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禁止目标组合调仓放大目标权重

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boris
2026-07-09 20:27:50 +08:00
parent 7397a2d69f
commit 825de1d886
2 changed files with 174 additions and 1 deletions
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crates/fidc-core/src/broker.rs
+1 -1
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@@ -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
+173
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@@ -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();