fix: value unavailable execution days without fills

2026-09-06 14:36:35 +08:00
parent f5de3a2c29
commit 630a7a16c9
1 changed files with 96 additions and 0 deletions
@@ -6700,6 +6700,15 @@ where
            if let Some(price) = prices.get(symbol).copied().filter(|price| *price > 0.0) {
                return Ok(price);
            }
+            if data.market(date, symbol).is_none()
+                && let Some(previous_date) = date.pred_opt()
+                && let Some(price) =
+                    data.price_on_or_before(previous_date, symbol, PriceField::Close)
+                && price.is_finite()
+                && price > 0.0
+            {
+                return Ok(price);
+            }
            return Err(BacktestError::MissingPrice {
                date,
                symbol: symbol.to_string(),
@@ -10348,6 +10357,93 @@ mod tests {
        );
    }

+    #[test]
+    fn target_portfolio_smart_uses_prior_close_only_for_missing_day_valuation() {
+        let trade_date = chrono::NaiveDate::from_ymd_opt(2025, 1, 2).expect("valid date");
+        let missing_date = chrono::NaiveDate::from_ymd_opt(2025, 1, 3).expect("valid date");
+        let symbol = "000001.SZ";
+        let data = DataSet::from_components_with_actions_and_quotes(
+            vec![limit_test_instrument()],
+            vec![limit_test_snapshot()],
+            Vec::new(),
+            vec![limit_test_candidate(true, true)],
+            vec![limit_test_benchmark()],
+            Vec::new(),
+            Vec::new(),
+        )
+        .expect("valid dataset");
+        let broker = BrokerSimulator::new_with_execution_price(
+            ChinaAShareCostModel::default(),
+            ChinaEquityRuleHooks,
+            PriceField::Open,
+        )
+        .with_volume_limit(false)
+        .with_liquidity_limit(false);
+        let mut portfolio = PortfolioState::new(100_000.0);
+        portfolio.position_mut(symbol).buy(trade_date, 1_000, 10.0);
+        let mut report = BrokerExecutionReport::default();
+
+        broker
+            .process_target_portfolio_smart(
+                missing_date,
+                &mut portfolio,
+                &data,
+                &BTreeMap::new(),
+                None,
+                Some(&BTreeMap::new()),
+                "target_portfolio_missing_execution_day",
+                &mut BTreeMap::new(),
+                &mut IntradayExecutionLedger::default(),
+                &mut None,
+                &mut BTreeMap::new(),
+                &mut report,
+            )
+            .expect("prior close may value the holding but must not execute the order");
+
+        assert_eq!(
+            portfolio.position(symbol).map(|position| position.quantity),
+            Some(1_000)
+        );
+        assert!(report.fill_events.is_empty());
+        assert!(report.order_events.iter().any(|event| {
+            event.symbol == symbol
+                && event.side == OrderSide::Sell
+                && event.status == OrderStatus::Rejected
+                && event.reason.contains("market snapshot is missing")
+        }));
+    }
+
+    #[test]
+    fn custom_valuation_missing_with_current_market_still_fails_closed() {
+        let date = chrono::NaiveDate::from_ymd_opt(2025, 1, 2).expect("valid date");
+        let data = DataSet::from_components_with_actions_and_quotes(
+            vec![limit_test_instrument()],
+            vec![limit_test_snapshot()],
+            Vec::new(),
+            vec![limit_test_candidate(true, true)],
+            vec![limit_test_benchmark()],
+            Vec::new(),
+            Vec::new(),
+        )
+        .expect("valid dataset");
+        let broker = BrokerSimulator::new_with_execution_price(
+            ChinaAShareCostModel::default(),
+            ChinaEquityRuleHooks,
+            PriceField::Open,
+        );
+
+        let error = broker
+            .rebalance_valuation_price_with_overrides(
+                date,
+                "000001.SZ",
+                &data,
+                Some(&BTreeMap::new()),
+            )
+            .expect_err("a present execution-day market row cannot use stale valuation fallback");
+
+        assert!(error.to_string().contains("custom valuation"));
+    }
+
    #[test]
    fn market_share_buy_skips_quantity_that_rounds_below_one_lot() {
        let date = chrono::NaiveDate::from_ymd_opt(2025, 1, 2).expect("valid date");