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

crates/fidc-core/src/broker.rs

@@ -10,7 +10,9 @@ use crate::events::{
     AccountEvent, FillEvent, OrderEvent, OrderSide, OrderStatus, PositionEvent, ProcessEvent,
     ProcessEventKind,
 };
+use crate::instrument::Instrument;
 use crate::portfolio::PortfolioState;
+use crate::risk_control::ChinaAShareRiskControl;
 use crate::rules::{EquityRuleHooks, RuleCheck};
 use crate::strategy::{
     AlgoOrderStyle, OpenOrderView, OrderIntent, StrategyDecision, TargetPortfolioOrderPricing,
@@ -1850,19 +1852,27 @@ where
         date: NaiveDate,
         snapshot: &crate::data::DailyMarketSnapshot,
         candidate: &crate::data::CandidateEligibility,
+        instrument: Option<&Instrument>,
     ) -> RuleCheck {
+        let check_price = if self.aiquant_rqalpha_execution_rules {
+            self.aiquant_limit_check_price(snapshot, OrderSide::Buy)
+        } else {
+            ChinaAShareRiskControl::buy_check_price(snapshot, self.execution_price_field)
+        };
+        if let Some(reason) = ChinaAShareRiskControl::buy_rejection_reason(
+            date,
+            candidate,
+            snapshot,
+            instrument,
+            check_price,
+        ) {
+            return RuleCheck::reject(reason);
+        }
         if !self.aiquant_rqalpha_execution_rules {
             return self
                 .rules
                 .can_buy(date, snapshot, candidate, self.execution_price_field);
         }
-        if snapshot.paused || candidate.is_paused {
-            return RuleCheck::reject("paused");
-        }
-        let check_price = self.aiquant_limit_check_price(snapshot, OrderSide::Buy);
-        if snapshot.is_at_upper_limit_price(check_price) {
-            return RuleCheck::reject("open at or above upper limit");
-        }
         RuleCheck::allow()
     }
 
@@ -1871,8 +1881,24 @@ where
         date: NaiveDate,
         snapshot: &crate::data::DailyMarketSnapshot,
         candidate: &crate::data::CandidateEligibility,
+        instrument: Option<&Instrument>,
         position: &crate::portfolio::Position,
     ) -> RuleCheck {
+        let check_price = if self.aiquant_rqalpha_execution_rules {
+            self.aiquant_limit_check_price(snapshot, OrderSide::Sell)
+        } else {
+            ChinaAShareRiskControl::sell_check_price(snapshot, self.execution_price_field)
+        };
+        if let Some(reason) = ChinaAShareRiskControl::sell_rejection_reason(
+            date,
+            candidate,
+            snapshot,
+            instrument,
+            Some(position),
+            check_price,
+        ) {
+            return RuleCheck::reject(reason);
+        }
         if !self.aiquant_rqalpha_execution_rules {
             return self.rules.can_sell(
                 date,
@@ -1882,16 +1908,6 @@ where
                 self.execution_price_field,
             );
         }
-        if snapshot.paused || candidate.is_paused {
-            return RuleCheck::reject("paused");
-        }
-        let check_price = self.aiquant_limit_check_price(snapshot, OrderSide::Sell);
-        if snapshot.is_at_lower_limit_price(check_price) {
-            return RuleCheck::reject("open at or below lower limit");
-        }
-        if position.sellable_qty(date) == 0 {
-            return RuleCheck::reject("t+1 sellable quantity is zero");
-        }
         RuleCheck::allow()
     }
 
@@ -1917,7 +1933,8 @@ where
         let Ok(candidate) = data.require_candidate(date, symbol) else {
             return current_qty;
         };
-        let rule = self.sell_rule_check(date, snapshot, candidate, position);
+        let rule =
+            self.sell_rule_check(date, snapshot, candidate, data.instrument(symbol), position);
         if !rule.allowed {
             return current_qty;
         }
@@ -1955,7 +1972,7 @@ where
         let Ok(candidate) = data.require_candidate(date, symbol) else {
             return current_qty;
         };
-        let rule = self.buy_rule_check(date, snapshot, candidate);
+        let rule = self.buy_rule_check(date, snapshot, candidate, data.instrument(symbol));
         if !rule.allowed {
             return current_qty;
         }
@@ -1999,7 +2016,8 @@ where
         let position = portfolio.position(symbol)?;
         let snapshot = data.require_market(date, symbol).ok()?;
         let candidate = data.require_candidate(date, symbol).ok()?;
-        let rule = self.sell_rule_check(date, snapshot, candidate, position);
+        let rule =
+            self.sell_rule_check(date, snapshot, candidate, data.instrument(symbol), position);
         if !rule.allowed {
             return rule.reason;
         }
@@ -2039,7 +2057,7 @@ where
     ) -> Option<String> {
         let snapshot = data.require_market(date, symbol).ok()?;
         let candidate = data.require_candidate(date, symbol).ok()?;
-        let rule = self.buy_rule_check(date, snapshot, candidate);
+        let rule = self.buy_rule_check(date, snapshot, candidate, data.instrument(symbol));
         if !rule.allowed {
             return rule.reason;
         }
@@ -2109,12 +2127,15 @@ where
             );
         }
 
