test(strategy): reject execution-day fallback for missing decision-day market

2026-09-13 05:59:38 +08:00
parent 5c65e65c6f
commit 3f39943ee4
1 changed files with 31 additions and 0 deletions
@@ -21251,6 +21251,37 @@ mod tests {
        assert_eq!(stock.market_cap, 8.0);
        assert_eq!(stock.market_cap_bn, 8.0);
        assert!(stock.touched_upper_limit);
+
+        let missing_feature_day = DataSet::from_components(
+            vec![data.instrument(symbol).unwrap().clone()],
+            data.market_snapshot_rows_on(date).to_vec(),
+            data.factor_snapshot_rows_on(factor_date).iter()
+                .chain(data.factor_snapshot_rows_on(date)).cloned().collect(),
+            data.candidate_snapshot_rows_on(date).to_vec(),
+            vec![data.benchmark(date).unwrap().clone()],
+        ).unwrap();
+        let gap_ctx = StrategyContext {data: &missing_feature_day, decision_date: factor_date, ..ctx};
+        let mut gap_config = PlatformExprStrategyConfig::generic();
+        gap_config.matching_type = MatchingType::NextBarOpen;
+        gap_config.stock_filter_expr = "close > 10.0".into();
+        let gap_strategy = PlatformExprStrategy::new(gap_config);
+        let indexed = gap_strategy.stock_state_with_factor_date(&gap_ctx, date, factor_date, symbol);
+        assert!(matches!(&indexed, Err(BacktestError::Data(crate::data::DataSetError::MissingSnapshot {
+            kind: "feature_market", date: missing_date, symbol: missing_symbol,
+        })) if *missing_date == factor_date && missing_symbol == symbol),
+            "missing decision-date OHLCV must not become execution-date values: {indexed:?}");
+        let execution_view = missing_feature_day.daily_snapshot_view(date);
+        let feature_view = missing_feature_day.daily_snapshot_view(factor_date);
+        let viewed = gap_strategy.uncached_selection_stock_state_from_views_by_symbol_id(
+            &gap_ctx, date, factor_date, missing_feature_day.symbol_id(symbol).unwrap(), symbol,
+            &execution_view, &feature_view,
+        );
+        assert!(matches!(&viewed, Err(BacktestError::Data(crate::data::DataSetError::MissingSnapshot {
+            kind: "feature_market", date: missing_date, ..
+        })) if *missing_date == factor_date), "daily views must preserve the same missing-date boundary: {viewed:?}");
+        assert!(gap_strategy.stock_state_cache.borrow().is_empty());
+        let same_day = gap_strategy.stock_state_with_factor_date(&gap_ctx, date, date, symbol).unwrap();
+        assert_eq!(same_day.close, 20.0);
    }

    #[test]