修复next-open执行日风控价格

2026-07-05 13:48:01 +08:00
parent 2f61bd8e57
commit d3c986e1f2
3 changed files with 469 additions and 22 deletions
@@ -5210,6 +5210,30 @@ mod tests {
        );
    }

+    #[test]
+    fn next_bar_open_execution_risk_uses_open_not_close_for_upper_limit_buy() {
+        let first = d(2025, 1, 2);
+        let second = d(2025, 1, 3);
+        let result = run_scheduled_next_open_with_dataset(dataset_with(
+            market(first, 10.0, 11.5),
+            market_with_state(second, 11.8, 12.0, false, 12.0, 1.0),
+            candidate(first),
+            candidate(second),
+        ));
+
+        assert_eq!(result.fills.len(), 1);
+        assert_eq!(result.fills[0].date, second);
+        assert_eq!(result.fills[0].price, 11.8);
+        assert!(
+            result
+                .order_events
+                .iter()
+                .all(|event| !event.reason.contains("upper limit")),
+            "{:?}",
+            result.order_events
+        );
+    }
+
    #[test]
    fn next_bar_open_execution_risk_rejects_execution_day_st_state() {
        let first = d(2025, 1, 2);
@@ -5344,6 +5368,47 @@ mod tests {
        assert_round_trip_sell_canceled_with_reason(&result, "open at or below lower limit");
    }

+    #[test]
+    fn next_bar_open_sell_risk_uses_open_not_close_for_lower_limit_sell() {
+        let first = d(2025, 1, 2);
+        let second = d(2025, 1, 3);
+        let third = d(2025, 1, 6);
+        let fourth = d(2025, 1, 7);
+        let result = run_scheduled_round_trip_next_open_with_dataset_and_broker(
+            dataset_from_market_and_candidates(
+                vec![
+                    market(first, 10.0, 10.5),
+                    market(second, 11.0, 11.5),
+                    market(third, 12.0, 12.5),
+                    market_with_state(fourth, 9.2, 9.0, false, 20.0, 9.0),
+                ],
+                vec![
+                    candidate(first),
+                    candidate(second),
+                    candidate(third),
+                    candidate(fourth),
+                ],
+            ),
+            scheduled_next_open_broker(FidcRiskControlConfig::default()),
+        );
+
+        let sell_fill = result
+            .fills
+            .iter()
+            .find(|fill| fill.side == OrderSide::Sell)
+            .expect("sell should execute when next-open is above lower limit");
+        assert_eq!(sell_fill.date, fourth);
+        assert_eq!(sell_fill.price, 9.2);
+        assert!(
+            result
+                .order_events
+                .iter()
+                .all(|event| !event.reason.contains("lower limit")),
+            "{:?}",
+            result.order_events
+        );
+    }
+
    #[test]
    fn next_bar_open_sell_respects_allow_sell_policy_on_execution_day() {
        let first = d(2025, 1, 2);