补齐next-open卖出执行日风控测试

2026-07-03 21:50:44 +08:00
parent f45a5fd0a7
commit 9fa588fef8
1 changed files with 265 additions and 1 deletions
@@ -3946,7 +3946,7 @@ mod tests {
        BenchmarkSnapshot, CandidateEligibility, DailyFactorSnapshot, DailyMarketSnapshot, DataSet,
        PriceField,
    };
-    use crate::events::OrderStatus;
+    use crate::events::{OrderSide, OrderStatus};
    use crate::instrument::Instrument;
    use crate::risk_control::FidcRiskControlConfig;
    use crate::rules::ChinaEquityRuleHooks;
@@ -4023,6 +4023,60 @@ mod tests {
        }
    }

+    #[derive(Debug)]
+    struct ScheduledRoundTripStrategy {
+        rule: ScheduleRule,
+        buy_decision_date: NaiveDate,
+        sell_decision_date: NaiveDate,
+    }
+
+    impl Strategy for ScheduledRoundTripStrategy {
+        fn name(&self) -> &str {
+            "scheduled_round_trip"
+        }
+
+        fn schedule_rules(&self) -> Vec<ScheduleRule> {
+            vec![self.rule.clone()]
+        }
+
+        fn on_scheduled(
+            &mut self,
+            ctx: &StrategyContext<'_>,
+            rule: &ScheduleRule,
+        ) -> Result<StrategyDecision, super::BacktestError> {
+            assert_eq!(rule.name, self.rule.name);
+            assert_eq!(
+                ctx.current_datetime().map(|value| value.date()),
+                Some(ctx.decision_date)
+            );
+            if ctx.decision_date == self.buy_decision_date
+                && ctx.portfolio.position(SYMBOL).is_none()
+            {
+                return Ok(StrategyDecision {
+                    order_intents: vec![OrderIntent::Shares {
+                        symbol: SYMBOL.to_string(),
+                        quantity: 100,
+                        reason: "round_trip_buy".to_string(),
+                    }],
+                    ..StrategyDecision::default()
+                });
+            }
+            if ctx.decision_date == self.sell_decision_date {
+                if let Some(position) = ctx.portfolio.position(SYMBOL) {
+                    return Ok(StrategyDecision {
+                        order_intents: vec![OrderIntent::Shares {
+                            symbol: SYMBOL.to_string(),
+                            quantity: -(position.quantity as i32),
+                            reason: "round_trip_sell".to_string(),
+                        }],
+                        ..StrategyDecision::default()
+                    });
+                }
+            }
+            Ok(StrategyDecision::default())
+        }
+    }
+
    fn d(year: i32, month: u32, day: u32) -> NaiveDate {
        NaiveDate::from_ymd_opt(year, month, day).expect("valid date")
    }
@@ -4069,6 +4123,18 @@ mod tests {
        }
    }

+    fn market_with_volume(
+        date: NaiveDate,
+        open: f64,
+        close: f64,
+        volume: u64,
+    ) -> DailyMarketSnapshot {
+        DailyMarketSnapshot {
+            volume,
+            ..market(date, open, close)
+        }
+    }
+
    fn factor(date: NaiveDate) -> DailyFactorSnapshot {
        DailyFactorSnapshot {
            date,
@@ -4110,6 +4176,18 @@ mod tests {
        }
    }

+    fn candidate_with_sell_state(
+        date: NaiveDate,
+        is_paused: bool,
+        allow_sell: bool,
+    ) -> CandidateEligibility {
+        CandidateEligibility {
+            is_paused,
+            allow_sell,
+            ..candidate(date)
+        }
+    }
+
    fn st_candidate(date: NaiveDate) -> CandidateEligibility {
        CandidateEligibility {
            is_st: true,
@@ -4192,6 +4270,28 @@ mod tests {
        .expect("dataset")
    }

+    fn dataset_from_market_and_candidates(
+        markets: Vec<DailyMarketSnapshot>,
+        candidates: Vec<CandidateEligibility>,
+    ) -> DataSet {
+        let factors = markets
+            .iter()
+            .map(|market| factor(market.date))
+            .collect::<Vec<_>>();
+        let benchmarks = markets
+            .iter()
+            .map(|market| benchmark(market.date))
+            .collect::<Vec<_>>();
+        DataSet::from_components(
+            vec![default_instrument()],
+            markets,
+            factors,
+            candidates,
+            benchmarks,
+        )
+        .expect("dataset")
+    }
+
    fn run_with_matching(
        matching_type: MatchingType,
        execution_price_field: PriceField,
@@ -4277,6 +4377,35 @@ mod tests {
        .expect("backtest run")
    }

+    fn run_scheduled_round_trip_next_open_with_dataset_and_broker(
+        dataset: DataSet,
+        broker: BrokerSimulator<ChinaAShareCostModel, ChinaEquityRuleHooks>,
+    ) -> super::BacktestResult {
+        let first = d(2025, 1, 2);
+        let third = d(2025, 1, 6);
+        let config = BacktestConfig {
+            initial_cash: 100_000.0,
+            benchmark_code: "000852.SH".to_string(),
+            start_date: Some(first),
+            end_date: Some(d(2025, 1, 7)),
+            decision_lag_trading_days: 1,
+            execution_price_field: PriceField::Open,
+        };
+
+        BacktestEngine::new(
+            dataset,
+            ScheduledRoundTripStrategy {
+                rule: ScheduleRule::daily("daily_round_trip", ScheduleStage::OnDay),
+                buy_decision_date: first,
+                sell_decision_date: third,
+            },
+            broker,
+            config,
+        )
+        .run()
+        .expect("backtest run")
+    }
+
    fn assert_next_open_canceled_with_reason(result: &super::BacktestResult, reason: &str) {
        let execution_date = d(2025, 1, 3);
        assert!(result.fills.is_empty());
@@ -4287,6 +4416,18 @@ mod tests {
        }));
    }

