Allow jq sells when snapshot last stays above limit

This commit is contained in:
boris
2026-04-21 18:59:48 -07:00
parent 20af824545
commit 6c353d5441
3 changed files with 42 additions and 2 deletions

View File

@@ -53,7 +53,11 @@ impl ChinaEquityRuleHooks {
} }
fn at_lower_limit(snapshot: &DailyMarketSnapshot, price_field: PriceField) -> bool { fn at_lower_limit(snapshot: &DailyMarketSnapshot, price_field: PriceField) -> bool {
snapshot.is_at_lower_limit_price(snapshot.sell_price(price_field)) let check_price = match price_field {
PriceField::Last => snapshot.price(PriceField::Last),
_ => snapshot.sell_price(price_field),
};
snapshot.is_at_lower_limit_price(check_price)
} }
} }

View File

@@ -1050,10 +1050,11 @@ impl JqMicroCapStrategy {
let Ok(candidate) = ctx.data.require_candidate(date, symbol) else { let Ok(candidate) = ctx.data.require_candidate(date, symbol) else {
return false; return false;
}; };
let lower_limit_check_price = market.price(PriceField::Last);
!(market.paused !(market.paused
|| candidate.is_paused || candidate.is_paused
|| !candidate.allow_sell || !candidate.allow_sell
|| market.is_at_lower_limit_price(market.sell_price(PriceField::Last))) || market.is_at_lower_limit_price(lower_limit_check_price))
} }
fn buy_rejection_reason( fn buy_rejection_reason(

View File

@@ -148,3 +148,38 @@ fn china_rule_hooks_use_tick_size_tolerance_for_price_limits() {
); );
assert!(!sell_check.allowed); assert!(!sell_check.allowed);
} }
#[test]
fn china_rule_hooks_allow_sell_when_last_price_is_above_lower_limit() {
let hooks = ChinaEquityRuleHooks;
let candidate = candidate();
let mut position = Position::new("000001.SZ");
position.buy(d(2024, 4, 3), 1_000, 2.89);
let snapshot = DailyMarketSnapshot {
date: d(2024, 4, 7),
symbol: "000001.SZ".to_string(),
timestamp: Some("2024-04-07 10:18:00".to_string()),
day_open: 2.53,
open: 2.53,
high: 2.53,
low: 2.52,
close: 2.53,
last_price: 2.53,
bid1: 2.52,
ask1: 2.53,
prev_close: 2.80,
volume: 1_000_000,
tick_volume: 100_000,
bid1_volume: 50_000,
ask1_volume: 50_000,
trading_phase: Some("continuous".to_string()),
paused: false,
upper_limit: 3.08,
lower_limit: 2.52,
price_tick: 0.01,
};
let sell_check = hooks.can_sell(d(2024, 4, 7), &snapshot, &candidate, &position, PriceField::Last);
assert!(sell_check.allowed, "sell should be allowed when snapshot last is above lower limit");
}