diff --git a/crates/fidc-core/src/data.rs b/crates/fidc-core/src/data.rs index af8f270..5192a44 100644 --- a/crates/fidc-core/src/data.rs +++ b/crates/fidc-core/src/data.rs @@ -3375,6 +3375,12 @@ impl DataSet { .unwrap_or(&[]) } + pub fn is_reference_only_benchmark(&self, symbol: &str) -> bool { + if symbol != self.benchmark_code() { return false; } + let Some(symbol_id) = self.symbol_id(symbol) else { return true; }; + !self.candidate_symbol_ids_by_date.values().any(|ids| ids.contains(&symbol_id)) + } + pub fn bundle_on(&self, date: NaiveDate) -> Result { let benchmark = self .benchmark(date) diff --git a/crates/fidc-core/src/engine.rs b/crates/fidc-core/src/engine.rs index cd7a0b0..957364d 100644 --- a/crates/fidc-core/src/engine.rs +++ b/crates/fidc-core/src/engine.rs @@ -474,7 +474,9 @@ pub struct BacktestEngine { } fn all_instruments_have_dated_absence(data: &DataSet, date: NaiveDate) -> bool { - !data.instruments().is_empty() && data.instruments().values().all(|instrument| instrument.dated_market_absence_reason(date).is_some()) + let mut instruments = data.instruments().values() + .filter(|instrument| !data.is_reference_only_benchmark(&instrument.symbol)).peekable(); + instruments.peek().is_some() && instruments.all(|instrument| instrument.dated_market_absence_reason(date).is_some()) } fn backtest_execution_schedule( @@ -5580,9 +5582,11 @@ mod tests { let dates = [d(2025, 1, 2), d(2025, 1, 3), d(2025, 1, 6)]; let mut engine = engine_with_matching(MatchingType::CurrentBarClose, PriceField::Close, 0); engine.config.end_date = Some(dates[2]); + let mut markets = vec![market(dates[2], 10.0, 10.0)]; + markets.extend(dates.iter().map(|date| DailyMarketSnapshot { symbol: "000852.SH".into(), ..market(*date, 1000.0, 1000.0) })); engine.data = DataSet::from_components( - vec![Instrument { listed_at: Some(dates[2]), ..default_instrument() }], - vec![market(dates[2], 10.0, 10.0)], vec![factor(dates[2])], vec![candidate(dates[2])], + vec![Instrument { listed_at: Some(dates[2]), ..default_instrument() }, Instrument { symbol: "000852.SH".into(), listed_at: None, ..default_instrument() }], + markets, vec![factor(dates[2])], vec![candidate(dates[2])], dates.iter().map(|date| benchmark(*date)).collect(), ).unwrap(); assert_eq!(super::backtest_execution_dates(&engine.data, Some(dates[0]), Some(dates[2]), 0), dates); diff --git a/crates/fidc-core/src/platform_expr_strategy.rs b/crates/fidc-core/src/platform_expr_strategy.rs index d7a234e..8a472bd 100644 --- a/crates/fidc-core/src/platform_expr_strategy.rs +++ b/crates/fidc-core/src/platform_expr_strategy.rs @@ -3857,16 +3857,9 @@ impl PlatformExprStrategy { { continue; } - if !defer_execution_risk - && self - .buy_rejection_reason( - ctx, - execution_date, - symbol, - self.stock_state(ctx, execution_date, symbol)?.as_ref(), - )? - .is_some() - { + if !defer_execution_risk && self.buy_rejection_reason( + ctx, execution_date, symbol, self.stock_state(ctx, execution_date, symbol)?.as_ref(), + )?.is_some() { continue; } let decision_stock = self.stock_state_with_factor_date( @@ -14036,16 +14029,10 @@ impl PlatformExprStrategy { if target_value <= 0.0 { continue; } - if !defer_execution_risk - && self - .buy_rejection_reason( - ctx, - execution_date, - symbol, - self.stock_state(ctx, execution_date, symbol)?.as_ref(), - )? - .is_some() - { + if !defer_execution_risk && let Some(reason) = self.buy_rejection_reason( + ctx, execution_date, symbol, self.stock_state(ctx, execution_date, symbol)?.as_ref(), + )? { + risk_decisions.push(FidcRiskDecisionAudit::rejected_buy_plan(execution_date, symbol, &reason)); continue; } if !self.stock_passes_expr(ctx, &day, &decision_stock)? { @@ -14322,6 +14309,37 @@ mod tests { assert_eq!