-        let rule = self.sell_rule_check(date, snapshot, candidate, position);
+        let rule =
+            self.sell_rule_check(date, snapshot, candidate, data.instrument(symbol), position);
         if !rule.allowed {
             let rule_reason = rule.reason.as_deref().unwrap_or_default().to_string();
             let status = match rule.reason.as_deref() {
                 Some("paused")
                 | Some("sell disabled by eligibility flags")
+                | Some("sell_disabled")
+                | Some("lower_limit")
                 | Some("open at or below lower limit") => OrderStatus::Canceled,
                 _ => OrderStatus::Rejected,
             };
@@ -3542,12 +3563,14 @@ where
             );
         }
 
-        let rule = self.buy_rule_check(date, snapshot, candidate);
+        let rule = self.buy_rule_check(date, snapshot, candidate, data.instrument(symbol));
         if !rule.allowed {
             let rule_reason = rule.reason.as_deref().unwrap_or_default().to_string();
             let status = match rule.reason.as_deref() {
                 Some("paused")
                 | Some("buy disabled by eligibility flags")
+                | Some("buy_disabled")
+                | Some("upper_limit")
                 | Some("open at or above upper limit") => OrderStatus::Canceled,
                 _ => OrderStatus::Rejected,
             };
@@ -4721,6 +4744,8 @@ fn zero_fill_status_for_reason(reason: &str) -> OrderStatus {
         | "tick volume limit"
         | "intraday quote liquidity exhausted"
         | "no execution quotes after start"
+        | "upper_limit"
+        | "lower_limit"
         | "open at or above upper limit"
         | "open at or below lower limit" => OrderStatus::Canceled,
         _ => OrderStatus::Rejected,
@@ -4733,6 +4758,8 @@ fn final_partial_fill_status(partial_reason: Option<&str>) -> OrderStatus {
             if reason.contains("market liquidity or volume limit")
                 || reason.contains("intraday quote liquidity exhausted")
                 || reason.contains("no execution quotes after start")
+                || reason.contains("upper_limit")
+                || reason.contains("lower_limit")
                 || reason.contains("open at or above upper limit")
                 || reason.contains("open at or below lower limit") =>
         {
@@ -4913,7 +4940,7 @@ mod tests {
     }
 
     #[test]
-    fn aiquant_rules_allow_buy_when_day_flags_block_but_last_price_is_tradable() {
+    fn aiquant_rules_keep_structured_buy_risk_while_using_aiquant_limit_price() {
         let mut snapshot = limit_test_snapshot();
         snapshot.open = 11.0;
         snapshot.day_open = 11.0;
@@ -4927,12 +4954,9 @@ mod tests {
             ChinaEquityRuleHooks,
             PriceField::Last,
         );
-        let default_rule = default_broker.buy_rule_check(date, &snapshot, &candidate);
+        let default_rule = default_broker.buy_rule_check(date, &snapshot, &candidate, None);
         assert!(!default_rule.allowed);
-        assert_eq!(
+        assert_eq!(default_rule.reason.as_deref(), Some("trade_disabled"));
-            default_rule.reason.as_deref(),
-            Some("buy disabled by eligibility flags")
-        );
 
         let aiquant_broker = BrokerSimulator::new_with_execution_price(
             ChinaAShareCostModel::default(),
@@ -4940,7 +4964,13 @@ mod tests {
             PriceField::Last,
         )
         .with_aiquant_rqalpha_execution_rules(true);
-        let aiquant_rule = aiquant_broker.buy_rule_check(date, &snapshot, &candidate);
+        let aiquant_rule = aiquant_broker.buy_rule_check(date, &snapshot, &candidate, None);
+        assert!(!aiquant_rule.allowed);
+        assert_eq!(aiquant_rule.reason.as_deref(), Some("trade_disabled"));
+
+        let tradable_candidate = limit_test_candidate(true, true);
+        let aiquant_rule =
+            aiquant_broker.buy_rule_check(date, &snapshot, &tradable_candidate, None);
         assert!(aiquant_rule.allowed);
     }
 

crates/fidc-core/src/data.rs

@@ -9,6 +9,7 @@ use thiserror::Error;
 use crate::calendar::TradingCalendar;
 use crate::futures::{FuturesCommissionType, FuturesTradingParameter};
 use crate::instrument::Instrument;
+use crate::risk_control::ChinaAShareRiskControl;
 
