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修正FIDC选股风控延后边界

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This commit is contained in:
boris
2026-07-05 15:05:00 +08:00
parent 00c9042c15
commit 7189998699
3 changed files with 227 additions and 29 deletions
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crates/fidc-core/src/risk_control.rs
+28 -15
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@@ -584,8 +584,7 @@ fn missing_selection_risk_state_rejected(code: &str, config: &FidcRiskControlCon
|| config.static_rules.reject_bjse_selection
|| config.static_rules.reject_one_yuan_selection
|| config.static_rules.reject_upper_limit_selection
|| config.static_rules.reject_lower_limit_selection
|| config.static_rules.respect_allow_buy_sell;
|| config.static_rules.reject_lower_limit_selection;
}
missing_field_rejected(&fields, config, RiskCheckScope::Selection)
}
@@ -681,15 +680,13 @@ fn missing_single_field_rejected(
RiskCheckScope::Sell => false,
},
"allow_buy" => match scope {
RiskCheckScope::Selection | RiskCheckScope::Buy => {
config.static_rules.respect_allow_buy_sell
}
RiskCheckScope::Selection => false,
RiskCheckScope::Buy => config.static_rules.respect_allow_buy_sell,
RiskCheckScope::Sell => false,
},
"allow_sell" => match scope {
RiskCheckScope::Selection | RiskCheckScope::Sell => {
config.static_rules.respect_allow_buy_sell
}
RiskCheckScope::Selection => false,
RiskCheckScope::Sell => config.static_rules.respect_allow_buy_sell,
RiskCheckScope::Buy => false,
},
"upper_limit" | "upper_limit_price" | "high_limit" | "high_limit_price" => match scope {
@@ -1086,7 +1083,7 @@ mod tests {
}
#[test]
fn missing_risk_state_rejects_selection_and_buy_when_static_filters_enabled() {
fn missing_risk_state_default_selection_ignores_allow_flags_but_buy_rejects() {
let date = d(2025, 1, 2);
let mut candidate = candidate(date);
candidate.allow_sell = true;
@@ -1106,11 +1103,28 @@ mod tests {
6.27,
);
assert_eq!(selection_reason, Some("missing_risk_state"));
assert_eq!(selection_reason, None);
assert_eq!(buy_reason, Some("missing_risk_state"));
assert_eq!(sell_reason, None);
}
#[test]
fn missing_risk_state_selection_still_respects_configured_static_filters() {
let date = d(2025, 1, 2);
let mut candidate = candidate(date);
candidate.allow_sell = true;
candidate.risk_level_code = Some("missing_risk_state:is_st,allow_buy".to_string());
let market = market(date, 6.27, 5.63);
let mut config = FidcRiskControlConfig::default();
config.static_rules.reject_st_selection = true;
let selection_reason = ChinaAShareRiskControl::selection_rejection_reason_with_config(
date, &candidate, &market, None, &config,
);
assert_eq!(selection_reason, Some("missing_risk_state"));
}
#[test]
fn missing_risk_state_selection_audit_keeps_missing_fields_in_reason() {
let date = d(2025, 1, 2);
@@ -1119,12 +1133,11 @@ mod tests {
Some("missing_risk_state:is_st,allow_buy,upper_limit_price".to_string());
let market = market(date, 6.27, 5.63);
let mut config = FidcRiskControlConfig::default();
config.static_rules.reject_st_selection = true;
config.static_rules.reject_upper_limit_selection = true;
let decision = ChinaAShareRiskControl::selection_rejection_decision_with_config(
date,
&candidate,
&market,
None,
&FidcRiskControlConfig::default(),
date, &candidate, &market, None, &config,
)
.expect("missing risk state rejection");