修复Smart调仓缺行情处理

crates/fidc-core/src/broker.rs

@@ -1671,6 +1671,52 @@ where
         );
     }
 
+    fn reject_unavailable_order(
+        report: &mut BrokerExecutionReport,
+        date: NaiveDate,
+        order_id: u64,
+        symbol: &str,
+        side: OrderSide,
+        requested_quantity: u32,
+        reason: &str,
+        unavailable_reason: impl Into<String>,
+        emit_creation_events: bool,
+    ) {
+        let unavailable_reason = unavailable_reason.into();
+        if emit_creation_events {
+            Self::emit_order_process_event(
+                report,
+                date,
+                ProcessEventKind::OrderPendingNew,
+                order_id,
+                symbol,
+                side,
+                format!("requested_quantity={requested_quantity} reason={reason}"),
+            );
+        }
+        report.order_events.push(OrderEvent {
+            date,
+            order_id: Some(order_id),
+            symbol: symbol.to_string(),
+            side,
+            requested_quantity,
+            filled_quantity: 0,
+            status: OrderStatus::Rejected,
+            reason: format!("{reason}: {unavailable_reason}"),
+        });
+        Self::emit_order_process_event(
+            report,
+            date,
+            Self::creation_reject_kind(emit_creation_events),
+            order_id,
+            symbol,
+            side,
+            format!(
+                "status=Rejected requested_quantity={requested_quantity} filled_quantity=0 reason={unavailable_reason}"
+            ),
+        );
+    }
+
     fn creation_reject_kind(emit_creation_events: bool) -> ProcessEventKind {
         if emit_creation_events {
             ProcessEventKind::OrderCreationReject
@@ -2469,11 +2515,40 @@ where
         algo_request: Option<&AlgoExecutionRequest>,
         report: &mut BrokerExecutionReport,
     ) -> Result<(), BacktestError> {
-        let snapshot = data.require_market(date, symbol)?;
-        let candidate = data.require_candidate(date, symbol)?;
         let Some(position) = portfolio.position(symbol) else {
             return Ok(());
         };
+        let Some(snapshot) = data.market(date, symbol) else {
+            Self::reject_unavailable_order(
+                report,
+                date,
+                order_id,
+                symbol,
+                OrderSide::Sell,
+                requested_qty,
+                reason,
+                format!(
+                    "market snapshot is missing for price field {}",
+                    price_field_name(self.execution_price_field)
+                ),
+                emit_creation_events,
+            );
+            return Ok(());
+        };
+        let Some(candidate) = data.candidate(date, symbol) else {
+            Self::reject_unavailable_order(
+                report,
+                date,
+                order_id,
+                symbol,
+                OrderSide::Sell,
+                requested_qty,
+                reason,
+                "candidate eligibility is missing",
+                emit_creation_events,
+            );
+            return Ok(());
+        };
 
         if emit_creation_events {
             Self::emit_order_process_event(
@@ -4083,8 +4158,37 @@ where
         algo_request: Option<&AlgoExecutionRequest>,
         report: &mut BrokerExecutionReport,
     ) -> Result<(), BacktestError> {
-        let snapshot = data.require_market(date, symbol)?;
+        let Some(snapshot) = data.market(date, symbol) else {
-        let candidate = data.require_candidate(date, symbol)?;
+            Self::reject_unavailable_order(
+                report,
+                date,
+                order_id,
+                symbol,
+                OrderSide::Buy,
+                requested_qty,
+                reason,
+                format!(
+                    "market snapshot is missing for price field {}",
+                    price_field_name(self.execution_price_field)
+                ),
+                emit_creation_events,
+            );
+            return Ok(());
+        };
+        let Some(candidate) = data.candidate(date, symbol) else {
+            Self::reject_unavailable_order(
+                report,
+                date,
+                order_id,
+                symbol,
+                OrderSide::Buy,
+                requested_qty,
+                reason,
+                "candidate eligibility is missing",
+                emit_creation_events,
+            );
+            return Ok(());
+        };
 
         if emit_creation_events {
             Self::emit_order_process_event(
@@ -4679,14 +4783,16 @@ where
                 field: "custom valuation",
             });
         }
-        let snapshot = data
+        if let Some(snapshot) = data.market(date, symbol) {
-            .market(date, symbol)
+            return self
-            .ok_or_else(|| BacktestError::MissingPrice {
+                .rebalance_valuation_price_for_snapshot(snapshot)
-                date,
+                .ok_or_else(|| BacktestError::MissingPrice {
-                symbol: symbol.to_string(),
+                    date,
-                field: self.rebalance_valuation_price_field_name(),
+                    symbol: symbol.to_string(),
-            })?;
+                    field: self.rebalance_valuation_price_field_name(),
-        self.rebalance_valuation_price_for_snapshot(snapshot)
+                });
+        }
+        data.price_on_or_before(date, symbol, PriceField::Close)
             .ok_or_else(|| BacktestError::MissingPrice {
                 date,
                 symbol: symbol.to_string(),
@@ -5734,6 +5840,66 @@ mod tests {
         assert!(order.reason.contains("market snapshot is missing"));
     }
 
+    #[test]
+    fn target_portfolio_smart_keeps_position_when_sell_snapshot_missing() {
+        let trade_date = chrono::NaiveDate::from_ymd_opt(2025, 1, 2).expect("valid date");
+        let missing_date = chrono::NaiveDate::from_ymd_opt(2025, 1, 3).expect("valid date");
+        let symbol = "000001.SZ";
+        let broker = BrokerSimulator::new_with_execution_price(
+            ChinaAShareCostModel::default(),
+            ChinaEquityRuleHooks,
+            PriceField::Open,
+        )
+        .with_volume_limit(false)
+        .with_liquidity_limit(false);
+        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(100_000.0);
+        portfolio.position_mut(symbol).buy(trade_date, 1_000, 10.0);
+        let mut report = BrokerExecutionReport::default();
+
+        broker
+            .process_target_portfolio_smart(
+                missing_date,
+                &mut portfolio,
+                &data,
+                &BTreeMap::new(),
+                None,
+                None,
+                "target_portfolio_rebalance",
+                &mut BTreeMap::new(),
+                &mut BTreeMap::new(),
+                &mut None,
+                &mut BTreeMap::new(),
+                &mut report,
+            )
+            .expect("missing market snapshot should keep position, not abort rebalance");
+
+        assert_eq!(
+            portfolio.position(symbol).map(|pos| pos.quantity),
+            Some(1_000)
+        );
+        assert!(report.fill_events.is_empty());
+        assert!(report.order_events.is_empty());
+        assert!(
+            report
+                .diagnostics
+                .iter()
+                .any(|item| item.contains("rebalance_target_clipped")
+                    && item.contains("000001.SZ")),
+            "{:?}",
+            report.diagnostics
+        );
+    }
+
     #[test]
     fn timed_target_value_zero_sells_full_position_at_requested_time_quote() {
         let date = chrono::NaiveDate::from_ymd_opt(2025, 1, 2).expect("valid date");