补齐FIDC北交所风控开关

2026-07-03 06:26:51 +08:00
parent 179c4eaff5
commit e77baffa10
3 changed files with 82 additions and 3 deletions
@@ -216,6 +216,10 @@ pub struct StrategyRiskPolicySpec {
    pub reject_kcb_selection: Option<bool>,
    #[serde(default, alias = "reject_kcb_buy")]
    pub reject_kcb_buy: Option<bool>,
+    #[serde(default, alias = "reject_bjse_selection")]
+    pub reject_bjse_selection: Option<bool>,
+    #[serde(default, alias = "reject_bjse_buy")]
+    pub reject_bjse_buy: Option<bool>,
    #[serde(default, alias = "reject_one_yuan_selection")]
    pub reject_one_yuan_selection: Option<bool>,
    #[serde(default, alias = "reject_one_yuan_buy")]
@@ -285,6 +289,8 @@ const RISK_POLICY_BOOL_ALIAS_GROUPS: &[(&str, &[&str])] = &[
    ("rejectNewListingBuy", &["reject_new_listing_buy"]),
    ("rejectKcbSelection", &["reject_kcb_selection"]),
    ("rejectKcbBuy", &["reject_kcb_buy"]),
+    ("rejectBjseSelection", &["reject_bjse_selection"]),
+    ("rejectBjseBuy", &["reject_bjse_buy"]),
    ("rejectOneYuanSelection", &["reject_one_yuan_selection"]),
    ("rejectOneYuanBuy", &["reject_one_yuan_buy"]),
    ("respectAllowBuySell", &["respect_allow_buy_sell"]),
@@ -794,6 +800,12 @@ fn apply_risk_policy_overrides(
    if let Some(value) = policy.reject_kcb_buy {
        static_rules.reject_kcb_buy = value;
    }
+    if let Some(value) = policy.reject_bjse_selection {
+        static_rules.reject_bjse_selection = value;
+    }
+    if let Some(value) = policy.reject_bjse_buy {
+        static_rules.reject_bjse_buy = value;
+    }
    if let Some(value) = policy.reject_one_yuan_selection {
        static_rules.reject_one_yuan_selection = value;
    }
@@ -2244,6 +2256,8 @@ mod tests {
                    "rejectStarStBuy": true,
                    "reject_paused_selection": false,
                    "reject_kcb_buy": false,
+                    "rejectBjseSelection": false,
+                    "reject_bjse_buy": false,
                    "blacklisted_symbols": ["000001.SZ"],
                    "blacklist": ["000002.SZ", "000001.SZ"],
                    "volume_limit_enabled": true,
@@ -2266,6 +2280,8 @@ mod tests {
        assert!(cfg.risk_config.static_rules.reject_st_buy);
        assert!(!cfg.risk_config.static_rules.reject_paused_selection);
        assert!(!cfg.risk_config.static_rules.reject_kcb_buy);
+        assert!(!cfg.risk_config.static_rules.reject_bjse_selection);
+        assert!(!cfg.risk_config.static_rules.reject_bjse_buy);
        assert!(
            cfg.risk_config
                .static_rules
@@ -25,6 +25,8 @@ pub struct StaticRiskRuleConfig {
    pub reject_new_listing_buy: bool,
    pub reject_kcb_selection: bool,
    pub reject_kcb_buy: bool,
+    pub reject_bjse_selection: bool,
+    pub reject_bjse_buy: bool,
    pub reject_one_yuan_selection: bool,
    pub reject_one_yuan_buy: bool,
    pub respect_allow_buy_sell: bool,
@@ -53,6 +55,8 @@ impl Default for StaticRiskRuleConfig {
            reject_new_listing_buy: true,
            reject_kcb_selection: true,
            reject_kcb_buy: true,
+            reject_bjse_selection: true,
+            reject_bjse_buy: true,
            reject_one_yuan_selection: true,
            reject_one_yuan_buy: true,
            respect_allow_buy_sell: true,
@@ -358,6 +362,14 @@ impl ChinaAShareRiskControl {
        if reject_kcb && (candidate.is_kcb || symbol_is_kcb(&candidate.symbol)) {
            return Some("kcb");
        }
+        let reject_bjse = match scope {
+            RiskCheckScope::Selection => config.static_rules.reject_bjse_selection,
+            RiskCheckScope::Buy => config.static_rules.reject_bjse_buy,
+            RiskCheckScope::Sell => false,
+        };
+        if reject_bjse && symbol_is_bjse(&candidate.symbol) {
+            return Some("bjse");
+        }
        let reject_one_yuan = match scope {
            RiskCheckScope::Selection => config.static_rules.reject_one_yuan_selection,
            RiskCheckScope::Buy => config.static_rules.reject_one_yuan_buy,
@@ -514,6 +526,11 @@ fn symbol_is_kcb(symbol: &str) -> bool {
    (normalized.starts_with("688") || normalized.starts_with("689")) && normalized.ends_with(".SH")
 }

