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 dbc71d1..9eeb958 100644 --- a/crates/fidc-core/src/platform_expr_strategy.rs +++ b/crates/fidc-core/src/platform_expr_strategy.rs @@ -3853,16 +3853,9 @@ 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( @@ -14013,16 +14006,10 @@ 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)? { @@ -14299,6 +14286,37 @@ 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/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。