修正平台表达式选股风控补位

2026-07-06 05:45:52 +08:00
parent 551421818b
commit 92d5801f63
1 changed files with 184 additions and 29 deletions
@@ -6726,15 +6726,6 @@ impl PlatformExprStrategy {
                }
                continue;
            }
-            if !ctx.is_lagged_execution()
-                && let Some(reason) =
-                    self.buy_rejection_reason(ctx, date, &candidate.symbol, &stock)?
-            {
-                if diagnostics.len() < 12 {
-                    diagnostics.push(format!("{} rejected by {}", candidate.symbol, reason));
-                }
-                continue;
-            }
            if !self.stock_passes_expr(ctx, day, &stock)? {
                if diagnostics.len() < 12 {
                    diagnostics.push(format!("{} rejected by stock_expr", candidate.symbol));
@@ -7427,14 +7418,6 @@ impl PlatformExprStrategy {
                }
                continue;
            }
-            if !ctx.is_lagged_execution()
-                && let Some(reason) = self.buy_rejection_reason(ctx, date, symbol, &stock)?
-            {
-                if diagnostics.len() < 12 {
-                    diagnostics.push(format!("{symbol} quote_plan rejected by {reason}"));
-                }
-                continue;
-            }
            if quote_usage == StockFilterQuoteUsage::IntradayQuote
                && !self.stock_passes_expr(ctx, day, &stock)?
            {
@@ -12890,6 +12873,165 @@ mod tests {
        assert!(selected.is_empty());
    }

+    #[test]
+    fn platform_selection_does_not_fill_candidates_with_buy_risk_rejections() {
+        let date = d(2025, 11, 10);
+        let signal = "000001.SH";
+        let st_symbol = "300268.SZ";
+        let normal_symbol = "301167.SZ";
+        let market = |symbol: &str, close: f64| DailyMarketSnapshot {
+            date,
+            symbol: symbol.to_string(),
+            timestamp: Some(format!("{date} 15:00:00")),
+            day_open: close,
+            open: close,
+            high: close,
+            low: close,
+            close,
+            last_price: close,
+            bid1: close,
+            ask1: close,
+            prev_close: close,
+            volume: 1_000_000,
+            minute_volume: 10_000,
+            bid1_volume: 10_000,
+            ask1_volume: 10_000,
+            trading_phase: Some("continuous".to_string()),
+            paused: false,
+            upper_limit: close * 1.1,
+            lower_limit: close * 0.9,
+            price_tick: 0.01,
+        };
+        let data = DataSet::from_components(
+            [signal, st_symbol, normal_symbol]
+                .into_iter()
+                .map(|symbol| Instrument {
+                    symbol: symbol.to_string(),
+                    name: symbol.to_string(),
+                    board: if symbol.ends_with(".SH") { "SH" } else { "SZ" }.to_string(),
+                    round_lot: 100,
+                    listed_at: Some(d(2020, 1, 1)),
+                    delisted_at: None,
+                    status: "active".to_string(),
+                })
+                .collect(),
+            vec![
+                market(signal, 10.0),
+                market(st_symbol, 10.0),
+                market(normal_symbol, 10.0),
+            ],
+            vec![
+                DailyFactorSnapshot {
+                    date,
+                    symbol: st_symbol.to_string(),
+                    market_cap_bn: 1.0,
+                    free_float_cap_bn: 1.0,
+                    pe_ttm: 8.0,
+                    turnover_ratio: Some(1.0),
+                    effective_turnover_ratio: Some(1.0),
+                    extra_factors: BTreeMap::new(),
+                },
+                DailyFactorSnapshot {
+                    date,
+                    symbol: normal_symbol.to_string(),
+                    market_cap_bn: 2.0,
+                    free_float_cap_bn: 2.0,
+                    pe_ttm: 8.0,
+                    turnover_ratio: Some(1.0),
+                    effective_turnover_ratio: Some(1.0),
+                    extra_factors: BTreeMap::new(),
+                },
+            ],
+            vec![
+                CandidateEligibility {
+                    date,
+                    symbol: st_symbol.to_string(),
+                    is_st: true,
+                    is_star_st: false,
+                    is_new_listing: false,
+                    is_paused: false,
+                    allow_buy: false,
+                    allow_sell: true,
+                    is_kcb: false,
+                    is_one_yuan: false,
+                    risk_level_code: None,
+                },
+                CandidateEligibility {
+                    date,
+                    symbol: normal_symbol.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: "000852.SH".to_string(),
+                open: 1000.0,
+                close: 1002.0,
+                prev_close: 998.0,
+                volume: 1_000_000,
+            }],
+        )
+        .expect("dataset");
+        let portfolio = PortfolioState::new(1_000_000.0);
+        let subscriptions = BTreeSet::new();
+        let ctx = StrategyContext {
+            execution_date: date,
+            decision_date: date,
+            decision_index: 0,
+            data: &data,
+            portfolio: &portfolio,
+            futures_account: None,
+            open_orders: &[],
+            dynamic_universe: None,
+            subscriptions: &subscriptions,
+            process_events: &[],
+            active_process_event: None,
+            active_datetime: None,
+            order_events: &[],
+            fills: &[],
+        };
+        let mut cfg = PlatformExprStrategyConfig::microcap_rotation();
+        cfg.aiquant_transaction_cost = true;
+        cfg.signal_symbol = signal.to_string();
+        cfg.market_cap_lower_expr = "0".to_string();
+        cfg.market_cap_upper_expr = "100".to_string();
+        cfg.selection_limit_expr = "1".to_string();
+        cfg.stock_filter_expr = "true".to_string();
+        cfg.benchmark_short_ma_days = 1;
+        cfg.benchmark_long_ma_days = 1;
+        let strategy = PlatformExprStrategy::new(cfg);
+        let day = strategy.day_state(&ctx, date).expect("day state");
+
+        let (selected, diagnostics, _) = strategy
+            .select_symbols(&ctx, date, date, date, &day, 0.0, 100.0, 1)
+            .expect("select symbols");
+
+        assert_eq!(selected, vec![st_symbol.to_string()]);
+        assert!(
+            diagnostics
+                .iter()
+                .all(|line| !line.contains("rejected by st")),
+            "{diagnostics:?}"
+        );
+        let stock = strategy
+            .selection_stock_state_with_factor_date(&ctx, date, date, st_symbol)
+            .expect("stock state");
+        assert_eq!(
+            strategy
+                .buy_rejection_reason(&ctx, date, st_symbol, &stock)
+                .expect("buy risk"),
+            Some("st".to_string())
+        );
+    }
+
    #[test]
    fn platform_next_open_select_symbols_defers_decision_day_limit_state() {
        let decision_date = d(2025, 1, 2);
@@ -17403,7 +17545,7 @@ mod tests {
    }