+fn symbol_is_bjse(symbol: &str) -> bool {
+    let normalized = symbol.trim().to_ascii_uppercase();
+    normalized.ends_with(".BJ") || normalized.ends_with(".BSE") || normalized.ends_with(".BE")
+}
+
 fn missing_risk_state_fields(code: &str) -> Vec<String> {
    let Some((_, fields)) = code.split_once(':') else {
        return Vec::new();
@@ -534,6 +551,7 @@ fn missing_selection_risk_state_rejected(code: &str, config: &FidcRiskControlCon
            || config.static_rules.reject_inactive_selection
            || config.static_rules.reject_new_listing_selection
            || config.static_rules.reject_kcb_selection
+            || config.static_rules.reject_bjse_selection
            || config.static_rules.reject_one_yuan_selection
            || config.static_rules.reject_upper_limit_selection
            || config.static_rules.reject_lower_limit_selection
@@ -550,6 +568,7 @@ fn missing_buy_risk_state_rejected(code: &str, config: &FidcRiskControlConfig) -
            || config.static_rules.reject_inactive_buy
            || config.static_rules.reject_new_listing_buy
            || config.static_rules.reject_kcb_buy
+            || config.static_rules.reject_bjse_buy
            || config.static_rules.reject_one_yuan_buy
            || config.static_rules.reject_upper_limit_buy
            || config.static_rules.respect_allow_buy_sell;
@@ -606,8 +625,18 @@ fn missing_single_field_rejected(
            RiskCheckScope::Sell => false,
        },
        "is_kcb" | "kcb" | "board" | "market_board" => match scope {
-            RiskCheckScope::Selection => config.static_rules.reject_kcb_selection,
-            RiskCheckScope::Buy => config.static_rules.reject_kcb_buy,
+            RiskCheckScope::Selection => {
+                config.static_rules.reject_kcb_selection
+                    || config.static_rules.reject_bjse_selection
+            }
+            RiskCheckScope::Buy => {
+                config.static_rules.reject_kcb_buy || config.static_rules.reject_bjse_buy
+            }
+            RiskCheckScope::Sell => false,
+        },
+        "is_bjse" | "bjse" | "bse" | "beijing_exchange" | "north_exchange" => match scope {
+            RiskCheckScope::Selection => config.static_rules.reject_bjse_selection,
+            RiskCheckScope::Buy => config.static_rules.reject_bjse_buy,
            RiskCheckScope::Sell => false,
        },
        "is_one_yuan" | "one_yuan" => match scope {
@@ -644,6 +673,7 @@ fn missing_single_field_rejected(
                    || config.static_rules.reject_inactive_selection
                    || config.static_rules.reject_new_listing_selection
                    || config.static_rules.reject_kcb_selection
+                    || config.static_rules.reject_bjse_selection
                    || config.static_rules.reject_one_yuan_selection
                    || config.static_rules.reject_upper_limit_selection
                    || config.static_rules.reject_lower_limit_selection
@@ -655,6 +685,7 @@ fn missing_single_field_rejected(
                    || config.static_rules.reject_inactive_buy
                    || config.static_rules.reject_new_listing_buy
                    || config.static_rules.reject_kcb_buy
+                    || config.static_rules.reject_bjse_buy
                    || config.static_rules.reject_one_yuan_buy
                    || config.static_rules.reject_upper_limit_buy
                    || config.static_rules.respect_allow_buy_sell
@@ -813,6 +844,33 @@ mod tests {
        assert_eq!(configured_reason, None);
    }

+    #[test]
+    fn configurable_bjse_filter_can_be_disabled() {
+        let date = d(2025, 1, 2);
+        let mut candidate = candidate(date);
+        candidate.symbol = "430047.BJ".to_string();
+        candidate.allow_sell = true;
+        let market = market(date, 6.27, 5.63);
+        let default_selection =
+            ChinaAShareRiskControl::selection_rejection_reason(date, &candidate, &market, None);
+        let default_buy =
+            ChinaAShareRiskControl::buy_rejection_reason(date, &candidate, &market, None, 6.27);
+        let mut config = FidcRiskControlConfig::default();
+        config.static_rules.reject_bjse_selection = false;
+        config.static_rules.reject_bjse_buy = false;
+        let configured_selection = ChinaAShareRiskControl::selection_rejection_reason_with_config(
+            date, &candidate, &market, None, &config,
+        );
+        let configured_buy = ChinaAShareRiskControl::buy_rejection_reason_with_config(
+            date, &candidate, &market, None, 6.27, &config,
+        );
+
+        assert_eq!(default_selection, Some("bjse"));
+        assert_eq!(default_buy, Some("bjse"));
+        assert_eq!(configured_selection, None);
+        assert_eq!(configured_buy, None);
+    }
+
    #[test]
    fn concrete_kcb_reason_wins_over_generic_missing_risk_state() {
        let date = d(2025, 1, 2);
@@ -994,6 +1052,8 @@ mod tests {
        config.static_rules.reject_new_listing_buy = false;
        config.static_rules.reject_kcb_selection = false;
        config.static_rules.reject_kcb_buy = false;
+        config.static_rules.reject_bjse_selection = false;
+        config.static_rules.reject_bjse_buy = false;
        config.static_rules.reject_one_yuan_selection = false;
        config.static_rules.reject_one_yuan_buy = false;
        config.static_rules.respect_allow_buy_sell = false;