优化回测撮合与涨跌停约束

2026-06-20 07:59:22 +08:00
parent 5ecb0e7986
commit 5e66e9799c
3 changed files with 863 additions and 83 deletions
@@ -111,9 +111,10 @@ impl ChinaAShareRiskControl {
        if market.paused || candidate.is_paused {
            return Some("paused");
        }
-        if !candidate.allow_sell {
-            return Some("sell_disabled");
-        }
+        // `allow_sell` is derived from the daily candidate snapshot and may
+        // reflect an open/close fallback rather than the actual execution tick.
+        // A sell order must be blocked by the execution price lower-limit check
+        // below, while suspension and delisting are handled above.
        if market.is_at_lower_limit_price(check_price) {
            return Some("open at or below lower limit");
        }
@@ -134,3 +135,98 @@ impl ChinaAShareRiskControl {
        }
    }
 }
+
+#[cfg(test)]
+mod tests {
+    use super::*;
+
+    fn d(year: i32, month: u32, day: u32) -> NaiveDate {
+        NaiveDate::from_ymd_opt(year, month, day).expect("valid date")
+    }
+
+    fn candidate(date: NaiveDate) -> CandidateEligibility {
+        CandidateEligibility {
+            date,
+            symbol: "002633.SZ".to_string(),
+            is_st: false,
+            is_new_listing: false,
+            is_paused: false,
+            allow_buy: true,
+            allow_sell: false,
+            is_kcb: false,
+            is_one_yuan: false,
+        }
+    }
+
+    fn market(date: NaiveDate, last_price: f64, lower_limit: f64) -> DailyMarketSnapshot {
+        DailyMarketSnapshot {
+            date,
+            symbol: "002633.SZ".to_string(),
+            timestamp: Some(format!("{date} 10:18:00")),
+            day_open: last_price,
+            open: last_price,
+            high: last_price,
+            low: last_price,
+            close: last_price,
+            last_price,
+            bid1: last_price,
+            ask1: last_price,
+            prev_close: 6.25,
+            volume: 1_000_000,
+            tick_volume: 10_000,
+            bid1_volume: 10_000,
+            ask1_volume: 10_000,
+            trading_phase: Some("continuous".to_string()),
+            paused: false,
+            upper_limit: 6.89,
+            lower_limit,
+            price_tick: 0.01,
+        }
+    }
+
+    fn position(prev_date: NaiveDate) -> Position {
+        let mut position = Position::new("002633.SZ");
+        position.buy(prev_date, 7_200, 8.48);
+        position
+    }
+
+    #[test]
+    fn sell_rejection_uses_execution_price_not_stale_allow_sell() {
+        let prev_date = d(2024, 4, 16);
+        let date = d(2024, 4, 17);
+        let candidate = candidate(date);
+        let market = market(date, 6.27, 5.63);
+        let position = position(prev_date);
+
+        let reason = ChinaAShareRiskControl::sell_rejection_reason(
+            date,
+            &candidate,
+            &market,
+            None,
+            Some(&position),
+            6.27,
+        );
+
+        assert_eq!(reason, None);
+    }
+
+    #[test]
+    fn sell_rejection_blocks_execution_price_at_lower_limit() {
+        let prev_date = d(2024, 4, 16);
+        let date = d(2024, 4, 17);
+        let candidate = candidate(date);
+        let market = market(date, 5.63, 5.63);
+        let position = position(prev_date);
+
+        let reason = ChinaAShareRiskControl::sell_rejection_reason(
+            date,
+            &candidate,
+            &market,
+            None,
+            Some(&position),
+            5.63,
+        );
+
+        assert_eq!(reason, Some("open at or below lower limit"));
+    }
+}