 mod date_format {
     use chrono::NaiveDate;
@@ -1080,8 +1081,12 @@ impl DataSet {
         let market_series_by_symbol = build_market_series(&market_by_date);
         let benchmark_series_cache =
             BenchmarkPriceSeries::new(&benchmark_by_date.values().cloned().collect::<Vec<_>>());
-        let eligible_universe_by_date =
+        let eligible_universe_by_date = build_eligible_universe(
-            build_eligible_universe(&factor_by_date, &candidate_index, &market_index);
+            &factor_by_date,
+            &candidate_index,
+            &market_index,
+            &instruments,
+        );
         let futures_params_by_symbol = build_futures_params_index(futures_params);
 
         Ok(Self {
@@ -3287,6 +3292,7 @@ fn build_eligible_universe(
     factor_by_date: &BTreeMap<NaiveDate, Vec<DailyFactorSnapshot>>,
     candidate_index: &HashMap<(NaiveDate, String), CandidateEligibility>,
     market_index: &HashMap<(NaiveDate, String), DailyMarketSnapshot>,
+    instruments: &HashMap<String, Instrument>,
 ) -> BTreeMap<NaiveDate, Vec<EligibleUniverseSnapshot>> {
     let mut per_date = BTreeMap::<NaiveDate, Vec<EligibleUniverseSnapshot>>::new();
 
@@ -3303,7 +3309,14 @@ fn build_eligible_universe(
             let Some(market) = market_index.get(&key) else {
                 continue;
             };
-            if !candidate.eligible_for_selection() || market.paused {
+            if ChinaAShareRiskControl::selection_rejection_reason(
+                *date,
+                candidate,
+                market,
+                instruments.get(&factor.symbol),
+            )
+            .is_some()
+            {
                 continue;
             }
             rows.push(EligibleUniverseSnapshot {
@@ -3324,6 +3337,11 @@ fn build_eligible_universe(
     per_date
 }
 
+#[cfg(test)]
+fn instrument_passes_baseline_selection(instrument: Option<&Instrument>, date: NaiveDate) -> bool {
+    ChinaAShareRiskControl::instrument_rejection_reason(instrument, date).is_none()
+}
+
 #[cfg(test)]
 mod tests {
     use super::*;
@@ -3363,6 +3381,49 @@ mod tests {
         }
     }
 
+    #[test]
+    fn baseline_selection_uses_structured_instrument_dates_and_status_only() {
+        let date = NaiveDate::parse_from_str("2025-01-02", "%Y-%m-%d").unwrap();
+        let instrument = |name: &str, status: &str, delisted_at: Option<NaiveDate>| Instrument {
+            symbol: "000001.SZ".to_string(),
+            name: name.to_string(),
+            board: "SZ".to_string(),
+            round_lot: 100,
+            listed_at: Some(NaiveDate::parse_from_str("2020-01-01", "%Y-%m-%d").unwrap()),
+            delisted_at,
+            status: status.to_string(),
+        };
+
+        assert!(instrument_passes_baseline_selection(
+            Some(&instrument("Short History Stock", "active", None)),
+            date
+        ));
+        assert!(instrument_passes_baseline_selection(
+            Some(&instrument("*ST测试", "active", None)),
+            date
+        ));
+        assert!(instrument_passes_baseline_selection(
+            Some(&instrument("ST测试", "active", None)),
+            date
+        ));
+        assert!(instrument_passes_baseline_selection(
+            Some(&instrument("退市测试", "active", None)),
+            date
+        ));
+        assert!(!instrument_passes_baseline_selection(
+            Some(&instrument("正常名称", "delisted", None)),
+            date
+        ));
+        assert!(!instrument_passes_baseline_selection(
+            Some(&instrument(
+                "正常名称",
+                "active",
+                Some(NaiveDate::parse_from_str("2025-01-01", "%Y-%m-%d").unwrap()),
+            )),
+            date
+        ));
+    }
+
     #[test]
     fn decision_volume_average_uses_previous_completed_days_only() {
         let series = SymbolPriceSeries::new(&[

crates/fidc-core/src/lib.rs

@@ -12,6 +12,7 @@ pub mod platform_expr_strategy;
 pub mod platform_runtime_schema;
 pub mod platform_strategy_spec;
 pub mod portfolio;
+pub mod risk_control;
 pub mod rules;
 pub mod scheduler;
 pub mod strategy;
@@ -66,6 +67,7 @@ pub use platform_strategy_spec::{
     StrategyRuntimeSpec, platform_expr_config_from_spec, platform_expr_config_from_value,
 };
 pub use portfolio::{CashReceivable, HoldingSummary, PendingCashFlow, PortfolioState, Position};
+pub use risk_control::ChinaAShareRiskControl;
 pub use rules::{ChinaEquityRuleHooks, EquityRuleHooks, RuleCheck};
 pub use scheduler::{
     ScheduleFrequency, ScheduleRule, ScheduleStage, ScheduleTimeRule, Scheduler, default_stage_time,