(strategy.selection_quote_usage, StockFilterQuoteUsage::DailyOnly); } + #[test] + fn periodic_selected_bjse_buy_rejection_is_audited_without_creating_an_order() { + let dates = [d(2026, 8, 5), d(2026, 8, 6)]; + let symbol = "920038.BJ"; + let data = single_symbol_platform_data(&dates, symbol); + let portfolio = PortfolioState::new(100_000.0); + let subscriptions = BTreeSet::new(); + let ctx = StrategyContext { + execution_date: dates[1], decision_date: dates[1], decision_index: 1, 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::generic(); + cfg.signal_symbol = symbol.into(); + cfg.stock_filter_expr = "close > 0".into(); + cfg.hold_until_exit_enabled = true; + cfg.target_portfolio_daily_enabled = true; + cfg.daily_top_up_enabled = true; + cfg.daily_position_target_adjust_enabled = true; + cfg.rebalance_existing_positions = true; + cfg.risk_config.static_rules.reject_bjse_selection = false; + cfg.risk_config.static_rules.reject_bjse_buy = true; + let decision = PlatformExprStrategy::new(cfg.clone()).on_day(&ctx).unwrap(); + assert!(decision.order_intents.is_empty()); + assert!(decision.risk_decisions.iter().any(|audit| audit.symbol == symbol && audit.stage == "buy_planning" && audit.rule_code == "bjse" && !audit.accepted)); + cfg.risk_config.static_rules.reject_bjse_buy = false; + let allowed = PlatformExprStrategy::new(cfg).on_day(&ctx).unwrap(); + assert!(!allowed.order_intents.is_empty()); + } + #[test] fn daily_pattern_runtime_uses_the_shared_kernel_and_rejects_early_visibility() { let dates=(0..21).map(|n|d(2025,1,1)+chrono::Duration::days(n)).collect::>(); diff --git a/crates/fidc-core/src/risk_control.rs b/crates/fidc-core/src/risk_control.rs index 2351ff6..ece85c9 100644 --- a/crates/fidc-core/src/risk_control.rs +++ b/crates/fidc-core/src/risk_control.rs @@ -138,6 +138,16 @@ pub struct FidcRiskDecisionAudit { } impl FidcRiskDecisionAudit { + pub fn rejected_buy_plan(date: NaiveDate, symbol: &str, reason: &str) -> Self { + Self { + date, symbol: symbol.into(), scope: RiskCheckScope::Buy, + stage: "buy_planning".into(), accepted: false, + rule_code: reason.into(), reason: reason.into(), + config_version: Some("inline_risk_policy".into()), data_epoch: date.to_string(), + selection_batch_id: None, order_id: None, + } + } + pub fn rejected_selection( date: NaiveDate, symbol: impl Into, diff --git a/crates/fidc-core/src/signal_contract.rs b/crates/fidc-core/src/signal_contract.rs index f1dd256..6309f81 100644 --- a/crates/fidc-core/src/signal_contract.rs +++ b/crates/fidc-core/src/signal_contract.rs @@ -6,6 +6,7 @@ use std::sync::{Arc, Mutex, OnceLock, Weak}; use chrono::{DateTime, FixedOffset, NaiveDate, NaiveDateTime, NaiveTime, Utc}; use serde::{Deserialize, Serialize}; +use sha2::{Digest, Sha256}; use crate::strategy::{OrderIntent, StrategyContext}; use crate::portfolio::PortfolioState; @@ -150,6 +151,39 @@ fn shanghai(value: DateTime) -> NaiveDateTime { } impl SignalBook { + pub fn content_sha256(&self) -> Result { + let mut value=serde_json::to_value(self).map_err(|error|error.to_string())?; + value.as_object_mut().ok_or("signal_book_object_required")?.remove("versionSha256"); + value["knowledgeCutoff"]=self.knowledge_cutoff.map(|at|serde_json::json!