补充目标仓位降仓回归测试

2026-07-12 16:44:39 +08:00
parent bacb70e327
commit 5f5f0fcf16
1 changed files with 116 additions and 0 deletions
@@ -7437,6 +7437,122 @@ mod tests {
        assert_eq!(portfolio.position("000001.SZ").unwrap().quantity, 500);
    }

+    #[test]
+    fn target_value_reduction_from_full_to_twenty_percent_sells_eighty_percent() {
+        let date = chrono::NaiveDate::from_ymd_opt(2025, 1, 2).expect("valid date");
+        let broker = BrokerSimulator::new_with_execution_price(
+            ChinaAShareCostModel::default(),
+            ChinaEquityRuleHooks,
+            PriceField::Open,
+        )
+        .with_matching_type(MatchingType::NextBarOpen)
+        .with_volume_limit(false)
+        .with_liquidity_limit(false)
+        .with_inactive_limit(false);
+        let mut snapshot = limit_test_snapshot();
+        snapshot.date = date;
+        snapshot.prev_close = 10.0;
+        snapshot.open = 10.0;
+        snapshot.close = 10.0;
+        let data = DataSet::from_components_with_actions_and_quotes(
+            vec![limit_test_instrument()],
+            vec![snapshot],
+            Vec::new(),
+            vec![limit_test_candidate(true, true)],
+            vec![limit_test_benchmark()],
+            Vec::new(),
+            Vec::new(),
+        )
+        .expect("valid dataset");
+        let mut portfolio = PortfolioState::new(100_000.0);
+        portfolio.position_mut("000001.SZ").buy(
+            date.pred_opt().expect("previous date"),
+            10_000,
+            10.0,
+        );
+        portfolio.apply_cash_delta(-100_000.0);
+        let mut report = BrokerExecutionReport::default();
+
+        broker
+            .process_target_value(
+                date,
+                &mut portfolio,
+                &data,
+                "000001.SZ",
+                20_000.0,
+                "target_value_20_percent",
+                &mut BTreeMap::new(),
+                &mut BTreeMap::new(),
+                &mut None,
+                &mut BTreeMap::new(),
+                &mut report,
+            )
+            .expect("target value reduction");
+
+        assert_eq!(report.fill_events.len(), 1);
+        assert_eq!(report.fill_events[0].side, OrderSide::Sell);
+        assert_eq!(report.fill_events[0].quantity, 8_000);
+        assert_eq!(portfolio.position("000001.SZ").unwrap().quantity, 2_000);
+    }
+
+    #[test]
+    fn target_percent_reduction_from_full_to_twenty_percent_sells_eighty_percent() {
+        let date = chrono::NaiveDate::from_ymd_opt(2025, 1, 2).expect("valid date");
+        let broker = BrokerSimulator::new_with_execution_price(
+            ChinaAShareCostModel::default(),
+            ChinaEquityRuleHooks,
+            PriceField::Open,
+        )
+        .with_matching_type(MatchingType::NextBarOpen)
+        .with_volume_limit(false)
+        .with_liquidity_limit(false)
+        .with_inactive_limit(false);
+        let mut snapshot = limit_test_snapshot();
+        snapshot.date = date;
+        snapshot.prev_close = 10.0;
+        snapshot.open = 10.0;
+        snapshot.close = 10.0;
+        let data = DataSet::from_components_with_actions_and_quotes(
+            vec![limit_test_instrument()],
+            vec![snapshot],
+            Vec::new(),
+            vec![limit_test_candidate(true, true)],
+            vec![limit_test_benchmark()],
+            Vec::new(),
+            Vec::new(),
+        )
+        .expect("valid dataset");
+        let mut portfolio = PortfolioState::new(100_000.0);
+        portfolio.position_mut("000001.SZ").buy(
+            date.pred_opt().expect("previous date"),
+            10_000,
+            10.0,
+        );
+        portfolio.apply_cash_delta(-100_000.0);
+        let mut report = BrokerExecutionReport::default();
+
+        broker
+            .process_target_percent(
+                date,
+                &mut portfolio,
+                &data,
+                "000001.SZ",
+                0.2,
+                "target_percent_20_percent",
+                &mut BTreeMap::new(),
+                &mut BTreeMap::new(),
+                &mut None,
+                &mut BTreeMap::new(),
+                &mut report,
+            )
+            .expect("target percent reduction");
+
+        assert_eq!(report.fill_events.len(), 1);
+        assert_eq!(report.fill_events[0].side, OrderSide::Sell);
+        assert_eq!(report.fill_events[0].quantity, 8_000);
+        assert_eq!(portfolio.position("000001.SZ").unwrap().quantity, 2_000);
+    }
+
    #[test]
    fn target_portfolio_smart_ignores_zero_weight_symbols_without_market_snapshot() {
        let date = chrono::NaiveDate::from_ymd_opt(2025, 1, 2).expect("valid date");