crates/fidc-core/src/platform_expr_strategy.rs

@@ -9,6 +9,7 @@ use crate::data::{DailyMarketSnapshot, EligibleUniverseSnapshot, PriceField};
 use crate::engine::BacktestError;
 use crate::events::OrderSide;
 use crate::portfolio::PortfolioState;
+use crate::risk_control::ChinaAShareRiskControl;
 use crate::scheduler::{
     ScheduleRule, ScheduleStage, ScheduleTimeRule, Scheduler, default_stage_time,
 };
@@ -433,6 +434,27 @@ struct PositionExpressionState {
     dividend_receivable: f64,
 }
 
+fn precomputed_stock_rolling_mean(
+    extra_factors: &BTreeMap<String, f64>,
+    field: &str,
+    lookback: usize,
+) -> Option<f64> {
+    let key = match (field.trim().to_ascii_lowercase().as_str(), lookback) {
+        ("close" | "prev_close" | "stock_close" | "price", 5) => "ma5_prev_close",
+        ("close" | "prev_close" | "stock_close" | "price", 10) => "ma10_prev_close",
+        ("close" | "prev_close" | "stock_close" | "price", 20) => "ma20_prev_close",
+        ("close" | "prev_close" | "stock_close" | "price", 30) => "ma30_prev_close",
+        ("volume" | "stock_volume", 5) => "avg_volume5",
+        ("volume" | "stock_volume", 20) => "avg_volume20",
+        ("volume" | "stock_volume", 60) => "avg_volume60",
+        _ => return None,
+    };
+    extra_factors
+        .get(key)
+        .copied()
+        .filter(|value| value.is_finite())
+}
+
 pub struct PlatformExprStrategy {
     config: PlatformExprStrategyConfig,
     engine: Engine,
@@ -795,12 +817,20 @@ impl PlatformExprStrategy {
         )
     }
 
-    fn price_is_at_limit(price: f64, limit: f64, tick: f64) -> bool {
+    fn price_is_at_or_above_upper_limit(price: f64, limit: f64, tick: f64) -> bool {
         if !price.is_finite() || !limit.is_finite() {
             return false;
         }
-        let tolerance = tick.abs().max(1e-6);
+        let tolerance = (tick.abs() * 0.5).max(1e-6);
-        (price - limit).abs() <= tolerance
+        price >= limit - tolerance
+    }
+
+    fn price_is_at_or_below_lower_limit(price: f64, limit: f64, tick: f64) -> bool {
+        if !price.is_finite() || !limit.is_finite() {
+            return false;
+        }
+        let tolerance = (tick.abs() * 0.5).max(1e-6);
+        price <= limit + tolerance
     }
 
