test: verify native daily values respect intraday availability

2026-09-07 21:54:26 +08:00
parent a02ac6e853
commit cb97aa193d
1 changed files with 34 additions and 0 deletions
@@ -13981,6 +13981,40 @@ mod tests {
        assert_eq!(super::completed_session_factor_date(&ctx, prev, prev, None), None);
    }

+    #[test]
+    fn completed_session_bound_value_does_not_read_same_day_future_value() {
+        let prev = d(2025, 1, 2);
+        let curr = d(2025, 1, 3);
+        let symbol = "000001.SZ";
+        let mut parts = single_symbol_platform_data(&[prev, curr], symbol).snapshot_components();
+        for row in &mut parts.factors {
+            row.extra_factors.insert("native_daily".into(), if row.date == prev { 2.0 } else { 999.0 });
+            row.extra_factors.insert("published_today".into(), 7.0);
+        }
+        let data = DataSet::from_components(parts.instruments, parts.market, parts.factors,
+            parts.candidates, parts.benchmarks).unwrap();
+        let portfolio = PortfolioState::new(10_000.0);
+        let subscriptions = BTreeSet::new();
+        let ctx = StrategyContext {
+            execution_date: curr, decision_date: curr, decision_index: 1,
+            data: &data, portfolio: &portfolio, futures_account: None,
+            open_orders: &[], dynamic_universe: None, subscriptions: &subscriptions,
+            process_events: &[], active_process_event: None, active_datetime: None,
+            order_events: &[], fills: &[],
+        };
+        let mut cfg = PlatformExprStrategyConfig::generic();
+        cfg.stock_filter_expr = "native_daily > 0 && published_today > 0".to_string();
+        cfg.completed_session_factor_fields.insert("native_daily".to_string());
+        let strategy = PlatformExprStrategy::new(cfg);
+        let morning = strategy.stock_state_with_factor_date_and_time(&ctx, curr, curr, symbol,
+            NaiveTime::from_hms_opt(10, 0, 0), false).unwrap();
+        assert_eq!(morning.extra_factors["native_daily"], 2.0);
+        assert_eq!(morning.extra_factors["published_today"], 7.0);
+        let close = strategy.stock_state_with_factor_date_and_time(&ctx, curr, curr, symbol,
+            NaiveTime::from_hms_opt(15, 0, 0), false).unwrap();
+        assert_eq!(close.extra_factors["native_daily"], 999.0);
+    }
+
    #[test]
    fn target_scale_replenishment_preserves_strategy_cash_allocation() {
        let scale = 30.0 / 31.0;