_conversions() {
+        let mut portfolio = crate::PortfolioState::new(100_000.0);
+        let position = portfolio.position_mut("000001.SZ");
+        position.buy(d("2026-09-11"), 100, 10.0);
+        position.buy(d("2026-09-14"), 200, 10.0);
+        position.sell(100, 10.0).unwrap();
+        assert_eq!(position.opened_date(), Some(d("2026-09-11")));
+        portfolio
+            .apply_successor_conversion("000001.SZ", "000002.SZ", 2.0, 0.0)
+            .unwrap();
+        let successor = portfolio.position_mut("000002.SZ");
+        assert_eq!(successor.opened_date(), Some(d("2026-09-11")));
+        assert_eq!(successor.last_buy_date(), Some(d("2026-09-14")));
+        successor.sell(400, 5.0).unwrap();
+        assert_eq!(successor.opened_date(), None);
+        successor.buy(d("2026-09-17"), 100, 5.0);
+        assert_eq!(successor.opened_date(), Some(d("2026-09-17")));
+    }
+}