修复FIDC next-open风险退出执行日判断

crates/fidc-core/src/platform_expr_strategy.rs

@@ -6237,6 +6237,7 @@ impl PlatformExprStrategy {
         date: NaiveDate,
         symbol: &str,
         execution_time: NaiveTime,
+        defer_execution_risk: bool,
     ) -> Result<bool, BacktestError> {
         let Ok(candidate) = ctx.data.require_candidate(date, symbol) else {
             return Ok(false);
@@ -6249,6 +6250,9 @@ impl PlatformExprStrategy {
         else {
             return Ok(false);
         };
+        if defer_execution_risk {
+            return Ok(true);
+        }
         if !candidate.allow_sell || candidate.is_paused {
             return Ok(false);
         }
@@ -7714,6 +7718,7 @@ impl Strategy for PlatformExprStrategy {
                     projection_date,
                     &position.symbol,
                     risk_level_forced_exit_time,
+                    defer_execution_risk,
                 )? {
                     pending_full_close_symbols.insert(position.symbol.clone());
                     pending_risk_level_forced_exit_symbols.insert(position.symbol.clone());
@@ -12583,6 +12588,135 @@ mod tests {
         )));
     }
 
+    #[test]
+    fn platform_next_open_risk_level_exit_ignores_decision_day_sellability() {
+        let decision_date = d(2023, 5, 5);
+        let execution_date = d(2023, 5, 8);
+        let symbol = "300621.SZ";
+        let market = |date: NaiveDate, paused: bool| DailyMarketSnapshot {
+            date,
+            symbol: symbol.to_string(),
+            timestamp: Some(format!("{date} 10:18:00")),
+            day_open: 10.0,
+            open: 10.0,
+            high: 10.8,
+            low: 9.8,
+            close: 10.5,
+            last_price: 10.5,
+            bid1: 10.49,
+            ask1: 10.51,
+            prev_close: 10.4,
+            volume: if paused { 0 } else { 200_000 },
+            minute_volume: if paused { 0 } else { 1_000 },
+            bid1_volume: if paused { 0 } else { 2_000 },
+            ask1_volume: if paused { 0 } else { 2_000 },
+            trading_phase: Some(if paused { "paused" } else { "continuous" }.to_string()),
+            paused,
+            upper_limit: 11.44,
+            lower_limit: 9.36,
+            price_tick: 0.01,
+        };
+        let candidate = |date: NaiveDate, paused: bool| CandidateEligibility {
+            date,
+            symbol: symbol.to_string(),
+            is_st: false,
+            is_star_st: false,
+            is_new_listing: false,
+            is_paused: paused,
+            allow_buy: !paused,
+            allow_sell: !paused,
+            is_kcb: false,
+            is_one_yuan: false,
+            risk_level_code: Some("A".to_string()),
+        };
+        let factor = |date: NaiveDate| DailyFactorSnapshot {
+            date,
+            symbol: symbol.to_string(),
+            market_cap_bn: 20.0,
+            free_float_cap_bn: 20.0,
+            pe_ttm: 8.0,
+            turnover_ratio: Some(1.0),
+            effective_turnover_ratio: Some(1.0),
+            extra_factors: BTreeMap::new(),
+        };
+        let benchmark = |date: NaiveDate| BenchmarkSnapshot {
+            date,
+            benchmark: "000852.SH".to_string(),
+            open: 1000.0,
+            close: 1000.0,
+            prev_close: 999.0,
+            volume: 1_000_000,
+        };
+        let data = DataSet::from_components(
+            vec![Instrument {
+                symbol: symbol.to_string(),
+                name: symbol.to_string(),
+                board: "SZ".to_string(),
+                round_lot: 100,
+                listed_at: Some(d(2020, 1, 1)),
+                delisted_at: None,
+                status: "active".to_string(),
+            }],
+            vec![market(decision_date, true), market(execution_date, false)],
+            vec![factor(decision_date), factor(execution_date)],
+            vec![
+                candidate(decision_date, true),
+                candidate(execution_date, false),
+            ],
+            vec![benchmark(decision_date), benchmark(execution_date)],
+        )
+        .expect("dataset");
+        let mut portfolio = PortfolioState::new(1_000_000.0);
+        portfolio
+            .position_mut(symbol)
+            .buy(d(2023, 5, 4), 30_000, 10.0);
+        portfolio.apply_cash_delta(-300_000.0);
+        let subscriptions = BTreeSet::new();
+        let ctx = StrategyContext {
+            execution_date,
+            decision_date,
+            decision_index: 2,
+            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::microcap_rotation();
+        cfg.aiquant_transaction_cost = true;
+        cfg.rotation_enabled = false;
+        cfg.daily_top_up_enabled = false;
+        cfg.signal_symbol = symbol.to_string();
+        cfg.stop_loss_expr.clear();
+        cfg.take_profit_expr.clear();
+        cfg.intraday_execution_time = Some(NaiveTime::from_hms_opt(10, 18, 0).expect("time"));
+        let mut strategy = PlatformExprStrategy::new(cfg);
+
+        let decision = strategy.on_day(&ctx).expect("platform decision");
+
+        assert!(decision.order_intents.iter().any(|intent| matches!(
+            intent,
+            OrderIntent::TimedTargetValue {
+                symbol: intent_symbol,
+                target_value,
+                start_time,
+                end_time,
+                reason,
+                ..
+            } if intent_symbol == symbol
+                && *target_value == 0.0
+                && *start_time == Some(NaiveTime::from_hms_opt(10, 18, 0).expect("time"))
+                && *end_time == Some(NaiveTime::from_hms_opt(10, 18, 0).expect("time"))
+                && reason == "risk_forced_exit"
+        )));
+    }
+
     #[test]
     fn platform_aiquant_weak_market_threshold_only_sells_overweight_positions() {
         let prev_date = d(2023, 5, 4);