保留AiQuant盘中卖出价格风控语义
This commit is contained in:
@@ -2295,7 +2295,10 @@ where
|
||||
position: &crate::portfolio::Position,
|
||||
algo_request: Option<&AlgoExecutionRequest>,
|
||||
) -> RuleCheck {
|
||||
if self.risk_config.static_rules.respect_allow_buy_sell && !candidate.allow_sell {
|
||||
if self.risk_config.static_rules.respect_allow_buy_sell
|
||||
&& !self.aiquant_execution_rules
|
||||
&& !candidate.allow_sell
|
||||
{
|
||||
return RuleCheck::reject("sell_disabled");
|
||||
}
|
||||
let check_price = if self.aiquant_execution_rules {
|
||||
@@ -2310,6 +2313,10 @@ where
|
||||
} else {
|
||||
ChinaAShareRiskControl::sell_check_price(snapshot, self.execution_price_field)
|
||||
};
|
||||
let mut risk_config = self.risk_config.clone();
|
||||
if self.aiquant_execution_rules {
|
||||
risk_config.static_rules.respect_allow_buy_sell = false;
|
||||
}
|
||||
if let Some(reason) = ChinaAShareRiskControl::sell_rejection_reason_with_config(
|
||||
date,
|
||||
candidate,
|
||||
@@ -2317,7 +2324,7 @@ where
|
||||
instrument,
|
||||
Some(position),
|
||||
check_price,
|
||||
&self.risk_config,
|
||||
&risk_config,
|
||||
) {
|
||||
return RuleCheck::reject(reason);
|
||||
}
|
||||
|
||||
@@ -845,7 +845,8 @@ mod tests {
|
||||
fn sell_rejection_blocks_execution_price_at_lower_limit() {
|
||||
let prev_date = d(2024, 4, 16);
|
||||
let date = d(2024, 4, 17);
|
||||
let candidate = candidate(date);
|
||||
let mut candidate = candidate(date);
|
||||
candidate.allow_sell = true;
|
||||
let market = market(date, 5.63, 5.63);
|
||||
let position = position(prev_date);
|
||||
|
||||
@@ -1081,6 +1082,7 @@ mod tests {
|
||||
fn missing_risk_state_rejects_selection_and_buy_when_static_filters_enabled() {
|
||||
let date = d(2025, 1, 2);
|
||||
let mut candidate = candidate(date);
|
||||
candidate.allow_sell = true;
|
||||
candidate.risk_level_code = Some("missing_risk_state:is_st,allow_buy".to_string());
|
||||
let market = market(date, 6.27, 5.63);
|
||||
|
||||
|
||||
Reference in New Issue
Block a user