     fn intraday_execution_start_time(&self) -> NaiveTime {
@@ -1485,46 +1515,75 @@ impl PlatformExprStrategy {
         let stock_ma_short = ctx
             .data
             .market_decision_close_moving_average(date, symbol, self.config.stock_short_ma_days)
+            .or_else(|| {
+                precomputed_stock_rolling_mean(
+                    &factor.extra_factors,
+                    "close",
+                    self.config.stock_short_ma_days,
+                )
+            })
             .unwrap_or(f64::NAN);
         let stock_ma_mid = ctx
             .data
             .market_decision_close_moving_average(date, symbol, self.config.stock_mid_ma_days)
+            .or_else(|| {
+                precomputed_stock_rolling_mean(
+                    &factor.extra_factors,
+                    "close",
+                    self.config.stock_mid_ma_days,
+                )
+            })
             .unwrap_or(f64::NAN);
         let stock_ma_long = ctx
             .data
             .market_decision_close_moving_average(date, symbol, self.config.stock_long_ma_days)
+            .or_else(|| {
+                precomputed_stock_rolling_mean(
+                    &factor.extra_factors,
+                    "close",
+                    self.config.stock_long_ma_days,
+                )
+            })
             .unwrap_or(f64::NAN);
         let stock_ma5 = ctx
             .data
             .market_decision_close_moving_average(date, symbol, 5)
+            .or_else(|| precomputed_stock_rolling_mean(&factor.extra_factors, "close", 5))
             .unwrap_or(f64::NAN);
         let stock_ma10 = ctx
             .data
             .market_decision_close_moving_average(date, symbol, 10)
+            .or_else(|| precomputed_stock_rolling_mean(&factor.extra_factors, "close", 10))
             .unwrap_or(f64::NAN);
         let stock_ma20 = ctx
             .data
             .market_decision_close_moving_average(date, symbol, 20)
+            .or_else(|| precomputed_stock_rolling_mean(&factor.extra_factors, "close", 20))
             .unwrap_or(f64::NAN);
         let stock_ma30 = ctx
             .data
             .market_decision_close_moving_average(date, symbol, 30)
+            .or_else(|| precomputed_stock_rolling_mean(&factor.extra_factors, "close", 30))
             .unwrap_or(f64::NAN);
         let stock_volume_ma5 = ctx
             .data
             .market_decision_volume_moving_average(date, symbol, 5)
+            .or_else(|| precomputed_stock_rolling_mean(&factor.extra_factors, "volume", 5))
             .unwrap_or(f64::NAN);
         let stock_volume_ma10 = ctx
             .data
             .market_decision_volume_moving_average(date, symbol, 10)
+            .or_else(|| precomputed_stock_rolling_mean(&factor.extra_factors, "volume", 10))
             .unwrap_or(f64::NAN);
         let stock_volume_ma20 = ctx
             .data
             .market_decision_volume_moving_average(date, symbol, 20)
+            .or_else(|| precomputed_stock_rolling_mean(&factor.extra_factors, "volume", 20))
             .unwrap_or(f64::NAN);
         let stock_volume_ma60 = ctx
             .data
             .market_decision_volume_moving_average(date, symbol, 60)
+            .or_else(|| precomputed_stock_rolling_mean(&factor.extra_factors, "volume", 60))
             .unwrap_or(f64::NAN);
         let touched_upper_limit = !market.paused
             && (market.is_at_upper_limit_price(market.close)
@@ -1903,10 +1962,16 @@ impl PlatformExprStrategy {
         );
         scope.push("day_factors", day_factors);
         if let Some(stock) = stock {
-            let at_upper_limit =
+            let at_upper_limit = Self::price_is_at_or_above_upper_limit(
-                Self::price_is_at_limit(stock.last, stock.upper_limit, stock.price_tick);
+                stock.last,
-            let at_lower_limit =
+                stock.upper_limit,
-                Self::price_is_at_limit(stock.last, stock.lower_limit, stock.price_tick);
+                stock.price_tick,
+            );
+            let at_lower_limit = Self::price_is_at_or_below_lower_limit(
+                stock.last,
+                stock.lower_limit,
+                stock.price_tick,
+            );
             scope.push("symbol", stock.symbol.clone());
             scope.push("market_cap", stock.market_cap);
             scope.push("free_float_cap", stock.free_float_cap);
@@ -3093,12 +3158,16 @@ impl PlatformExprStrategy {
                         "rolling_mean(\"{other}\", {lookback}) requires stock context"
                     ))
                 })?;
-                ctx.data.market_decision_numeric_moving_average(
+                ctx.data
+                    .market_decision_numeric_moving_average(
                         day.date,
                         &stock.symbol,
                         other,
                         lookback,
                     )
+                    .or_else(|| {
+                        precomputed_stock_rolling_mean(&stock.extra_factors, other, lookback)
+                    })
             }
         };
         value.ok_or_else(|| {
@@ -4581,10 +4650,13 @@ impl PlatformExprStrategy {
             let Some(market) = ctx.data.market(date, &factor.symbol) else {
                 continue;
             };
-            if market.paused && !self.config.aiquant_transaction_cost {
+            if self
+                .baseline_risk_rejection_reason(ctx, date, &factor.symbol, candidate, market)
+                .is_some()
+            {
                 continue;
             }
-            if !self.stock_passes_universe_exclude(candidate, market, false) {
+            if !self.stock_passes_universe_exclude(candidate, market) {
                 continue;
             }
             rows.push(EligibleUniverseSnapshot {
@@ -4602,17 +4674,32 @@ impl PlatformExprStrategy {
         rows
     }
 
+    fn baseline_risk_rejection_reason(
+        &self,
+        ctx: &StrategyContext<'_>,
+        date: NaiveDate,
+        symbol: &str,
+        candidate: &crate::data::CandidateEligibility,
+        market: &DailyMarketSnapshot,
+    ) -> Option<&'static str> {
+        ChinaAShareRiskControl::selection_rejection_reason(
+            date,
+            candidate,
+            market,
+            ctx.data.instrument(symbol),
+        )
+    }
+
     fn stock_passes_universe_exclude(
         &self,
         candidate: &crate::data::CandidateEligibility,
         market: &DailyMarketSnapshot,
-        has_special_name: bool,
     ) -> bool {
         let excludes = &self.config.universe_exclude;
         if excludes.iter().any(|item| item == "paused") && (market.paused || candidate.is_paused) {
             return false;
         }
-        if excludes.iter().any(|item| item == "st") && (candidate.is_st || has_special_name) {
+        if excludes.iter().any(|item| item == "st") && candidate.is_st {
             return false;
         }
         if excludes.iter().any(|item| item == "kcb") && candidate.is_kcb {
@@ -4754,12 +4841,18 @@ impl PlatformExprStrategy {
         let market = ctx.data.require_market(date, symbol)?;
         let candidate = ctx.data.require_candidate(date, symbol)?;
 
