补齐延迟撮合选股风控测试

2026-07-04 05:51:35 +08:00
parent f507c63069
commit c911e79d88
1 changed files with 48 additions and 0 deletions
@@ -431,4 +431,52 @@ mod tests {
                .starts_with("risk_decision=")
        );
    }
+
+    #[test]
+    fn selector_defers_static_execution_risk_for_lagged_execution() {
+        let data = DataSet::from_components(
+            vec![
+                instrument("000001.SZ"),
+                instrument("688001.SH"),
+                instrument("000002.SZ"),
+            ],
+            vec![
+                market("000001.SZ", 10.0),
+                market("688001.SH", 10.0),
+                market("000002.SZ", 10.0),
+            ],
+            vec![
+                factor("000001.SZ", 8.0),
+                factor("688001.SH", 9.0),
+                factor("000002.SZ", 10.0),
+            ],
+            vec![
+                candidate("000001.SZ", true, false),
+                candidate("688001.SH", false, true),
+                candidate("000002.SZ", false, false),
+            ],
+            vec![benchmark()],
+        )
+        .unwrap();
+        let selector = DynamicMarketCapBandSelector::new(2000.0, 7.0, 10.0, 0.0, 10, 0.0, 0.0, 0.0);
+        let (selected, diagnostics) = selector.select_with_diagnostics(&SelectionContext {
+            decision_date: d(),
+            benchmark: &benchmark(),
+            reference_level: 2000.0,
+            data: &data,
+            dynamic_universe: None,
+            risk_config: Some(&FidcRiskControlConfig::default()),
+            defer_selection_risk: true,
+        });
+
+        let selected_symbols = selected
+            .iter()
+            .map(|candidate| candidate.symbol.as_str())
+            .collect::<BTreeSet<_>>();
+        assert!(selected_symbols.contains("000001.SZ"));
+        assert!(selected_symbols.contains("688001.SH"));
+        assert!(selected_symbols.contains("000002.SZ"));
+        assert_eq!(diagnostics.not_eligible_count, 0);
+        assert!(diagnostics.risk_decisions.is_empty());
+    }
 }