chore: 更新 fidc-backtest-engine - 2026-05-22

2026-05-22 17:22:33 +08:00
parent 7dbd66b467
commit 3499d4aa74
8 changed files with 526 additions and 125 deletions
@@ -0,0 +1,125 @@
+use chrono::NaiveDate;
+
+use crate::data::{CandidateEligibility, DailyMarketSnapshot, PriceField};
+use crate::instrument::Instrument;
+use crate::portfolio::Position;
+
+#[derive(Debug, Clone, Copy, Default)]
+pub struct ChinaAShareRiskControl;
+
+impl ChinaAShareRiskControl {
+    pub fn instrument_rejection_reason(
+        instrument: Option<&Instrument>,
+        date: NaiveDate,
+    ) -> Option<&'static str> {
+        let instrument = instrument?;
+        if instrument
+            .listed_at
+            .is_some_and(|listed_at| listed_at > date)
+        {
+            return Some("not_listed");
+        }
+        if instrument
+            .delisted_at
+            .is_some_and(|delisted_at| delisted_at <= date)
+        {
+            return Some("inactive_or_delisted");
+        }
+        let status = instrument.status.trim().to_ascii_lowercase();
+        if matches!(
+            status.as_str(),
+            "inactive" | "delisted" | "terminated" | "expired"
+        ) || status.contains("delist")
+        {
+            return Some("inactive_or_delisted");
+        }
+        None
+    }
+
+    pub fn selection_rejection_reason(
+        date: NaiveDate,
+        candidate: &CandidateEligibility,
+        market: &DailyMarketSnapshot,
+        instrument: Option<&Instrument>,
+    ) -> Option<&'static str> {
+        if let Some(reason) = Self::instrument_rejection_reason(instrument, date) {
+            return Some(reason);
+        }
+        if market.paused || candidate.is_paused {
+            return Some("paused");
+        }
+        if candidate.is_st {
+            return Some("st");
+        }
+        if candidate.is_new_listing {
+            return Some("new_listing");
+        }
+        if candidate.is_kcb {
+            return Some("kcb");
+        }
+        if candidate.is_one_yuan || market.day_open <= 1.0 {
+            return Some("one_yuan");
+        }
+        if !candidate.allow_buy || !candidate.allow_sell {
+            return Some("trade_disabled");
+        }
+        None
+    }
+
+    pub fn buy_rejection_reason(
+        date: NaiveDate,
+        candidate: &CandidateEligibility,
+        market: &DailyMarketSnapshot,
+        instrument: Option<&Instrument>,
+        check_price: f64,
+    ) -> Option<&'static str> {
+        if let Some(reason) = Self::selection_rejection_reason(date, candidate, market, instrument)
+        {
+            return Some(reason);
+        }
+        if !candidate.allow_buy {
+            return Some("buy_disabled");
+        }
+        if market.is_at_upper_limit_price(check_price) {
+            return Some("open at or above upper limit");
+        }
+        None
+    }
+
+    pub fn sell_rejection_reason(
+        date: NaiveDate,
+        candidate: &CandidateEligibility,
+        market: &DailyMarketSnapshot,
+        instrument: Option<&Instrument>,
+        position: Option<&Position>,
+        check_price: f64,
+    ) -> Option<&'static str> {
+        if let Some(reason) = Self::instrument_rejection_reason(instrument, date) {
+            return Some(reason);
+        }
+        if market.paused || candidate.is_paused {
+            return Some("paused");
+        }
+        if !candidate.allow_sell {
+            return Some("sell_disabled");
+        }
+        if market.is_at_lower_limit_price(check_price) {
+            return Some("open at or below lower limit");
+        }
+        if position.is_some_and(|position| position.sellable_qty(date) == 0) {
+            return Some("t+1 sellable quantity is zero");
+        }
+        None
+    }
+
+    pub fn buy_check_price(market: &DailyMarketSnapshot, price_field: PriceField) -> f64 {
+        market.buy_price(price_field)
+    }
+
+    pub fn sell_check_price(market: &DailyMarketSnapshot, price_field: PriceField) -> f64 {
+        match price_field {
+            PriceField::Last => market.price(PriceField::Last),
+            _ => market.sell_price(price_field),
+        }
+    }
+}