修正执行日退市缺行情拒单原因

crates/fidc-core/src/broker.rs

@@ -12,7 +12,7 @@ use crate::events::{
 };
 use crate::instrument::Instrument;
 use crate::portfolio::PortfolioState;
-use crate::risk_control::{ChinaAShareRiskControl, FidcRiskControlConfig};
+use crate::risk_control::{ChinaAShareRiskControl, FidcRiskControlConfig, RiskCheckScope};
 use crate::rules::{EquityRuleHooks, RuleCheck};
 use crate::strategy::{
     AlgoOrderStyle, OpenOrderView, OrderIntent, StrategyDecision, TargetPortfolioOrderPricing,
@@ -1878,6 +1878,63 @@ where
         );
     }
 
+    fn reject_missing_market_or_execution_risk_order(
+        &self,
+        report: &mut BrokerExecutionReport,
+        date: NaiveDate,
+        data: &DataSet,
+        symbol: &str,
+        side: OrderSide,
+        requested_quantity: u32,
+        reason: &str,
+    ) {
+        if let Some(unavailable_reason) =
+            self.missing_market_execution_risk_rejection_reason(date, data, symbol, side)
+        {
+            let order_id = self.reserve_order_id();
+            Self::reject_unavailable_order(
+                report,
+                date,
+                order_id,
+                symbol,
+                side,
+                requested_quantity,
+                reason,
+                unavailable_reason,
+                false,
+            );
+            return;
+        }
+        self.reject_missing_market_snapshot_order(
+            report,
+            date,
+            symbol,
+            side,
+            requested_quantity,
+            reason,
+        );
+    }
+
+    fn missing_market_execution_risk_rejection_reason(
+        &self,
+        date: NaiveDate,
+        data: &DataSet,
+        symbol: &str,
+        side: OrderSide,
+    ) -> Option<&'static str> {
+        let scope = match side {
+            OrderSide::Buy => RiskCheckScope::Buy,
+            OrderSide::Sell => RiskCheckScope::Sell,
+        };
+        ChinaAShareRiskControl::active_status_rejection_reason_with_config(
+            date,
+            data.candidate(date, symbol),
+            data.instrument(symbol),
+            &self.risk_config,
+            scope,
+        )
+    }
+
     fn reject_unavailable_order(
         report: &mut BrokerExecutionReport,
         date: NaiveDate,
@@ -2870,6 +2927,15 @@ where
             return Ok(());
         };
         let Some(snapshot) = data.market(date, symbol) else {
+            let unavailable_reason = self
+                .missing_market_execution_risk_rejection_reason(date, data, symbol, OrderSide::Sell)
+                .map(str::to_string)
+                .unwrap_or_else(|| {
+                    format!(
+                        "market snapshot is missing for price field {}",
+                        price_field_name(self.execution_price_field)
+                    )
+                });
             Self::reject_unavailable_order(
                 report,
                 date,
@@ -2878,10 +2944,7 @@ where
                 OrderSide::Sell,
                 requested_qty,
                 reason,
-                format!(
+                unavailable_reason,
-                    "market snapshot is missing for price field {}",
-                    price_field_name(self.execution_price_field)
-                ),
                 emit_creation_events,
             );
             return Ok(());
@@ -3471,9 +3534,10 @@ where
                 return Ok(());
             }
             if data.market(date, symbol).is_none() {
-                self.reject_missing_market_snapshot_order(
+                self.reject_missing_market_or_execution_risk_order(
                     report,
                     date,
+                    data,
                     symbol,
                     OrderSide::Sell,
                     current_qty,
@@ -3503,9 +3567,10 @@ where
         }
 