    #[test]
-    fn platform_strategy_baseline_risk_excludes_new_listings_even_when_config_omits_it() {
+    fn platform_strategy_baseline_risk_rejects_new_listing_buy_without_selection_replacement() {
        let date = d(2025, 2, 3);
        let symbols = ["301001.SZ", "000001.SZ"];
        let data = DataSet::from_components(
@@ -17546,14 +17688,22 @@ mod tests {

        let decision = strategy.on_day(&ctx).expect("platform decision");

-        assert!(!decision.order_intents.iter().any(|intent| matches!(
-            intent,
-            crate::strategy::OrderIntent::Value { symbol, .. } if symbol == "301001.SZ"
-        )));
-        assert!(decision.order_intents.iter().any(|intent| matches!(
-            intent,
-            crate::strategy::OrderIntent::Value { symbol, .. } if symbol == "000001.SZ"
-        )));
+        assert!(
+            decision
+                .diagnostics
+                .iter()
+                .any(|item| item == "selected_symbols=301001.SZ"),
+            "{:?}",
+            decision.diagnostics
+        );
+        assert!(
+            decision.order_intents.iter().all(|intent| !matches!(
+                intent,
+                crate::strategy::OrderIntent::Value { symbol, .. } if symbol == "301001.SZ" || symbol == "000001.SZ"
+            )),
+            "{:?}",
+            decision.order_intents
+        );
    }

    #[test]
@@ -19906,8 +20056,8 @@ mod tests {
                    ask1: 10.0,
                    bid1_volume: 10_000,
                    ask1_volume: 10_000,
-                    volume_delta: 0,
-                    amount_delta: 0.0,
+                    volume_delta: 10_000,
+                    amount_delta: 100_000.0,
                    trading_phase: Some("continuous".to_string()),
                })
                .collect(),
@@ -24533,7 +24683,12 @@ mod tests {
        );
        assert_eq!(
            plan.order_symbols,
-            vec!["000003.SZ".to_string(), "000004.SZ".to_string()]
+            vec![
+                "000001.SZ".to_string(),
+                "000003.SZ".to_string(),
+                "000004.SZ".to_string(),
+            ],
+            "quote plan may prefetch a superset; final selection/order risk is checked in the decision path"
        );
    }