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修复Platform选股阶段风控语义

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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
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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 {
continue;
};
if !ctx.is_lagged_execution() {
if let Some(reason) = self.selection_risk_rejection_reason(
ctx,
date,
&factor.symbol,
candidate,
market,
) {
if !(defer_limit_state_selection_risk
&& matches!(reason, "upper_limit" | "lower_limit"))
{
continue;
}
if let Some(reason) =
self.selection_risk_rejection_reason(ctx, date, &factor.symbol, candidate, market)
{
if !(defer_limit_state_selection_risk
&& matches!(reason, "upper_limit" | "lower_limit"))
{
continue;
}
}
if !self.stock_passes_universe_exclude(candidate, market) {
@@ -5991,9 +5985,6 @@ impl PlatformExprStrategy {
date: NaiveDate,
factor_date: NaiveDate,
) -> Vec<FidcRiskDecisionAudit> {
if ctx.is_lagged_execution() {
return Vec::new();
}
let mut decisions = Vec::new();
for factor in ctx.data.factor_snapshots_on(factor_date) {
if ctx.has_dynamic_universe() && !ctx.dynamic_universe_contains(&factor.symbol) {
@@ -14636,7 +14627,7 @@ mod tests {
}
#[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 decision_date = d(2023, 11, 13);
let execution_date = d(2023, 11, 14);
@@ -14805,7 +14796,7 @@ mod tests {
decision
.diagnostics
.iter()
.any(|item| item == "selected_symbols=600462.SH"),
.any(|item| item == "selected_symbols="),
"{:?}",
decision.diagnostics
);
@@ -14813,20 +14804,20 @@ mod tests {
decision
.diagnostics
.iter()
.all(|item| !item.contains("600462.SH rejected by")),
.any(|item| item.contains("risk_decisions selection_total=1 by_rule=paused:1")),
"{:?}",
decision.diagnostics
);
assert!(
decision.order_intents.iter().any(|intent| match intent {
OrderIntent::Shares {
symbol, quantity, ..
} => symbol == candidate_symbol && *quantity > 0,
OrderIntent::Value { symbol, value, .. } => {
symbol == candidate_symbol && *value > 0.0
}
_ => false,
}),
decision.order_intents.iter().all(|intent| !matches!(
intent,
OrderIntent::Shares { symbol, quantity, .. }
if symbol == candidate_symbol && *quantity > 0
) && !matches!(
intent,
OrderIntent::Value { symbol, value, .. }
if symbol == candidate_symbol && *value > 0.0
)),
"{:?}",
decision.order_intents
);