+        if let Some(reason) =
+            self.baseline_risk_rejection_reason(ctx, date, symbol, &candidate, &market)
+        {
+            return Ok(Some(reason.to_string()));
+        }
+
         let excludes = &self.config.universe_exclude;
         if excludes.iter().any(|item| item == "paused") && (market.paused || candidate.is_paused) {
             return Ok(Some("paused".to_string()));
         }
         if excludes.iter().any(|item| item == "st") && stock.is_st {
-            return Ok(Some("st_or_special_name".to_string()));
+            return Ok(Some("st".to_string()));
         }
         if excludes.iter().any(|item| item == "kcb") && candidate.is_kcb {
             return Ok(Some("kcb".to_string()));
@@ -5609,6 +5702,22 @@ mod tests {
         assert!(!rewritten.contains('?'));
     }
 
+    #[test]
+    fn platform_expr_limit_flags_are_directional() {
+        assert!(PlatformExprStrategy::price_is_at_or_above_upper_limit(
+            20.21, 17.60, 0.01
+        ));
+        assert!(!PlatformExprStrategy::price_is_at_or_above_upper_limit(
+            17.58, 17.60, 0.01
+        ));
+        assert!(PlatformExprStrategy::price_is_at_or_below_lower_limit(
+            14.39, 14.40, 0.01
+        ));
+        assert!(!PlatformExprStrategy::price_is_at_or_below_lower_limit(
+            14.42, 14.40, 0.01
+        ));
+    }
+
     #[test]
     fn platform_expr_rewrites_prelude_assignment_ternary() {
         let prelude = "let cap_low = sig_close <= 0 ? 7 : max(5, min(cap_low_raw, 70));";
@@ -6858,10 +6967,10 @@ mod tests {
             vec![CandidateEligibility {
                 date,
                 symbol: symbol.to_string(),
-                is_st: true,
+                is_st: false,
                 is_new_listing: false,
                 is_paused: false,
-                allow_buy: false,
+                allow_buy: true,
                 allow_sell: true,
                 is_kcb: false,
                 is_one_yuan: false,
@@ -6922,6 +7031,109 @@ mod tests {
         assert_eq!(rejection, None);
     }
 
+    #[test]
+    fn platform_strategy_baseline_risk_filter_cannot_be_disabled_by_empty_exclude() {
+        let date = d(2024, 12, 31);
+        let symbol = "002494.SZ";
+        let data = DataSet::from_components(
+            vec![Instrument {
+                symbol: symbol.to_string(),
+                name: symbol.to_string(),
+                board: "SZ".to_string(),
+                round_lot: 100,
+                listed_at: Some(d(2010, 1, 1)),
+                delisted_at: None,
+                status: "active".to_string(),
+            }],
+            vec![DailyMarketSnapshot {
+                date,
+                symbol: symbol.to_string(),
+                timestamp: Some("2024-12-31 09:33:00".to_string()),
+                day_open: 8.0,
+                open: 8.0,
+                high: 8.0,
+                low: 8.0,
+                close: 8.0,
+                last_price: 8.0,
+                bid1: 8.0,
+                ask1: 8.0,
+                prev_close: 8.0,
+                volume: 0,
+                tick_volume: 0,
+                bid1_volume: 0,
+                ask1_volume: 0,
+                trading_phase: Some("suspended".to_string()),
+                paused: true,
+                upper_limit: 8.8,
+                lower_limit: 7.2,
+                price_tick: 0.01,
+            }],
+            vec![DailyFactorSnapshot {
+                date,
+                symbol: symbol.to_string(),
+                market_cap_bn: 12.0,
+                free_float_cap_bn: 8.0,
+                pe_ttm: 10.0,
+                turnover_ratio: Some(0.0),
+                effective_turnover_ratio: Some(0.0),
+                extra_factors: BTreeMap::new(),
+            }],
+            vec![CandidateEligibility {
+                date,
+                symbol: symbol.to_string(),
+                is_st: false,
+                is_new_listing: false,
+                is_paused: true,
+                allow_buy: true,
+                allow_sell: true,
+                is_kcb: false,
+                is_one_yuan: false,
+            }],
+            vec![BenchmarkSnapshot {
+                date,
+                benchmark: "000852.SH".to_string(),
+                open: 1000.0,
+                close: 1002.0,
+                prev_close: 998.0,
+                volume: 1_000_000,
+            }],
+        )
+        .expect("dataset");
+        let portfolio = PortfolioState::new(1_000_000.0);
+        let subscriptions = BTreeSet::new();
+        let ctx = StrategyContext {
+            execution_date: date,
+            decision_date: date,
+            decision_index: 40,
+            data: &data,
+            portfolio: &portfolio,
+            futures_account: None,
+            open_orders: &[],
+            dynamic_universe: None,
+            subscriptions: &subscriptions,
+            process_events: &[],
+            active_process_event: None,
+            active_datetime: None,
+            order_events: &[],
+            fills: &[],
+        };
+        let mut cfg = PlatformExprStrategyConfig::microcap_rotation();
+        cfg.universe_exclude.clear();
+        cfg.aiquant_transaction_cost = true;
+        let strategy = PlatformExprStrategy::new(cfg);
+        let stock = strategy
+            .stock_state(&ctx, date, symbol)
+            .expect("stock state");
+
+        let rejection = strategy
+            .buy_rejection_reason(&ctx, date, symbol, &stock)
+            .expect("rejection");
+        let selected = strategy.selectable_universe_on(&ctx, date, date);
+
+        assert_eq!(rejection.as_deref(), Some("paused"));
+        assert!(selected.is_empty());
+    }
+
     fn sample_calendar() -> TradingCalendar {
         TradingCalendar::new(vec![
             d(2025, 1, 30),
@@ -7810,7 +8022,7 @@ mod tests {
     }
 