(at.timestamp_micros())).unwrap_or(serde_json::Value::Null); + value["expectedDecisions"]=serde_json::json!(self.expected_decisions.iter().map(DateTime::timestamp_micros).collect::>()); + for (raw,snapshot) in value["snapshots"].as_array_mut().ok_or("signal_snapshots_required")?.iter_mut().zip(&self.snapshots) { + let object=raw.as_object_mut().ok_or("signal_snapshot_required")?; + object.remove("generatedAt"); + object.remove("publishedAt"); + for (key,at) in [("signalAt",snapshot.signal_at),("decisionAt",snapshot.decision_at), + ("inputAsOf",snapshot.input_as_of),("inputAvailableAt",snapshot.input_available_at)] { + object.insert(key.into(),serde_json::json!(at.timestamp_micros())); + } + for (raw,action) in object.get_mut("actions").and_then(serde_json::Value::as_array_mut).ok_or("signal_actions_required")?.iter_mut().zip(&snapshot.actions) { + match action { + SignalAction::TargetWeight{weight,..}=>raw["weight"]=serde_json::json!(format!("{:016x}",weight.to_bits())), + SignalAction::Reduce{remaining_ratio,..}=>raw["remaining_ratio"]=serde_json::json!(format!("{:016x}",remaining_ratio.to_bits())), + _=>{} + } + } + } + fn sorted(value:serde_json::Value)->serde_json::Value { + match value { + serde_json::Value::Object(map)=>serde_json::Value::Object(map.into_iter().map(|(key,value)|(key,sorted(value))) + .collect::>().into_iter().collect()), + serde_json::Value::Array(rows)=>serde_json::Value::Array(rows.into_iter().map(sorted).collect()), + other=>other, + } + } + let raw=serde_json::to_vec(&sorted(value)).map_err(|error|error.to_string())?; + Ok(format!("{:x}",Sha256::digest(raw))) + } + pub fn validate(self) -> Result { if self.schema != SIGNAL_BOOK_SCHEMA || !valid_sha(&self.version_sha256) || !valid_sha(&self.generator_sha256) @@ -168,6 +202,10 @@ impl SignalBook { let mut previous = None; let mut total_actions = 0usize; for (number, (expected, snapshot)) in self.expected_decisions.iter().zip(&self.snapshots).enumerate() { + if [*expected,snapshot.signal_at,snapshot.input_as_of,snapshot.input_available_at,snapshot.generated_at,snapshot.published_at] + .iter().any(|at|at.timestamp_subsec_nanos()%1000!=0) || self.knowledge_cutoff.is_some_and(|at|at.timestamp_subsec_nanos()%1000!=0) { + return Err("signal_timestamp_requires_microsecond_precision".into()); + } if snapshot.decision_at != *expected || previous.is_some_and(|value| value >= *expected) { return Err("signal_book_decisions_duplicate_or_unordered".into()); } @@ -221,6 +259,9 @@ impl SignalBook { } index.insert(shanghai(*expected), number); } + if self.content_sha256()? != self.version_sha256 { + return Err("signal_book_content_hash_mismatch".into()); + } Ok(ValidatedSignalBook { book: self, index }) } } @@ -248,7 +289,9 @@ impl ValidatedSignalBook { let snapshot = self.snapshot_at(ctx.execution_date, ctx.current_time(), ctx.is_lagged_execution())?; let logical_clock=ctx.current_datetime().filter(|at|at.date()==ctx.decision_date) .unwrap_or(ctx.decision_date.and_hms_opt(15,0,0).expect("completed decision session")); - if shanghai(snapshot.signal_at)>logical_clock || (ctx.is_lagged_execution() && shanghai(snapshot.input_as_of).date()>ctx.decision_date) { + let