test(engine): reproduce account-sensitive quote scope bypass

2026-09-13 11:07:55 +08:00
parent fe05384f80
commit d15abc18ae
1 changed files with 39 additions and 0 deletions
@@ -162,6 +162,45 @@ fn single_day_quote_plan_data(date: NaiveDate) -> DataSet {
    .expect("dataset")
 }

+#[test]
+fn runtime_account_dependent_quote_scope_cannot_be_replaced_by_an_empty_preplan() {
+    struct AccountDependentQuoteReader;
+    impl Strategy for AccountDependentQuoteReader {
+        fn name(&self) -> &str { "account_dependent_quote_reader" }
+        fn decision_quote_times(&self) -> Vec<NaiveTime> { vec![t(10, 18, 0)] }
+        fn decision_quote_symbols(&mut self, ctx: &StrategyContext<'_>) -> Result<BTreeSet<String>, fidc_core::BacktestError> {
+            Ok(if ctx.portfolio.cash() < 50_000.0 {
+                BTreeSet::from(["000001.SZ".into()])
+            } else { BTreeSet::new() })
+        }
+        fn on_day(&mut self, ctx: &StrategyContext<'_>) -> Result<StrategyDecision, fidc_core::BacktestError> {
+            assert!(ctx.data.execution_quotes_on(ctx.execution_date, "000001.SZ").iter().any(|quote|
+                quote.timestamp.time()==t(10,17,59) && quote.last_price==10.0),
+                "actual account-dependent quote scope must be loaded before decision");
+            Ok(StrategyDecision::default())
+        }
+    }
+    let date = d(2026, 1, 5);
+    let broker = BrokerSimulator::new_with_execution_price(
+        ChinaAShareCostModel::default(), ChinaEquityRuleHooks, PriceField::Close,
+    ).with_volume_capacity_mode(fidc_core::execution_capacity::VolumeCapacityMode::SessionCapacityAudit)
+        .with_matching_type(MatchingType::CurrentBarClose);
+    let config = BacktestConfig {
+        initial_cash:10_000.0, benchmark_code:"000852.SH".into(),
+        start_date:Some(date), end_date:Some(date), decision_lag_trading_days:0,
+        execution_price_field:PriceField::Close,
+    };
+    let mut engine = BacktestEngine::new(single_day_quote_plan_data(date), AccountDependentQuoteReader, broker, config)
+        .with_execution_quote_loader(move |request| Ok(request.symbols.into_iter().map(|symbol| IntradayExecutionQuote {
+            observation_kind:Default::default(), date:request.date, symbol,
+            timestamp:request.date.and_time(t(10,17,59)), last_price:10.0,bid1:10.0,ask1:10.0,
+            bid1_volume:10_000,ask1_volume:10_000,volume_delta:10_000,amount_delta:100_000.0,
+            trading_phase:Some("continuous".into()),
+        }).collect()))
+        .with_preplanned_decision_quote_symbols_by_date(Arc::new(BTreeMap::new()));
+    engine.run().expect("account-dependent quote planning");
+}
+
 #[test]
 fn engine_uses_preplanned_decision_symbols_without_recomputing_strategy_plan() {
    let date = d(2026, 1, 5);