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fix: price one-yuan buy risk at execution and audit account-local signal exits

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This commit is contained in:
boris
2026-09-11 09:02:52 +08:00
parent 6684f48f95
commit c2b939e818
2 changed files with 130 additions and 4 deletions
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crates/fidc-core/src/risk_control.rs
+65 -4
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@@ -414,7 +414,7 @@ impl ChinaAShareRiskControl {
}
let reject_one_yuan = match scope {
RiskCheckScope::Selection => config.static_rules.reject_one_yuan_selection,
RiskCheckScope::Buy => config.static_rules.reject_one_yuan_buy,
RiskCheckScope::Buy => false,
RiskCheckScope::Sell => false,
};
if reject_one_yuan
@@ -487,6 +487,14 @@ impl ChinaAShareRiskControl {
) {
return Some(reason);
}
if !check_price.is_finite() || check_price <= 0.0 {
return Some("invalid execution price");
}
// Daily candidate flags can describe the later close. Execution
// price constraints must use this order's actual pricing clock.
if config.static_rules.reject_one_yuan_buy && check_price <= 1.0 {
return Some("one_yuan");
}
if config.static_rules.respect_allow_buy_sell && !candidate.allow_buy {
return Some("buy_disabled");
}
@@ -668,7 +676,6 @@ fn missing_buy_risk_state_rejected(code: &str, config: &FidcRiskControlConfig) -
|| config.static_rules.reject_new_listing_buy
|| config.static_rules.reject_kcb_buy
|| config.static_rules.reject_bjse_buy
|| config.static_rules.reject_one_yuan_buy
|| config.static_rules.reject_upper_limit_buy
|| config.static_rules.respect_allow_buy_sell;
}
@@ -745,7 +752,7 @@ fn missing_single_field_rejected(
},
"is_one_yuan" | "one_yuan" => match scope {
RiskCheckScope::Selection => config.static_rules.reject_one_yuan_selection,
RiskCheckScope::Buy => config.static_rules.reject_one_yuan_buy,
RiskCheckScope::Buy => false,
RiskCheckScope::Sell => false,
},
"allow_buy" => match scope {
@@ -789,7 +796,6 @@ fn missing_single_field_rejected(
|| config.static_rules.reject_new_listing_buy
|| config.static_rules.reject_kcb_buy
|| config.static_rules.reject_bjse_buy
|| config.static_rules.reject_one_yuan_buy
|| config.static_rules.reject_upper_limit_buy
|| config.static_rules.respect_allow_buy_sell
}
@@ -906,6 +912,61 @@ mod tests {
position
}
#[test]
fn one_yuan_buy_rule_uses_execution_price_not_later_close_or_earlier_open() {
let day = d(2025, 2, 6);
let mut candidate = candidate(day);
let mut snapshot = market(day, 1.2, 0.5);
let config = FidcRiskControlConfig::default();
candidate.is_one_yuan = true;
snapshot.day_open = 0.9;
snapshot.close = 0.8;
assert_eq!(ChinaAShareRiskControl::buy_rejection_reason_with_config(
day, &candidate, &snapshot, None, 1.2, &config), None);
candidate.is_one_yuan = false;
snapshot.day_open = 1.2;
snapshot.close = 1.3;
for price in [0.9, 1.0] {
assert_eq!(ChinaAShareRiskControl::buy_rejection_reason_with_config(
day, &candidate, &snapshot, None, price, &config), Some("one_yuan"));
}
let mut relaxed = config;
relaxed.static_rules.reject_one_yuan_buy = false;
assert_eq!(ChinaAShareRiskControl::buy_rejection_reason_with_config(
day, &candidate, &snapshot, None, 0.9, &relaxed), None);
}
#[test]
fn execution_quote_covers_missing_one_yuan_flag_but_not_other_risk_facts() {
let day = d(2025, 2, 6);
let mut candidate = candidate(day);
let snapshot = market(day, 1.2, 0.5);
let config = FidcRiskControlConfig::default();
candidate.risk_level_code = Some("missing_risk_state:is_one_yuan".into());
assert_eq!(ChinaAShareRiskControl::buy_rejection_reason_with_config(
day, &candidate, &snapshot, None, 1.2, &config), None);
candidate.risk_level_code = Some("missing_risk_state:is_st".into());
assert_eq!(ChinaAShareRiskControl::buy_rejection_reason_with_config(
day, &candidate, &snapshot, None, 1.2, &config), Some("missing_risk_state"));
candidate.risk_level_code = None;
for price in [0.0, f64::NAN, f64::INFINITY] {
assert_eq!(ChinaAShareRiskControl::buy_rejection_reason_with_config(
day, &candidate, &snapshot, None, price, &config), Some("invalid execution price"));
}
}
#[test]
fn explicit_one_yuan_selection_policy_still_uses_selection_facts() {
let day = d(2025, 2, 6);
let mut candidate = candidate(day);
candidate.is_one_yuan = true;
let snapshot = market(day, 1.2, 0.5);
let mut config = FidcRiskControlConfig::default();
config.static_rules.reject_one_yuan_selection = true;
assert_eq!(ChinaAShareRiskControl::selection_rejection_reason_with_config(
day, &candidate, &snapshot, None, &config), Some("one_yuan"));
}
#[test]
fn sell_rejection_respects_allow_sell_policy_on_execution_day() {
let prev_date = d(2024, 4, 16);