补充next-open选股风控延后回归测试
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boris
@@ -8686,7 +8686,8 @@ mod tests {
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PlatformAccountActionKind, PlatformExplicitActionStage, PlatformExplicitCancelKind,
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PlatformExplicitOrderKind, PlatformExprStrategy, PlatformExprStrategyConfig,
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PlatformRebalanceSchedule, PlatformScheduleFrequency, PlatformTradeAction,
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PlatformUniverseActionKind, StockFilterQuoteUsage, precomputed_stock_rolling_mean,
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PlatformUniverseActionKind, SelectionRiskDeferral, StockFilterQuoteUsage,
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precomputed_stock_rolling_mean,
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};
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use crate::{
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AlgoOrderStyle, BenchmarkSnapshot, CandidateEligibility, CorporateAction,
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@@ -9376,6 +9377,190 @@ mod tests {
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);
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}
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#[test]
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fn platform_next_open_defers_complete_static_selection_risk_before_universe_output() {
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let date = d(2025, 1, 2);
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let symbols = [
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"000001.SZ",
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"000002.SZ",
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"000003.SZ",
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"000004.SZ",
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"000005.SZ",
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];
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let instruments = symbols
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.iter()
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.map(|symbol| Instrument {
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symbol: (*symbol).to_string(),
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name: (*symbol).to_string(),
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board: "SZ".to_string(),
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round_lot: 100,
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listed_at: Some(d(2020, 1, 1)),
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delisted_at: if *symbol == "000004.SZ" {
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Some(date)
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} else {
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None
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},
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status: if *symbol == "000004.SZ" {
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"delisted".to_string()
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} else {
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"active".to_string()
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},
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})
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.collect::<Vec<_>>();
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let market_rows = symbols
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.iter()
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.map(|symbol| {
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let (last_price, upper_limit, lower_limit) = match *symbol {
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"000001.SZ" => (11.0, 11.0, 9.0),
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"000002.SZ" => (9.0, 11.0, 9.0),
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_ => (10.0, 11.0, 9.0),
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};
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DailyMarketSnapshot {
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date,
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symbol: (*symbol).to_string(),
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timestamp: None,
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day_open: last_price,
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open: last_price,
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high: last_price,
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low: last_price,
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close: last_price,
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last_price,
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bid1: last_price,
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ask1: last_price,
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prev_close: 10.0,
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volume: 1_000_000,
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minute_volume: 10_000,
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bid1_volume: 10_000,
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ask1_volume: 10_000,
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trading_phase: Some("continuous".to_string()),
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paused: false,
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upper_limit,
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lower_limit,
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price_tick: 0.01,
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}
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})
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.collect::<Vec<_>>();
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let factor_rows = symbols
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.iter()
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.enumerate()
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.map(|(index, symbol)| DailyFactorSnapshot {
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date,
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symbol: (*symbol).to_string(),
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market_cap_bn: 10.0 + index as f64,
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free_float_cap_bn: 9.0 + index as f64,
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pe_ttm: 12.0,
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turnover_ratio: Some(1.0),
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effective_turnover_ratio: Some(1.0),
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extra_factors: BTreeMap::new(),
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})
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.collect::<Vec<_>>();
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let candidate_rows = symbols
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.iter()
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.map(|symbol| CandidateEligibility {
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date,
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symbol: (*symbol).to_string(),
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is_st: false,
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is_star_st: false,
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is_new_listing: *symbol == "000003.SZ",
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is_paused: false,
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allow_buy: true,
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allow_sell: true,
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is_kcb: false,
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is_one_yuan: false,
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risk_level_code: if *symbol == "000005.SZ" {
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Some("missing_risk_state:active_status".to_string())
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} else {
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None
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},
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})
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.collect::<Vec<_>>();
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let data = DataSet::from_components(
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instruments,
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market_rows,
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factor_rows,
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candidate_rows,
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vec![BenchmarkSnapshot {
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date,
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benchmark: "000852.SH".to_string(),
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open: 1000.0,
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close: 1001.0,
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prev_close: 999.0,
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volume: 1_000_000,
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}],
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)
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.expect("dataset");
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let portfolio = PortfolioState::new(1_000_000.0);
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let subscriptions = BTreeSet::new();
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let ctx = StrategyContext {
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execution_date: d(2025, 1, 3),
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decision_date: date,
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decision_index: 0,
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data: &data,
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portfolio: &portfolio,
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futures_account: None,
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open_orders: &[],
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dynamic_universe: None,
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subscriptions: &subscriptions,
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process_events: &[],
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active_process_event: None,
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active_datetime: None,
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order_events: &[],
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fills: &[],
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};
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assert!(ctx.is_lagged_execution());
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let mut strict_cfg = PlatformExprStrategyConfig::microcap_rotation();
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strict_cfg
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.risk_config
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.static_rules
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.reject_upper_limit_selection = true;
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strict_cfg
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.risk_config
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.static_rules
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.reject_lower_limit_selection = true;
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strict_cfg
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.risk_config
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.static_rules
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.reject_new_listing_selection = true;
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strict_cfg
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.risk_config
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.static_rules
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.reject_inactive_selection = true;
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let strict_strategy = PlatformExprStrategy::new(strict_cfg);
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let deferred_universe = strict_strategy.selectable_universe_on_with_options(
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&ctx,
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date,
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date,
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SelectionRiskDeferral::All,
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);
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assert_eq!(
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deferred_universe
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.iter()
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.map(|row| row.symbol.clone())
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.collect::<BTreeSet<_>>(),
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symbols
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.iter()
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.map(|symbol| (*symbol).to_string())
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.collect::<BTreeSet<_>>()
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);
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let deferred_rules = strict_strategy
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.selection_risk_decisions_with_options(&ctx, date, date, SelectionRiskDeferral::All)
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.into_iter()
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.map(|decision| (decision.symbol, decision.rule_code))
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.collect::<BTreeSet<_>>();
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assert_eq!(
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deferred_rules,
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BTreeSet::from([
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("000001.SZ".to_string(), "upper_limit".to_string()),
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("000002.SZ".to_string(), "lower_limit".to_string()),
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("000003.SZ".to_string(), "new_listing".to_string()),
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("000004.SZ".to_string(), "inactive_or_delisted".to_string()),
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("000005.SZ".to_string(), "missing_risk_state".to_string()),
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])
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);
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}
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#[test]
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fn platform_selection_and_buy_respect_allow_flags_are_configurable() {
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let date = d(2025, 1, 2);
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