zsb/fidc-backtest-engine
1
0
Fork 0
Code Issues Pull Requests Packages Projects Releases Wiki Activity

修复Platform选股阶段风控语义

Browse Source
This commit is contained in:
boris
2026-07-05 02:49:53 +08:00
parent 9aa156eb2a
commit 3e4270729b
1 changed files with 19 additions and 28 deletions
Download Patch File Download Diff File Expand all files Collapse all files
crates/fidc-core/src/platform_expr_strategy.rs
+19 -28
View File
@@ -5947,19 +5947,13 @@ impl PlatformExprStrategy {
let Some(market) = ctx.data.market(date, &factor.symbol) else { let Some(market) = ctx.data.market(date, &factor.symbol) else {
continue; continue;
}; };
if !ctx.is_lagged_execution() { if let Some(reason) =
if let Some(reason) = self.selection_risk_rejection_reason( self.selection_risk_rejection_reason(ctx, date, &factor.symbol, candidate, market)
ctx, {
date, if !(defer_limit_state_selection_risk
&factor.symbol, && matches!(reason, "upper_limit" | "lower_limit"))
candidate, {
market, continue;
) {
if !(defer_limit_state_selection_risk
&& matches!(reason, "upper_limit" | "lower_limit"))
{
continue;
}
} }
} }
if !self.stock_passes_universe_exclude(candidate, market) { if !self.stock_passes_universe_exclude(candidate, market) {
@@ -5991,9 +5985,6 @@ impl PlatformExprStrategy {
date: NaiveDate, date: NaiveDate,
factor_date: NaiveDate, factor_date: NaiveDate,
) -> Vec<FidcRiskDecisionAudit> { ) -> Vec<FidcRiskDecisionAudit> {
if ctx.is_lagged_execution() {
return Vec::new();
}
let mut decisions = Vec::new(); let mut decisions = Vec::new();
for factor in ctx.data.factor_snapshots_on(factor_date) { for factor in ctx.data.factor_snapshots_on(factor_date) {
if ctx.has_dynamic_universe() && !ctx.dynamic_universe_contains(&factor.symbol) { if ctx.has_dynamic_universe() && !ctx.dynamic_universe_contains(&factor.symbol) {
@@ -14636,7 +14627,7 @@ mod tests {
} }
#[test] #[test]
fn platform_next_open_selection_ignores_decision_day_static_risk_state() { fn platform_next_open_selection_applies_decision_day_static_risk_state() {
let factor_date = d(2023, 11, 10); let factor_date = d(2023, 11, 10);
let decision_date = d(2023, 11, 13); let decision_date = d(2023, 11, 13);
let execution_date = d(2023, 11, 14); let execution_date = d(2023, 11, 14);
@@ -14805,7 +14796,7 @@ mod tests {
decision decision
.diagnostics .diagnostics
.iter() .iter()
.any(|item| item == "selected_symbols=600462.SH"), .any(|item| item == "selected_symbols="),
"{:?}", "{:?}",
decision.diagnostics decision.diagnostics
); );
@@ -14813,20 +14804,20 @@ mod tests {
decision decision
.diagnostics .diagnostics
.iter() .iter()
.all(|item| !item.contains("600462.SH rejected by")), .any(|item| item.contains("risk_decisions selection_total=1 by_rule=paused:1")),
"{:?}", "{:?}",
decision.diagnostics decision.diagnostics
); );
assert!( assert!(
decision.order_intents.iter().any(|intent| match intent { decision.order_intents.iter().all(|intent| !matches!(
OrderIntent::Shares { intent,
symbol, quantity, .. OrderIntent::Shares { symbol, quantity, .. }
} => symbol == candidate_symbol && *quantity > 0, if symbol == candidate_symbol && *quantity > 0
OrderIntent::Value { symbol, value, .. } => { ) && !matches!(
symbol == candidate_symbol && *value > 0.0 intent,
} OrderIntent::Value { symbol, value, .. }
_ => false, if symbol == candidate_symbol && *value > 0.0
}), )),
"{:?}", "{:?}",
decision.order_intents decision.order_intents
); );