+    fn assert_round_trip_sell_canceled_with_reason(result: &super::BacktestResult, reason: &str) {
+        let execution_date = d(2025, 1, 7);
+        assert!(result.fills.iter().any(|fill| fill.side == OrderSide::Buy));
+        assert!(result.fills.iter().all(|fill| fill.side != OrderSide::Sell));
+        assert!(result.order_events.iter().any(|event| {
+            event.date == execution_date
+                && event.side == OrderSide::Sell
+                && matches!(event.status, OrderStatus::Canceled | OrderStatus::Rejected)
+                && event.reason.contains(reason)
+        }));
+    }
+
    #[test]
    fn current_bar_close_uses_decision_day_close_for_fill() {
        let result = run_with_matching(MatchingType::CurrentBarClose, PriceField::Close, 0);
@@ -4440,4 +4581,127 @@ mod tests {

        assert_next_open_canceled_with_reason(&result, "blacklisted");
    }
+
+    #[test]
+    fn next_bar_open_sell_risk_ignores_decision_day_paused_and_lower_limit_state() {
+        let first = d(2025, 1, 2);
+        let second = d(2025, 1, 3);
+        let third = d(2025, 1, 6);
+        let fourth = d(2025, 1, 7);
+        let result = run_scheduled_round_trip_next_open_with_dataset_and_broker(
+            dataset_from_market_and_candidates(
+                vec![
+                    market(first, 10.0, 10.5),
+                    market(second, 11.0, 11.5),
+                    market_with_state(third, 9.0, 9.0, true, 20.0, 9.0),
+                    market(fourth, 12.0, 12.2),
+                ],
+                vec![
+                    candidate(first),
+                    candidate(second),
+                    candidate_with_sell_state(third, true, false),
+                    candidate(fourth),
+                ],
+            ),
+            scheduled_next_open_broker(FidcRiskControlConfig::default()),
+        );
+
+        let sell_fill = result
+            .fills
+            .iter()
+            .find(|fill| fill.side == OrderSide::Sell)
+            .expect("sell should execute on actual execution date");
+        assert_eq!(sell_fill.date, fourth);
+        assert_eq!(sell_fill.price, 12.0);
+    }
+
+    #[test]
+    fn next_bar_open_sell_risk_rejects_execution_day_lower_limit_state() {
+        let first = d(2025, 1, 2);
+        let second = d(2025, 1, 3);
+        let third = d(2025, 1, 6);
+        let fourth = d(2025, 1, 7);
+        let result = run_scheduled_round_trip_next_open_with_dataset_and_broker(
+            dataset_from_market_and_candidates(
+                vec![
+                    market(first, 10.0, 10.5),
+                    market(second, 11.0, 11.5),
+                    market(third, 12.0, 12.5),
+                    market_with_state(fourth, 9.0, 9.0, false, 20.0, 9.0),
+                ],
+                vec![
+                    candidate(first),
+                    candidate(second),
+                    candidate(third),
+                    candidate(fourth),
+                ],
+            ),
+            scheduled_next_open_broker(FidcRiskControlConfig::default()),
+        );
+
+        assert_round_trip_sell_canceled_with_reason(&result, "open at or below lower limit");
+    }
+
+    #[test]
+    fn next_bar_open_sell_volume_limit_ignores_decision_day_zero_volume() {
+        let first = d(2025, 1, 2);
+        let second = d(2025, 1, 3);
+        let third = d(2025, 1, 6);
+        let fourth = d(2025, 1, 7);
+        let broker = scheduled_next_open_broker(FidcRiskControlConfig::default())
+            .with_volume_limit(true)
+            .with_volume_percent(0.25);
+        let result = run_scheduled_round_trip_next_open_with_dataset_and_broker(
+            dataset_from_market_and_candidates(
+                vec![
+                    market(first, 10.0, 10.5),
+                    market(second, 11.0, 11.5),
+                    market_with_volume(third, 12.0, 12.5, 0),
+                    market(fourth, 12.0, 12.2),
+                ],
+                vec![
+                    candidate(first),
+                    candidate(second),
+                    candidate(third),
+                    candidate(fourth),
+                ],
+            ),
+            broker,
+        );
+
+        assert!(result.fills.iter().any(|fill| fill.side == OrderSide::Buy));
+        assert!(result.fills.iter().any(|fill| {
+            fill.side == OrderSide::Sell && fill.date == fourth && (fill.price - 12.0).abs() < 1e-9
+        }));
+    }
+
+    #[test]
+    fn next_bar_open_sell_volume_limit_rejects_execution_day_zero_volume() {
+        let first = d(2025, 1, 2);
+        let second = d(2025, 1, 3);
+        let third = d(2025, 1, 6);
+        let fourth = d(2025, 1, 7);
+        let broker = scheduled_next_open_broker(FidcRiskControlConfig::default())
+            .with_volume_limit(true)
+            .with_volume_percent(0.25);
+        let result = run_scheduled_round_trip_next_open_with_dataset_and_broker(
+            dataset_from_market_and_candidates(
+                vec![
+                    market(first, 10.0, 10.5),
+                    market(second, 11.0, 11.5),
+                    market(third, 12.0, 12.5),
+                    market_with_volume(fourth, 12.0, 12.2, 0),
+                ],
+                vec![
+                    candidate(first),
+                    candidate(second),
+                    candidate(third),
+                    candidate(fourth),
+                ],
+            ),
+            broker,
+        );
+
+        assert_round_trip_sell_canceled_with_reason(&result, "daily volume limit");
+    }
 }