         let Some(snapshot) = data.market(date, symbol) else {
-            self.reject_missing_market_snapshot_order(
+            self.reject_missing_market_or_execution_risk_order(
                 report,
                 date,
+                data,
                 symbol,
                 if current_qty > 0 {
                     OrderSide::Sell
@@ -4030,9 +4095,10 @@ where
             } else {
                 0
             };
-            self.reject_missing_market_snapshot_order(
+            self.reject_missing_market_or_execution_risk_order(
                 report,
                 date,
+                data,
                 symbol,
                 if value > 0.0 {
                     OrderSide::Buy
@@ -4561,6 +4627,15 @@ where
         report: &mut BrokerExecutionReport,
     ) -> Result<(), BacktestError> {
         let Some(snapshot) = data.market(date, symbol) else {
+            let unavailable_reason = self
+                .missing_market_execution_risk_rejection_reason(date, data, symbol, OrderSide::Buy)
+                .map(str::to_string)
+                .unwrap_or_else(|| {
+                    format!(
+                        "market snapshot is missing for price field {}",
+                        price_field_name(self.execution_price_field)
+                    )
+                });
             Self::reject_unavailable_order(
                 report,
                 date,
@@ -4569,10 +4644,7 @@ where
                 OrderSide::Buy,
                 requested_qty,
                 reason,
-                format!(
+                unavailable_reason,
-                    "market snapshot is missing for price field {}",
-                    price_field_name(self.execution_price_field)
-                ),
                 emit_creation_events,
             );
             return Ok(());
@@ -6521,6 +6593,63 @@ mod tests {
         );
     }
 
+    #[test]
+    fn next_open_buy_risk_rejects_execution_date_delisted_even_without_market_snapshot() {
+        let signal_date = chrono::NaiveDate::from_ymd_opt(2025, 1, 2).expect("valid date");
+        let execution_date = chrono::NaiveDate::from_ymd_opt(2025, 1, 3).expect("valid date");
+        let broker = BrokerSimulator::new(ChinaAShareCostModel::default(), ChinaEquityRuleHooks)
+            .with_volume_limit(false)
+            .with_liquidity_limit(false);
+        let mut instrument = limit_test_instrument();
+        instrument.delisted_at = Some(execution_date);
+        let data = DataSet::from_components_with_actions_and_quotes(
+            vec![instrument],
+            vec![dated_limit_test_snapshot(signal_date)],
+            Vec::new(),
+            vec![
+                dated_limit_test_candidate(signal_date, false, false, true, true),
+                dated_limit_test_candidate(execution_date, false, false, true, true),
+            ],
+            vec![
+                dated_limit_test_benchmark(signal_date),
+                dated_limit_test_benchmark(execution_date),
+            ],
+            Vec::new(),
+            Vec::new(),
+        )
+        .expect("valid dataset");
+        let mut portfolio = PortfolioState::new(20_000.0);
+
+        let report = broker
+            .execute(
+                execution_date,
+                &mut portfolio,
+                &data,
+                &next_open_buy_decision(),
+            )
+            .expect("execute next open buy");
+
+        assert!(report.fill_events.is_empty());
+        assert!(portfolio.position("000001.SZ").is_none());
+        let rejected_order = report
+            .order_events
+            .iter()
+            .find(|event| event.side == OrderSide::Buy)
+            .expect("buy order event");
+        assert_eq!(rejected_order.date, execution_date);
+        assert_eq!(rejected_order.status, OrderStatus::Rejected);
+        assert!(
+            rejected_order.reason.contains("inactive_or_delisted"),
+            "{}",
+            rejected_order.reason
+        );
+        assert!(
+            !rejected_order.reason.contains("market snapshot is missing"),
+            "{}",
+            rejected_order.reason
+        );
+    }
+
     #[test]
     fn next_open_buy_limit_risk_uses_open_not_close() {
         let execution_date = chrono::NaiveDate::from_ymd_opt(2025, 1, 3).expect("valid date");

crates/fidc-core/src/risk_control.rs

@@ -223,6 +223,21 @@ impl ChinaAShareRiskControl {
         Self::instrument_rejection_reason(instrument, date)
     }
 
+    pub fn active_status_rejection_reason_with_config(
+        date: NaiveDate,
+        candidate: Option<&CandidateEligibility>,
+        instrument: Option<&Instrument>,
+        config: &FidcRiskControlConfig,
+        scope: RiskCheckScope,
+    ) -> Option<&'static str> {
+        if let Some(reason) =
+            Self::instrument_rejection_reason_with_config(instrument, date, config, scope)
+        {
+            return Some(reason);
+        }
+        candidate.and_then(|candidate| candidate_active_status_rejection(candidate, config, scope))
+    }
+
     pub fn selection_rejection_reason(
         date: NaiveDate,
         candidate: &CandidateEligibility,