修正退市持仓虚假现金兑付

crates/fidc-core/tests/delisting.rs

@@ -42,7 +42,7 @@ impl Strategy for BuyThenHoldStrategy {
 }
 
 #[test]
-fn engine_settles_delisted_position_before_missing_market_snapshot_breaks_run() {
+fn engine_keeps_unresolved_delisted_position_without_fabricating_a_fill() {
     let date1 = d(2025, 1, 2);
     let delist_date = d(2025, 1, 3);
     let date2 = d(2025, 1, 6);
@@ -306,24 +306,33 @@ fn engine_settles_delisted_position_before_missing_market_snapshot_breaks_run()
     );
 
     let result = engine.run().expect("backtest succeeds");
-    assert_eq!(result.fills.len(), 2);
+    assert_eq!(result.fills.len(), 1);
     assert!(
         result
             .fills
             .iter()
-            .any(|fill| fill.reason.contains("delisted_cash_settlement")
-                && fill.symbol == "000001.SZ")
-    );
-    assert!(
-        result
-            .holdings_summary
-            .iter()
-            .all(|holding| holding.symbol != "000001.SZ")
+            .all(|fill| !fill.reason.contains("delisted_cash_settlement"))
     );
+    let unresolved = result
+        .holdings_summary
+        .iter()
+        .find(|holding| holding.symbol == "000001.SZ")
+        .expect("unresolved delisted holding remains auditable");
+    assert_eq!(unresolved.quantity, 900);
+    assert_eq!(unresolved.last_price, 0.0);
+    assert_eq!(unresolved.market_value, 0.0);
+    assert!(result.equity_curve.iter().any(|point| {
+        point
+            .notes
+            .contains("unresolved_delisted_position symbol=000001.SZ")
+            && point.notes.contains("settlement_action=missing")
+            && point.notes.contains("valuation_policy=zero")
+            && point.notes.contains("no_order=true")
+    }));
 }
 
 #[test]
-fn engine_applies_successor_conversion_before_delisted_cash_settlement() {
+fn engine_applies_successor_conversion_before_unresolved_delisting_audit() {
     let date1 = d(2025, 1, 2);
     let date2 = d(2025, 1, 3);
     let data = DataSet::from_components_with_actions(