     #[test]
-    fn platform_strategy_honors_configured_universe_excludes_for_new_listings() {
+    fn platform_strategy_baseline_risk_excludes_new_listings_even_when_config_omits_it() {
         let date = d(2025, 2, 3);
         let symbols = ["301001.SZ", "000001.SZ"];
         let data = DataSet::from_components(
@@ -7949,10 +8161,14 @@ mod tests {
 
         let decision = strategy.on_day(&ctx).expect("platform decision");
 
-        assert!(decision.order_intents.iter().any(|intent| matches!(
+        assert!(!decision.order_intents.iter().any(|intent| matches!(
             intent,
             crate::strategy::OrderIntent::Value { symbol, .. } if symbol == "301001.SZ"
         )));
+        assert!(decision.order_intents.iter().any(|intent| matches!(
+            intent,
+            crate::strategy::OrderIntent::Value { symbol, .. } if symbol == "000001.SZ"
+        )));
     }
 
     #[test]

crates/fidc-core/src/risk_control.rs

@@ -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),
+        }
+    }
+}

crates/fidc-core/src/rules.rs

@@ -2,6 +2,7 @@ use chrono::NaiveDate;
 
 use crate::data::{CandidateEligibility, DailyMarketSnapshot, PriceField};
 use crate::portfolio::Position;
+use crate::risk_control::ChinaAShareRiskControl;
 
 #[derive(Debug, Clone)]
 pub struct RuleCheck {
@@ -47,20 +48,6 @@ pub trait EquityRuleHooks {
 #[derive(Debug, Clone, Default)]
 pub struct ChinaEquityRuleHooks;
 
-impl ChinaEquityRuleHooks {
-    fn at_upper_limit(snapshot: &DailyMarketSnapshot, price_field: PriceField) -> bool {
-        snapshot.is_at_upper_limit_price(snapshot.buy_price(price_field))
-    }
-
-    fn at_lower_limit(snapshot: &DailyMarketSnapshot, price_field: PriceField) -> bool {
-        let check_price = match price_field {
-            PriceField::Last => snapshot.price(PriceField::Last),
-            _ => snapshot.sell_price(price_field),
-        };
-        snapshot.is_at_lower_limit_price(check_price)
-    }
-}
-
 impl EquityRuleHooks for ChinaEquityRuleHooks {
     fn can_buy(
         &self,
@@ -69,14 +56,14 @@ impl EquityRuleHooks for ChinaEquityRuleHooks {
         candidate: &CandidateEligibility,
         price_field: PriceField,
     ) -> RuleCheck {
-        if snapshot.paused || candidate.is_paused {
+        if let Some(reason) = ChinaAShareRiskControl::buy_rejection_reason(
-            return RuleCheck::reject("paused");
+            _execution_date,
-        }
+            candidate,
-        if !candidate.allow_buy {
+            snapshot,
-            return RuleCheck::reject("buy disabled by eligibility flags");
+            None,
-        }
+            ChinaAShareRiskControl::buy_check_price(snapshot, price_field),
-        if Self::at_upper_limit(snapshot, price_field) {
+        ) {
-            return RuleCheck::reject("open at or above upper limit");
+            return RuleCheck::reject(reason);
         }
 
