修复next-open信号日风控投影

crates/fidc-core/src/platform_expr_strategy.rs

@@ -1628,7 +1628,9 @@ impl PlatformExprStrategy {
         if quantity == 0 {
             return None;
         }
-        if !self.can_sell_position_at_time(ctx, date, symbol, execution_time) {
+        if !Self::defer_projection_execution_risk(ctx, date)
+            && !self.can_sell_position_at_time(ctx, date, symbol, execution_time)
+        {
             return None;
         }
         let market = ctx.data.market(date, symbol)?;
@@ -1735,7 +1737,9 @@ impl PlatformExprStrategy {
             return (filled > 0).then_some(filled);
         }
 
-        if !self.can_sell_position(ctx, date, symbol) {
+        if !Self::defer_projection_execution_risk(ctx, date)
+            && !self.can_sell_position(ctx, date, symbol)
+        {
             return None;
         }
         let sizing_price = self
@@ -1944,11 +1948,12 @@ impl PlatformExprStrategy {
             }
             Err(_) => return 0,
         };
-        if self
+        if !Self::defer_projection_execution_risk(ctx, date)
-            .buy_rejection_reason(ctx, date, symbol, &stock)
+            && self
-            .ok()
+                .buy_rejection_reason(ctx, date, symbol, &stock)
-            .flatten()
+                .ok()
-            .is_some()
+                .flatten()
+                .is_some()
         {
             return 0;
         }
@@ -2056,6 +2061,10 @@ impl PlatformExprStrategy {
         fill.quantity
     }
 
+    fn defer_projection_execution_risk(ctx: &StrategyContext<'_>, date: NaiveDate) -> bool {
+        ctx.is_lagged_execution() && date == ctx.decision_date
+    }
+
     fn day_state(
         &self,
         ctx: &StrategyContext<'_>,
@@ -14268,6 +14277,203 @@ mod tests {
         );
     }
 
