补齐next-open卖出执行日风控测试

2026-07-04 21:45:23 +08:00
parent aff7fa309c
commit 339f85c27b
1 changed files with 125 additions and 0 deletions
@@ -5814,6 +5814,17 @@ mod tests {
        }
    }

+    fn next_open_sell_decision() -> StrategyDecision {
+        StrategyDecision {
+            order_intents: vec![OrderIntent::Shares {
+                symbol: "000001.SZ".to_string(),
+                quantity: -100,
+                reason: "signal_day_sell".to_string(),
+            }],
+            ..StrategyDecision::default()
+        }
+    }
+
    #[test]
    fn minute_last_without_volume_or_liquidity_limit_does_not_cap_quote_quantity() {
        let broker = BrokerSimulator::new(ChinaAShareCostModel::default(), ChinaEquityRuleHooks)
@@ -5953,6 +5964,120 @@ mod tests {
        );
    }

+    #[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");
+        let execution_date = chrono::NaiveDate::from_ymd_opt(2025, 1, 3).expect("valid date");
+        let broker = BrokerSimulator::new(ChinaAShareCostModel::default(), ChinaEquityRuleHooks)
+            .with_volume_limit(false)
+            .with_liquidity_limit(false);
+        let mut signal_snapshot = dated_limit_test_snapshot(signal_date);
+        signal_snapshot.open = signal_snapshot.lower_limit;
+        signal_snapshot.day_open = signal_snapshot.lower_limit;
+        signal_snapshot.last_price = signal_snapshot.lower_limit;
+        signal_snapshot.close = signal_snapshot.lower_limit;
+        signal_snapshot.paused = true;
+        let data = DataSet::from_components_with_actions_and_quotes(
+            vec![limit_test_instrument()],
+            vec![signal_snapshot, dated_limit_test_snapshot(execution_date)],
+            Vec::new(),
+            vec![
+                dated_limit_test_candidate(signal_date, false, true, false, false),
+                dated_limit_test_candidate(execution_date, false, false, true, true),
+            ],
+            vec![
+                dated_limit_test_benchmark(signal_date),
+                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].date, execution_date);
+        assert_eq!(report.fill_events[0].quantity, 100);
+        assert!(portfolio.position("000001.SZ").is_none());
+    }
+
+    #[test]
+    fn next_open_sell_risk_rejects_execution_date_lower_limit_even_if_signal_date_was_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(ChinaAShareCostModel::default(), ChinaEquityRuleHooks)
+            .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.last_price = execution_snapshot.lower_limit;
+        execution_snapshot.close = execution_snapshot.lower_limit;
+        let data = DataSet::from_components_with_actions_and_quotes(
+            vec![limit_test_instrument()],
+            vec![dated_limit_test_snapshot(signal_date), execution_snapshot],
+            Vec::new(),
+            vec![
+                dated_limit_test_candidate(signal_date, false, false, true, true),
+                dated_limit_test_candidate(execution_date, false, false, true, true),
+            ],
+            vec![
+                dated_limit_test_benchmark(signal_date),
+                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.date, execution_date);
+        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();