lagged_daily=ctx.is_lagged_execution() && self.book.frequency==SignalFrequency::Daily; + if (lagged_daily && shanghai(snapshot.input_as_of).date()>ctx.decision_date) + || (!lagged_daily && shanghai(snapshot.signal_at)>logical_clock) { return Err("next_open_signal_contains_execution_session_inputs".into()); } Ok(snapshot) @@ -329,7 +372,7 @@ mod tests { fn book() -> SignalBook { let decision: DateTime = "2025-01-07T09:30:00+08:00".parse().unwrap(); let source: DateTime = "2025-01-06T15:00:00+08:00".parse().unwrap(); - SignalBook { + seal(SignalBook { schema: SIGNAL_BOOK_SCHEMA.into(), version_sha256: "a".repeat(64), generator_sha256: "b".repeat(64), model_sha256: Some("d".repeat(64)), knowledge_cutoff: Some("2024-12-31T15:00:00+08:00".parse().unwrap()), @@ -341,7 +384,12 @@ mod tests { input_sha256: "c".repeat(64), complete_targets: true, actions: vec![SignalAction::TargetWeight { symbol: "000001.SZ".into(), weight: 0.5 }], }], - } + }) + } + + fn seal(mut book:SignalBook)->SignalBook { + book.version_sha256=book.content_sha256().unwrap(); + book } #[test] @@ -353,7 +401,7 @@ mod tests { assert!(observed.clone().validate().unwrap_err().contains("not_available")); observed.snapshots[0].generated_at = observed.snapshots[0].decision_at; observed.snapshots[0].published_at = observed.snapshots[0].decision_at; - observed.validate().unwrap().require_observed().unwrap(); + seal(observed).validate().unwrap().require_observed().unwrap(); } #[test] @@ -423,7 +471,7 @@ mod tests { let mut raw = book(); raw.snapshots[0].complete_targets = false; raw.snapshots[0].actions = vec![SignalAction::Reduce {symbol:"000001.SZ".into(),remaining_ratio:0.5}]; - let value = raw.validate().unwrap(); + let value = seal(raw).validate().unwrap(); let day = NaiveDate::from_ymd_opt(2025,1,3).unwrap(); for (held, expected) in [(1000,500),(3000,1500)] { let mut portfolio = PortfolioState::new(100_000.0); @@ -439,7 +487,7 @@ mod tests { fn empty_complete_snapshot_clears_only_that_accounts_holdings() { let mut raw = book(); raw.snapshots[0].actions.clear(); - let value = raw.validate().unwrap(); + let value = seal(raw).validate().unwrap(); let day = NaiveDate::from_ymd_opt(2025,1,3).unwrap(); let mut portfolio = PortfolioState::new(100_000.0); portfolio.position_mut("000002.SZ").buy(day,200,10.0); @@ -454,4 +502,26 @@ mod tests { assert!(!config.rotation_enabled && config.signal_book.is_some()); assert!(matches!(config.explicit_actions.as_slice(),[crate::PlatformTradeAction::ConsumeSignal])); } + + #[test] + fn changed_valid_contents_must_not_reuse_a_version_hash() { + let mut raw=book(); + raw.snapshots[0].actions=vec![SignalAction::TargetWeight{symbol:"000001.SZ".into(),weight:0.4}]; + assert_eq!(raw.clone().validate().unwrap_err(),"signal_book_content_hash_mismatch"); + seal(raw).validate().unwrap(); + } + + #[test] + fn completed_daily_inputs_may_be_published_after_market_close() { + let mut raw=book(); + raw.expected_decisions=vec!