+    #[test]
+    fn platform_next_open_selection_ignores_decision_day_static_risk_state() {
+        let factor_date = d(2023, 11, 10);
+        let decision_date = d(2023, 11, 13);
+        let execution_date = d(2023, 11, 14);
+        let signal = "000001.SZ";
+        let candidate_symbol = "600462.SH";
+        let market = |date: NaiveDate, symbol: &str, paused: bool| DailyMarketSnapshot {
+            date,
+            symbol: symbol.to_string(),
+            timestamp: Some(format!("{} 09:33:00", date)),
+            day_open: 10.0,
+            open: 10.0,
+            high: 10.0,
+            low: 10.0,
+            close: 10.0,
+            last_price: 10.0,
+            bid1: 10.0,
+            ask1: 10.0,
+            prev_close: 9.9,
+            volume: 1_000_000,
+            minute_volume: 1_000,
+            bid1_volume: 10_000,
+            ask1_volume: 10_000,
+            trading_phase: Some("continuous".to_string()),
+            paused,
+            upper_limit: 11.0,
+            lower_limit: 9.0,
+            price_tick: 0.01,
+        };
+        let candidate = |date: NaiveDate, is_st: bool, is_paused: bool| CandidateEligibility {
+            date,
+            symbol: candidate_symbol.to_string(),
+            is_st,
+            is_star_st: false,
+            is_new_listing: false,
+            is_paused,
+            allow_buy: !is_paused,
+            allow_sell: true,
+            is_kcb: false,
+            is_one_yuan: false,
+            risk_level_code: None,
+        };
+        let data = DataSet::from_components_with_actions_and_quotes(
+            vec![
+                Instrument {
+                    symbol: signal.to_string(),
+                    name: signal.to_string(),
+                    board: "SZ".to_string(),
+                    round_lot: 100,
+                    listed_at: Some(d(2020, 1, 1)),
+                    delisted_at: None,
+                    status: "active".to_string(),
+                },
+                Instrument {
+                    symbol: candidate_symbol.to_string(),
+                    name: candidate_symbol.to_string(),
+                    board: "SH".to_string(),
+                    round_lot: 100,
+                    listed_at: Some(d(2020, 1, 1)),
+                    delisted_at: None,
+                    status: "active".to_string(),
+                },
+            ],
+            vec![
+                market(factor_date, signal, false),
+                market(decision_date, signal, false),
+                market(execution_date, signal, false),
+                market(decision_date, candidate_symbol, true),
+                market(execution_date, candidate_symbol, false),
+            ],
+            vec![
+                DailyFactorSnapshot {
+                    date: factor_date,
+                    symbol: candidate_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: decision_date,
+                    symbol: candidate_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: execution_date,
+                    symbol: candidate_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(),
+                },
+            ],
+            vec![
+                candidate(decision_date, true, true),
+                candidate(execution_date, false, false),
+            ],
+            [factor_date, decision_date, execution_date]
+                .into_iter()
+                .map(|date| BenchmarkSnapshot {
+                    date,
+                    benchmark: "000852.SH".to_string(),
+                    open: 1000.0,
+                    close: 1002.0,
+                    prev_close: 998.0,
+                    volume: 1_000_000,
+                })
+                .collect(),
+            Vec::new(),
+            vec![IntradayExecutionQuote {
+                date: execution_date,
+                symbol: candidate_symbol.to_string(),
+                timestamp: execution_date.and_hms_opt(9, 33, 0).unwrap(),
+                last_price: 10.0,
+                bid1: 10.0,
+                ask1: 10.0,
+                bid1_volume: 10_000,
+                ask1_volume: 10_000,
+                volume_delta: 100,
+                amount_delta: 1_000.0,
+                trading_phase: Some("continuous".to_string()),
+            }],
+        )
+        .expect("dataset");
+        let portfolio = PortfolioState::new(500_000.0);
+        let subscriptions = BTreeSet::new();
+        let ctx = StrategyContext {
+            execution_date,
+            decision_date,
+            decision_index: 2,
+            data: &data,
+            portfolio: &portfolio,
+            futures_account: None,
+            open_orders: &[],
+            dynamic_universe: None,
+            subscriptions: &subscriptions,
+            process_events: &[],
+            active_process_event: None,
+            active_datetime: Some(execution_date.and_hms_opt(9, 33, 0).unwrap()),
+            order_events: &[],
+            fills: &[],
+        };
+        let mut cfg = PlatformExprStrategyConfig::microcap_rotation();
+        cfg.aiquant_transaction_cost = true;
+        cfg.intraday_execution_time = Some(NaiveTime::from_hms_opt(9, 33, 0).unwrap());
+        cfg.signal_symbol = signal.to_string();
+        cfg.max_positions = 1;
+        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 = "close > 0".to_string();
+        cfg.exposure_expr = "1.0".to_string();
+        let mut strategy = PlatformExprStrategy::new(cfg);
+
+        let decision = strategy.on_day(&ctx).expect("platform decision");
+
+        assert!(
+            decision
+                .diagnostics
+                .iter()
+                .any(|item| item == "selected_symbols=600462.SH"),
+            "{:?}",
+            decision.diagnostics
+        );
+        assert!(
+            decision
+                .diagnostics
+                .iter()
+                .all(|item| !item.contains("600462.SH rejected by")),
+            "{:?}",
+            decision.diagnostics
+        );
+        assert!(
+            decision.order_intents.iter().any(|intent| match intent {
+                OrderIntent::Shares {
+                    symbol, quantity, ..
+                } => symbol == candidate_symbol && *quantity > 0,
+                OrderIntent::Value { symbol, value, .. } => {
+                    symbol == candidate_symbol && *value > 0.0
+                }
+                _ => false,
+            }),
+            "{:?}",
+            decision.order_intents
+        );
+    }
+
     #[test]
     fn platform_buy_rejection_allows_lower_limit_buy_when_ask_is_available() {
         let date = d(2025, 4, 7);