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修复执行价索引和平台表达式回退

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boris
2026-06-12 23:46:44 +08:00
parent 9b4462f880
commit 4cf90d83a3
5 changed files with 362 additions and 124 deletions
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crates/fidc-core/tests/delisting.rs
+6 -5
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@@ -43,7 +43,8 @@ impl Strategy for BuyThenHoldStrategy {
#[test]
fn engine_settles_delisted_position_before_missing_market_snapshot_breaks_run() {
let date1 = d(2025, 1, 2);
let date2 = d(2025, 1, 3);
let delist_date = d(2025, 1, 3);
let date2 = d(2025, 1, 6);
let data = DataSet::from_components(
vec![
Instrument {
@@ -52,8 +53,8 @@ fn engine_settles_delisted_position_before_missing_market_snapshot_breaks_run()
board: "SZ".to_string(),
round_lot: 100,
listed_at: Some(d(2020, 1, 1)),
delisted_at: Some(date1),
status: "delisted".to_string(),
delisted_at: Some(delist_date),
status: "active".to_string(),
},
Instrument {
symbol: "000002.SZ".to_string(),
@@ -115,7 +116,7 @@ fn engine_settles_delisted_position_before_missing_market_snapshot_breaks_run()
DailyMarketSnapshot {
date: date2,
symbol: "000002.SZ".to_string(),
timestamp: Some("2025-01-03 10:18:00".to_string()),
timestamp: Some("2025-01-06 10:18:00".to_string()),
day_open: 5.1,
open: 5.1,
high: 5.2,
@@ -273,7 +274,7 @@ fn engine_applies_successor_conversion_before_delisted_cash_settlement() {
round_lot: 100,
listed_at: Some(d(2020, 1, 1)),
delisted_at: Some(date2),
status: "delisted".to_string(),
status: "active".to_string(),
},
Instrument {
symbol: "000002.SZ".to_string(),