禁止目标组合调仓放大目标权重

crates/fidc-core/src/broker.rs

@@ -2162,7 +2162,7 @@ where
 
         let mut best_targets = targets.clone();
         let mut best_proportion_diff = f64::INFINITY;
-        let initial_safety = if target_weight_sum > 0.95 { 1.2 } else { 1.0 };
+        let initial_safety = 1.0;
         let mut safety = initial_safety;
         loop {
             let mut candidate_targets = targets.clone();

crates/fidc-core/tests/explicit_order_flow.rs

@@ -3725,6 +3725,179 @@ fn rebalance_optimizer_prioritizes_higher_target_weight_when_cash_is_tight() {
     );
 }
 
+#[test]
+fn rebalance_optimizer_does_not_scale_targets_above_requested_weight() {
+    let date = NaiveDate::from_ymd_opt(2024, 1, 10).unwrap();
+    let data = DataSet::from_components(
+        vec![
+            Instrument {
+                symbol: "000001.SZ".to_string(),
+                name: "TargetA".to_string(),
+                board: "SZ".to_string(),
+                round_lot: 100,
+                listed_at: None,
+                delisted_at: None,
+                status: "active".to_string(),
+            },
+            Instrument {
+                symbol: "000002.SZ".to_string(),
+                name: "TargetB".to_string(),
+                board: "SZ".to_string(),
+                round_lot: 100,
+                listed_at: None,
+                delisted_at: None,
+                status: "active".to_string(),
+            },
+        ],
+        vec![
+            DailyMarketSnapshot {
+                date,
+                symbol: "000001.SZ".to_string(),
+                timestamp: Some("2024-01-10 10:18:00".to_string()),
+                day_open: 82.0,
+                open: 82.0,
+                high: 83.0,
+                low: 81.0,
+                close: 82.0,
+                last_price: 82.0,
+                bid1: 81.99,
+                ask1: 82.01,
+                prev_close: 82.0,
+                volume: 100_000,
+                minute_volume: 100_000,
+                bid1_volume: 80_000,
+                ask1_volume: 80_000,
+                trading_phase: Some("continuous".to_string()),
+                paused: false,
+                upper_limit: 90.2,
+                lower_limit: 73.8,
+                price_tick: 0.01,
+            },
+            DailyMarketSnapshot {
+                date,
+                symbol: "000002.SZ".to_string(),
+                timestamp: Some("2024-01-10 10:18:00".to_string()),
+                day_open: 82.0,
+                open: 82.0,
+                high: 83.0,
+                low: 81.0,
+                close: 82.0,
+                last_price: 82.0,
+                bid1: 81.99,
+                ask1: 82.01,
+                prev_close: 82.0,
+                volume: 100_000,
+                minute_volume: 100_000,
+                bid1_volume: 80_000,
+                ask1_volume: 80_000,
+                trading_phase: Some("continuous".to_string()),
+                paused: false,
+                upper_limit: 90.2,
+                lower_limit: 73.8,
+                price_tick: 0.01,
+            },
+        ],
+        vec![
+            DailyFactorSnapshot {
+                date,
+                symbol: "000001.SZ".to_string(),
+                market_cap_bn: 50.0,
+                free_float_cap_bn: 45.0,
+                pe_ttm: 15.0,
+                turnover_ratio: Some(2.0),
+                effective_turnover_ratio: Some(1.8),
+                extra_factors: BTreeMap::new(),
+            },
+            DailyFactorSnapshot {
+                date,
+                symbol: "000002.SZ".to_string(),
+                market_cap_bn: 60.0,
+                free_float_cap_bn: 50.0,
+                pe_ttm: 18.0,
+                turnover_ratio: Some(2.0),
+                effective_turnover_ratio: Some(1.8),
+                extra_factors: BTreeMap::new(),
+            },
+        ],
+        vec![
+            CandidateEligibility {
+                date,
+                symbol: "000001.SZ".to_string(),
+                is_st: false,
+                is_star_st: false,
+                is_new_listing: false,
+                is_paused: false,
+                allow_buy: true,
+                allow_sell: true,
+                is_kcb: false,
+                is_one_yuan: false,
+                risk_level_code: None,
+            },
+            CandidateEligibility {
+                date,
+                symbol: "000002.SZ".to_string(),
+                is_st: false,
+                is_star_st: false,
+                is_new_listing: false,
+                is_paused: false,
+                allow_buy: true,
+                allow_sell: true,
+                is_kcb: false,
+                is_one_yuan: false,
+                risk_level_code: None,
+            },
+        ],
+        vec![BenchmarkSnapshot {
+            date,
+            benchmark: "000300.SH".to_string(),
+            open: 100.0,
+            close: 100.0,
+            prev_close: 99.0,
+            volume: 1_000_000,
+        }],
+    )
+    .expect("dataset");
+    let mut portfolio = PortfolioState::new(100_000.0);
+    let broker = BrokerSimulator::new_with_execution_price(
+        ChinaAShareCostModel::default(),
+        ChinaEquityRuleHooks::default(),
+        PriceField::Open,
+    );
+
+    broker
+        .execute(
+            date,
+            &mut portfolio,
+            &data,
+            &StrategyDecision {
+                rebalance: true,
+                target_weights: BTreeMap::from([
+                    ("000001.SZ".to_string(), 0.48),
+                    ("000002.SZ".to_string(), 0.48),
+                ]),
+                exit_symbols: BTreeSet::new(),
+                order_intents: Vec::new(),
+                notes: Vec::new(),
+                diagnostics: Vec::new(),
+                risk_decisions: Vec::new(),
+            },
+        )
+        .expect("broker execution");
+
+    assert_eq!(
+        portfolio
+            .position("000001.SZ")
+            .map(|position| position.quantity),
+        Some(500)
+    );
+    assert_eq!(
+        portfolio
+            .position("000002.SZ")
+            .map(|position| position.quantity),
+        Some(500)
+    );
+}
+
 #[test]
 fn broker_uses_board_specific_min_quantity_and_step_size_for_buy_sizing() {
     let date = NaiveDate::from_ymd_opt(2024, 1, 10).unwrap();