修复目标组合风控拒单记录

crates/fidc-core/src/broker.rs

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