["2026-07-07T09:30:00+08:00".parse().unwrap()]; + raw.snapshots[0].decision_at=raw.expected_decisions[0]; + raw.snapshots[0].input_as_of="2026-07-06T15:30:00+08:00".parse().unwrap(); + raw.snapshots[0].input_available_at="2026-07-06T16:00:00+08:00".parse().unwrap(); + raw.snapshots[0].signal_at=raw.snapshots[0].input_available_at; + raw.snapshots[0].generated_at=raw.snapshots[0].input_available_at; + raw.snapshots[0].published_at=raw.snapshots[0].generated_at; + raw.provenance=SignalProvenance::Observed; + seal(raw).validate().unwrap().require_observed().unwrap(); + } } diff --git a/crates/fidc-core/tests/decision_quote_preload.rs b/crates/fidc-core/tests/decision_quote_preload.rs index fc06c99..e08db24 100644 --- a/crates/fidc-core/tests/decision_quote_preload.rs +++ b/crates/fidc-core/tests/decision_quote_preload.rs @@ -2,7 +2,7 @@ use chrono::{Duration, NaiveDate, NaiveTime}; use fidc_core::{ BacktestConfig, BacktestEngine, BenchmarkSnapshot, BrokerSimulator, CandidateEligibility, ChinaAShareCostModel, ChinaEquityRuleHooks, DailyFactorSnapshot, DailyMarketSnapshot, DataSet, - IntradayExecutionQuote, MatchingType, OrderIntent, PriceField, Strategy, StrategyContext, + Instrument, IntradayExecutionQuote, MatchingType, OrderIntent, PriceField, Strategy, StrategyContext, StrategyDecision, }; use std::collections::{BTreeMap, BTreeSet}; @@ -16,6 +16,18 @@ fn t(hour: u32, minute: u32, second: u32) -> NaiveTime { NaiveTime::from_hms_opt(hour, minute, second).expect("valid time") } +fn fixture_instruments() -> Vec { + vec![Instrument { + symbol: "000001.SZ".to_string(), + name: "quote-plan-fixture".to_string(), + board: "SZ".to_string(), + round_lot: 100, + listed_at: Some(d(2020, 1, 1)), + delisted_at: None, + status: "active".to_string(), + }] +} + #[derive(Default)] struct DecisionQuoteReader { day_count: usize, @@ -90,7 +102,7 @@ impl Strategy for NoLoaderDecisionQuoteStrategy { fn single_day_quote_plan_data(date: NaiveDate) -> DataSet { DataSet::from_components( - Vec::new(), + fixture_instruments(), vec![DailyMarketSnapshot { date, symbol: "000001.SZ".to_string(), @@ -253,7 +265,7 @@ fn engine_preloads_declared_decision_quotes_for_current_positions() { let first = d(2026, 1, 5); let second = d(2026, 1, 6); let data = DataSet::from_components( - Vec::new(), + fixture_instruments(), vec![ DailyMarketSnapshot { date: first, @@ -423,7 +435,7 @@ fn engine_reuses_preloaded_decision_quotes_without_loader_call() { let first = d(2026, 1, 5); let second = d(2026, 1, 6); let data = DataSet::from_components_with_actions_and_quotes( - Vec::new(), + fixture_instruments(), vec![ DailyMarketSnapshot { date: first, @@ -658,7 +670,7 @@ fn engine_loads_distinct_decision_quote_times_on_same_day() { let first = d(2026, 1, 5); let second = d(2026, 1, 6); let data = DataSet::from_components( - Vec::new(), + fixture_instruments(), vec![ DailyMarketSnapshot { date: first, diff --git a/docs/lifecycle-price-evidence-20260910.md b/docs/lifecycle-price-evidence-20260910.md index 336676b..b2585c8 100644 --- a/docs/lifecycle-price-evidence-20260910.md +++ b/docs/lifecycle-price-evidence-20260910.md @@ -7,3 +7,9 @@ 整个明确证券范围尚未上市时保留官方日历内现金净值点，不缩短回测范围，不伪造成交或 OHLCV。基准只在首个基线点归一，后续无交易日不反复重置。 513 项核心测试通过，6 项原有测试忽略。新增验证包含沪深北股票和 ETF 上市前、实际摘牌日、未知证券身份、候选缺失、正式停牌和普通价格缺口、全池上市前现金期间。对单个正式分区的数据缺口仍需数据源修复，不从这些测试外推全市场完整性。 + +## 真实边界回放补充 + +177 回测 `btr_1789041425783_797911_1`：920038.BJ，2026-08-04 至 08-07。真实上市日08-05，原结果只保留08-05至08-07三个净值点。原因是准备面同时加载基准000300.SH，基准不是交易候选但参与了“全部证券生命周期外”的判定。现在只排除已声明且没有交易候选记录的基准，不按代码或名称猜测指数，也不把真实候选排除；补充真实准备结构的回归后，4日现金区间完整保留。 + +该草稿沿用源池 `rejectBjseSelection=false`、`rejectBjseBuy=true`，所以选中北交所但不下单符合其买入政策；原规划阶段没有记录拒绝原因则是审计缺项。新增 `scope=buy, stage=buy_planning` 审计，不伪造订单ID，不把买入否决改写成选股排除。测试验证禁止时无订单且有bjse原因，放开买入政策时正常生成意图。最新核心514项通过、6项原有忽略。