Clip portfolio targets before rebalance orders

crates/fidc-core/tests/explicit_order_flow.rs

@@ -306,6 +306,177 @@ fn broker_applies_tick_size_slippage_on_intraday_last_fills() {
     assert!((report.fill_events[0].price - 10.02).abs() < 1e-9);
 }
 
+#[test]
+fn rebalance_optimizer_skips_unfunded_buy_when_existing_position_cannot_sell() {
+    let prev_date = NaiveDate::from_ymd_opt(2024, 1, 9).unwrap();
+    let date = NaiveDate::from_ymd_opt(2024, 1, 10).unwrap();
+    let data = DataSet::from_components(
+        vec![
+            Instrument {
+                symbol: "000001.SZ".to_string(),
+                name: "Held".to_string(),
+                board: "SZ".to_string(),
+                round_lot: 100,
+                listed_at: None,
+                delisted_at: None,
+                status: "active".to_string(),
+            },
+            Instrument {
+                symbol: "000002.SZ".to_string(),
+                name: "Target".to_string(),
+                board: "SZ".to_string(),
+                round_lot: 100,
+                listed_at: None,
+                delisted_at: None,
+                status: "active".to_string(),
+            },
+        ],
+        vec![
+            DailyMarketSnapshot {
+                date,
+                symbol: "000001.SZ".to_string(),
+                timestamp: Some("2024-01-10 10:18:00".to_string()),
+                day_open: 10.0,
+                open: 10.0,
+                high: 10.0,
+                low: 9.5,
+                close: 9.8,
+                last_price: 9.8,
+                bid1: 9.79,
+                ask1: 9.81,
+                prev_close: 10.0,
+                volume: 100_000,
+                tick_volume: 100_000,
+                bid1_volume: 80_000,
+                ask1_volume: 80_000,
+                trading_phase: Some("continuous".to_string()),
+                paused: false,
+                upper_limit: 11.0,
+                lower_limit: 9.0,
+                price_tick: 0.01,
+            },
+            DailyMarketSnapshot {
+                date,
+                symbol: "000002.SZ".to_string(),
+                timestamp: Some("2024-01-10 10:18:00".to_string()),
+                day_open: 10.0,
+                open: 10.0,
+                high: 10.2,
+                low: 9.8,
+                close: 10.1,
+                last_price: 10.1,
+                bid1: 10.09,
+                ask1: 10.11,
+                prev_close: 10.0,
+                volume: 100_000,
+                tick_volume: 100_000,
+                bid1_volume: 80_000,
+                ask1_volume: 80_000,
+                trading_phase: Some("continuous".to_string()),
+                paused: false,
+                upper_limit: 11.0,
+                lower_limit: 9.0,
+                price_tick: 0.01,
+            },
+        ],
+        vec![
+            DailyFactorSnapshot {
+                date,
+                symbol: "000001.SZ".to_string(),
+                market_cap_bn: 50.0,
+                free_float_cap_bn: 45.0,
+                pe_ttm: 15.0,
+                turnover_ratio: Some(2.0),
+                effective_turnover_ratio: Some(1.8),
+                extra_factors: BTreeMap::new(),
+            },
+            DailyFactorSnapshot {
+                date,
+                symbol: "000002.SZ".to_string(),
+                market_cap_bn: 60.0,
+                free_float_cap_bn: 50.0,
+                pe_ttm: 18.0,
+                turnover_ratio: Some(2.0),
+                effective_turnover_ratio: Some(1.8),
+                extra_factors: BTreeMap::new(),
+            },
+        ],
+        vec![
+            CandidateEligibility {
+                date,
+                symbol: "000001.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,
+            },
+            CandidateEligibility {
+                date,
+                symbol: "000002.SZ".to_string(),
+                is_st: false,
+                is_new_listing: false,
+                is_paused: false,
+                allow_buy: true,
+                allow_sell: true,
+                is_kcb: false,
+                is_one_yuan: false,
+            },
+        ],
+        vec![BenchmarkSnapshot {
+            date,
+            benchmark: "000300.SH".to_string(),
+            open: 100.0,
+            close: 100.0,
+            prev_close: 99.0,
+            volume: 1_000_000,
+        }],
+    )
+    .expect("dataset");
+    let mut portfolio = PortfolioState::new(0.0);
+    portfolio
+        .position_mut("000001.SZ")
+        .buy(prev_date, 10_000, 10.0);
+    let broker = BrokerSimulator::new_with_execution_price(
+        ChinaAShareCostModel::default(),
+        ChinaEquityRuleHooks::default(),
+        PriceField::Open,
+    );
+
+    let report = broker
+        .execute(
+            date,
+            &mut portfolio,
+            &data,
+            &StrategyDecision {
+                rebalance: true,
+                target_weights: BTreeMap::from([("000002.SZ".to_string(), 1.0)]),
+                exit_symbols: BTreeSet::new(),
+                order_intents: Vec::new(),
+                notes: Vec::new(),
+                diagnostics: Vec::new(),
+            },
+        )
+        .expect("broker execution");
+
+    assert!(
+        report
+            .order_events
+            .iter()
+            .all(|event| !(event.symbol == "000002.SZ" && event.side == fidc_core::OrderSide::Buy)),
+        "optimizer should skip unfunded rebalance buy when locked holding cannot be sold"
+    );
+    assert_eq!(
+        portfolio
+            .position("000001.SZ")
+            .map(|position| position.quantity)
+            .unwrap_or(0),
+        10_000
+    );
+}
+
 #[test]
 fn broker_uses_instrument_round_lot_for_buy_sizing() {
     let date = NaiveDate::from_ymd_opt(2024, 1, 10).unwrap();