         RuleCheck::allow()
@@ -90,17 +77,15 @@ impl EquityRuleHooks for ChinaEquityRuleHooks {
         position: &Position,
         price_field: PriceField,
     ) -> RuleCheck {
-        if snapshot.paused || candidate.is_paused {
+        if let Some(reason) = ChinaAShareRiskControl::sell_rejection_reason(
-            return RuleCheck::reject("paused");
+            execution_date,
-        }
+            candidate,
-        if !candidate.allow_sell {
+            snapshot,
-            return RuleCheck::reject("sell disabled by eligibility flags");
+            None,
-        }
+            Some(position),
-        if Self::at_lower_limit(snapshot, price_field) {
+            ChinaAShareRiskControl::sell_check_price(snapshot, price_field),
-            return RuleCheck::reject("open at or below lower limit");
+        ) {
-        }
+            return RuleCheck::reject(reason);
-        if position.sellable_qty(execution_date) == 0 {
-            return RuleCheck::reject("t+1 sellable quantity is zero");
         }
 
         RuleCheck::allow()

crates/fidc-core/src/strategy.rs

@@ -17,6 +17,7 @@ use crate::events::{FillEvent, OrderEvent, OrderSide, OrderStatus, ProcessEvent}
 use crate::futures::{FuturesAccountState, FuturesOrderIntent};
 use crate::instrument::Instrument;
 use crate::portfolio::PortfolioState;
+use crate::risk_control::ChinaAShareRiskControl;
 use crate::scheduler::ScheduleRule;
 use crate::universe::{DynamicMarketCapBandSelector, SelectionContext, UniverseSelector};
 
@@ -2330,18 +2331,6 @@ impl OmniMicroCapStrategy {
         true
     }
 
-    fn special_name(&self, ctx: &StrategyContext<'_>, symbol: &str) -> bool {
-        let instrument_name = ctx
-            .data
-            .instruments()
-            .get(symbol)
-            .map(|instrument| instrument.name.as_str())
-            .unwrap_or("");
-        instrument_name.contains("ST")
-            || instrument_name.contains('*')
-            || instrument_name.contains('退')
-    }
-
     fn can_sell_position(&self, ctx: &StrategyContext<'_>, date: NaiveDate, symbol: &str) -> bool {
         let Some(position) = ctx.portfolio.position(symbol) else {
             return false;
@@ -2355,11 +2344,15 @@ impl OmniMicroCapStrategy {
         let Ok(candidate) = ctx.data.require_candidate(date, symbol) else {
             return false;
         };
-        let lower_limit_check_price = market.price(PriceField::Last);
+        ChinaAShareRiskControl::sell_rejection_reason(
-        !(market.paused
+            date,
-            || candidate.is_paused
+            candidate,
-            || !candidate.allow_sell
+            market,
-            || market.is_at_lower_limit_price(lower_limit_check_price))
+            ctx.data.instrument(symbol),
+            Some(position),
+            ChinaAShareRiskControl::sell_check_price(market, PriceField::Last),
+        )
+        .is_none()
     }
 
     fn buy_rejection_reason(
@@ -2371,25 +2364,14 @@ impl OmniMicroCapStrategy {
         let market = ctx.data.require_market(date, symbol)?;
         let candidate = ctx.data.require_candidate(date, symbol)?;
 
-        if market.paused || candidate.is_paused {
+        if let Some(reason) = ChinaAShareRiskControl::buy_rejection_reason(
-            return Ok(Some("paused".to_string()));
+            date,
-        }
+            candidate,
-        if candidate.is_st || self.special_name(ctx, symbol) {
+            market,
-            return Ok(Some("st_or_special_name".to_string()));
+            ctx.data.instrument(symbol),
-        }
+            ChinaAShareRiskControl::buy_check_price(market, PriceField::Last),
-        if candidate.is_kcb {
+        ) {
-            return Ok(Some("kcb".to_string()));
+            return Ok(Some(reason.to_string()));
-        }
-        if !candidate.allow_buy {
-            return Ok(Some("buy_disabled".to_string()));
-        }
-        if market.is_at_upper_limit_price(market.day_open)
-            || market.is_at_upper_limit_price(market.buy_price(PriceField::Last))
-        {
-            return Ok(Some("upper_limit".to_string()));
-        }
-        if market.day_open <= 1.0 {
-            return Ok(Some("one_yuan".to_string()));
         }
         if !self.truth_selection_contains(date, symbol)
             && !self.stock_passes_ma_filter(ctx, date, symbol)

crates/fidc-core/tests/corporate_actions.rs

@@ -300,7 +300,7 @@ fn engine_reinvests_dividend_receivable_in_round_lots() {
             PriceField::Open,
         ),
         BacktestConfig {
-            initial_cash: 11_005.0,
+            initial_cash: 11_008.0,
             benchmark_code: "000300.SH".to_string(),
             start_date: Some(buy_date),
             end_date: Some(payable_date),