修复allow_sell执行风控开关

This commit is contained in:
boris
2026-07-04 03:31:30 +08:00
parent 3a66c90f34
commit 69576f7e5b
2 changed files with 66 additions and 5 deletions
+4 -1
View File
@@ -2295,7 +2295,10 @@ where
position: &crate::portfolio::Position, position: &crate::portfolio::Position,
algo_request: Option<&AlgoExecutionRequest>, algo_request: Option<&AlgoExecutionRequest>,
) -> RuleCheck { ) -> RuleCheck {
if !self.aiquant_execution_rules && !candidate.allow_sell { if self.risk_config.static_rules.respect_allow_buy_sell
&& !self.aiquant_execution_rules
&& !candidate.allow_sell
{
return RuleCheck::reject("sell_disabled"); return RuleCheck::reject("sell_disabled");
} }
let check_price = if self.aiquant_execution_rules { let check_price = if self.aiquant_execution_rules {
+62 -4
View File
@@ -3911,10 +3911,13 @@ fn execution_risk_rule_code(reason: &str) -> Option<&'static str> {
if normalized.contains("one_yuan") { if normalized.contains("one_yuan") {
return Some("one_yuan"); return Some("one_yuan");
} }
if normalized.contains("trade_disabled") if normalized.contains("buy_disabled") || normalized.contains("allow_buy") {
|| normalized.contains("allow_buy") return Some("buy_disabled");
|| normalized.contains("allow_sell") }
{ if normalized.contains("sell_disabled") || normalized.contains("allow_sell") {
return Some("sell_disabled");
}
if normalized.contains("trade_disabled") {
return Some("trade_disabled"); return Some("trade_disabled");
} }
if normalized.contains("no_volume") || normalized.contains("volume_limit") { if normalized.contains("no_volume") || normalized.contains("volume_limit") {
@@ -4921,6 +4924,61 @@ mod tests {
assert_round_trip_sell_canceled_with_reason(&result, "open at or below lower limit"); assert_round_trip_sell_canceled_with_reason(&result, "open at or below lower limit");
} }
#[test]
fn next_bar_open_sell_respects_allow_sell_policy_on_execution_day() {
let first = d(2025, 1, 2);
let second = d(2025, 1, 3);
let third = d(2025, 1, 6);
let fourth = d(2025, 1, 7);
let dataset = dataset_from_market_and_candidates(
vec![
market(first, 10.0, 10.5),
market(second, 11.0, 11.5),
market(third, 12.0, 12.5),
market(fourth, 12.0, 12.2),
],
vec![
candidate(first),
candidate(second),
candidate(third),
candidate_with_sell_state(fourth, false, false),
],
);
let rejected = run_scheduled_round_trip_next_open_with_dataset_and_broker(
dataset.clone(),
scheduled_next_open_broker(FidcRiskControlConfig::default()),
);
assert_round_trip_sell_canceled_with_reason(&rejected, "sell_disabled");
let execution_decision = rejected
.risk_decisions
.iter()
.find(|decision| {
decision.date == fourth
&& decision.symbol == SYMBOL
&& decision.scope == RiskCheckScope::Sell
&& decision.stage == "execution"
&& decision.rule_code == "sell_disabled"
&& !decision.accepted
})
.expect("execution-day sell_disabled rejection should be audited");
assert_eq!(execution_decision.order_id.as_deref(), Some("2"));
let mut relaxed_config = FidcRiskControlConfig::default();
relaxed_config.static_rules.respect_allow_buy_sell = false;
let relaxed = run_scheduled_round_trip_next_open_with_dataset_and_broker(
dataset,
scheduled_next_open_broker(relaxed_config),
);
let sell_fill = relaxed
.fills
.iter()
.find(|fill| fill.side == OrderSide::Sell)
.expect("sell should execute when allow_sell policy is disabled");
assert_eq!(sell_fill.date, fourth);
assert_eq!(sell_fill.price, 12.0);
}
#[test] #[test]
fn next_bar_open_sell_volume_limit_ignores_decision_day_zero_volume() { fn next_bar_open_sell_volume_limit_ignores_decision_day_zero_volume() {
let first = d(2025, 1, 2); let first = d(2025, 1, 2);