修复目标组合风控拒单记录
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boris
@@ -2242,6 +2242,23 @@ where
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let mut symbols = BTreeSet::new();
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symbols.extend(portfolio.positions().keys().cloned());
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symbols.extend(target_quantities.keys().cloned());
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symbols.extend(
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target_weights
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.iter()
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.filter(|(_, weight)| weight.abs() > f64::EPSILON)
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.map(|(symbol, _)| symbol.clone()),
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);
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self.record_denied_target_portfolio_buys(
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date,
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portfolio,
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data,
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target_weights,
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&target_quantities,
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valuation_prices,
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reason,
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report,
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)?;
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for symbol in &symbols {
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let current_qty = portfolio
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@@ -2340,6 +2357,93 @@ where
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Ok(())
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}
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fn record_denied_target_portfolio_buys(
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&self,
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date: NaiveDate,
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portfolio: &PortfolioState,
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data: &DataSet,
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target_weights: &BTreeMap<String, f64>,
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target_quantities: &BTreeMap<String, u32>,
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valuation_prices: Option<&BTreeMap<String, f64>>,
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reason: &str,
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report: &mut BrokerExecutionReport,
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) -> Result<(), BacktestError> {
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let equity =
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self.rebalance_total_equity_at_with_overrides(date, portfolio, data, valuation_prices)?;
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for (symbol, weight) in target_weights {
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if weight.abs() <= f64::EPSILON {
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continue;
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}
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let current_qty = portfolio
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.position(symbol)
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.map(|pos| pos.quantity)
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.unwrap_or(0);
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let target_qty = target_quantities.get(symbol).copied().unwrap_or(0);
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if target_qty > current_qty {
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continue;
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}
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let price = self.rebalance_valuation_price_with_overrides(
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date,
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symbol,
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data,
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valuation_prices,
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)?;
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let minimum_order_quantity = self.minimum_order_quantity(data, symbol);
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let order_step_size = self.order_step_size(data, symbol);
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let desired_qty = self.round_buy_quantity(
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((equity * weight) / price).floor() as u32,
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minimum_order_quantity,
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order_step_size,
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);
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if desired_qty <= current_qty {
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continue;
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}
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let Some(rule_reason) = self.buy_target_denial_reason(
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date,
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portfolio,
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data,
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symbol,
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current_qty,
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minimum_order_quantity,
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order_step_size,
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) else {
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continue;
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};
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let order_id = self.reserve_order_id();
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let requested_quantity = desired_qty - current_qty;
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let status = zero_fill_status_for_reason(&rule_reason);
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report.order_events.push(OrderEvent {
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date,
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decision_date: None,
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order_created_date: None,
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execution_date: None,
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order_id: Some(order_id),
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symbol: symbol.clone(),
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side: OrderSide::Buy,
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requested_quantity,
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filled_quantity: 0,
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status,
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reason: format!("{reason}: {rule_reason}"),
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});
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Self::emit_order_process_event(
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report,
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date,
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ProcessEventKind::OrderCreationReject,
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order_id,
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symbol,
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OrderSide::Buy,
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format!("status={status:?} reason={rule_reason}"),
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);
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if report.diagnostics.len() < 32 {
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report.diagnostics.push(format!(
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"target_portfolio_buy_rejected symbol={} requested={} reason={}",
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symbol, requested_quantity, rule_reason
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));
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}
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}
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Ok(())
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}
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fn aiquant_limit_check_price(
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&self,
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snapshot: &crate::data::DailyMarketSnapshot,
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@@ -5993,6 +6097,7 @@ mod tests {
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use crate::events::{OrderSide, OrderStatus};
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use crate::instrument::Instrument;
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use crate::portfolio::PortfolioState;
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use crate::risk_control::FidcRiskControlConfig;
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use crate::rules::ChinaEquityRuleHooks;
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use crate::strategy::{AlgoOrderStyle, OrderIntent, StrategyDecision};
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@@ -6939,6 +7044,72 @@ mod tests {
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);
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}
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#[test]
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fn target_portfolio_smart_records_buy_rejection_when_target_is_blacklisted() {
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let date = chrono::NaiveDate::from_ymd_opt(2025, 1, 2).expect("valid date");
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let mut risk_config = FidcRiskControlConfig::default();
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risk_config
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.static_rules
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.blacklisted_symbols
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.insert("000001.SZ".to_string());
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let broker = BrokerSimulator::new_with_execution_price(
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ChinaAShareCostModel::default(),
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ChinaEquityRuleHooks,
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PriceField::Open,
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)
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.with_volume_limit(false)
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.with_liquidity_limit(false)
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.with_risk_config(risk_config);
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let data = DataSet::from_components_with_actions_and_quotes(
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vec![limit_test_instrument()],
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vec![limit_test_snapshot()],
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Vec::new(),
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vec![limit_test_candidate(true, true)],
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vec![limit_test_benchmark()],
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Vec::new(),
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Vec::new(),
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)
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.expect("valid dataset");
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let mut portfolio = PortfolioState::new(1_000_000.0);
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let mut target_weights = BTreeMap::new();
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target_weights.insert("000001.SZ".to_string(), 0.50);
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let mut report = BrokerExecutionReport::default();
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broker
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.process_target_portfolio_smart(
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date,
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&mut portfolio,
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&data,
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&target_weights,
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None,
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None,
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"target_weights_test",
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&mut BTreeMap::new(),
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&mut BTreeMap::new(),
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&mut None,
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&mut BTreeMap::new(),
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&mut report,
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)
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.expect("blacklisted target buy should be rejected, not silently dropped");
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assert!(portfolio.position("000001.SZ").is_none());
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assert!(report.fill_events.is_empty());
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let rejected = report
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.order_events
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.iter()
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.find(|event| event.symbol == "000001.SZ")
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.expect("blacklisted target should produce rejected order event");
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assert_eq!(rejected.side, OrderSide::Buy);
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assert_eq!(rejected.status, OrderStatus::Rejected);
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assert_eq!(rejected.filled_quantity, 0);
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assert!(rejected.requested_quantity > 0);
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assert!(
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rejected.reason.contains("blacklisted"),
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"{}",
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rejected.reason
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);
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}
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#[test]
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fn target_portfolio_smart_pre_open_cash_does_not_spend_same_batch_sell_proceeds() {
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let date = chrono::NaiveDate::from_ymd_opt(2025, 1, 2).expect("valid date");
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