修复迟到成交和换股批次的FIFO与持有期

2026-09-14 19:15:01 +08:00
parent b2eaaa0d26
commit e9c9ecbd48
5 changed files with 536 additions and 0 deletions
@@ -23,6 +23,200 @@ fn sample() -> ManualExecutionReplay {
 fn reseal(input: &mut ManualExecutionReplay) {
    input.content_sha256 = input.content_digest().unwrap();
 }
+
+fn delayed_buy_replay() -> ManualExecutionReplay {
+    let mut input = sample();
+    let template = input.actions[0].clone();
+    input.actions.clear();
+    for (index, side, executed, observed, price, fee) in [
+        (
+            0,
+            OrderSide::Buy,
+            "2026-09-14T01:30:00Z",
+            "2026-09-14T01:30:01Z",
+            "20",
+            "0.25",
+        ),
+        (
+            1,
+            OrderSide::Buy,
+            "2026-09-11T06:00:00Z",
+            "2026-09-14T01:30:02Z",
+            "10",
+            "0.75",
+        ),
+        (
+            2,
+            OrderSide::Sell,
+            "2026-09-14T01:31:00Z",
+            "2026-09-14T01:31:01Z",
+            "10",
+            "0.5",
+        ),
+        (
+            3,
+            OrderSide::Sell,
+            "2026-09-14T01:32:00Z",
+            "2026-09-14T01:32:01Z",
+            "10",
+            "0.5",
+        ),
+    ] {
+        let executed: DateTime<Utc> = executed.parse().unwrap();
+        let observed: DateTime<Utc> = observed.parse().unwrap();
+        let mut action = template.clone();
+        action.action_id = format!("action-{index}");
+        action.audit_event_ids = vec![format!("audit-{index}")];
+        action.confirmed_at = executed - chrono::Duration::seconds(2);
+        action.confirmation_observed_at = action.confirmed_at;
+        let order = &mut action.orders[0];
+        order.order_id = format!("order-{index}");
+        order.broker_order_id = Some(format!("broker-{index}"));
+        order.side = side;
+        order.order_created_at = executed - chrono::Duration::seconds(1);
+        order.terminal_observed_at = observed;
+        let fill = &mut order.fills[0];
+        fill.trade_id = format!("trade-{index}");
+        fill.observation_event_id = format!("receipt-{index}");
+        fill.observation_sequence = index + 1;
+        fill.fee_observation_event_id = fill.observation_event_id.clone();
+        fill.fee_observation_sequence = fill.observation_sequence;
+        fill.trade_date = executed
+            .with_timezone(&FixedOffset::east_opt(8 * 3600).unwrap())
+            .date_naive();
+        fill.executed_at = executed;
+        fill.observed_at = observed;
+        fill.fee_observed_at = observed;
+        fill.price = price.parse().unwrap();
+        fill.commission = None;
+        fill.stamp_tax = None;
+        fill.transfer_fee = None;
+        fill.total_fee = fee.parse().unwrap();
+        input.actions.push(action);
+    }
+    reseal(&mut input);
+    input.validate().unwrap();
+    input
+}
+
+#[test]
+fn late_buy_retains_the_earliest_opening_and_latest_buy_dates() {
+    let mut cursor = ManualReplayCursor::new(delayed_buy_replay()).unwrap();
+    let data = identity_data(NaiveDate::from_ymd_opt(2020, 1, 1).unwrap());
+    let mut portfolio = PortfolioState::new(10000.);
+    let applications = cursor
+        .advance(
+            "2026-09-14T01:30:02Z".parse().unwrap(),
+            &mut portfolio,
+            &data,
+            false,
+        )
+        .unwrap();
+    assert_eq!(
+        applications
+            .iter()
+            .map(|row| row.trade_id.as_str())
+            .collect::<Vec<_>>(),
+        ["trade-0", "trade-1"]
+    );
+    let position = portfolio.position("000001.SZ").unwrap();
+    assert_eq!(position.opened_date(), NaiveDate::from_ymd_opt(2026, 9, 11));
+    assert_eq!(
+        position.last_buy_date(),
+        NaiveDate::from_ymd_opt(2026, 9, 14)
+    );
+    assert_eq!(position.quantity, 200);
+    let calendar = crate::TradingCalendar::new(
+        [11, 14, 15, 16, 17, 18]
+            .map(|day| NaiveDate::from_ymd_opt(2026, 9, day).unwrap())
+            .into(),
+    );
+    let evidence = crate::holding_policy::HoldingLifecycleEvidence {
+        has_position: true,
+        opened_date: position.opened_date(),
+        last_buy_date: position.last_buy_date(),
+        last_sell_date: None,
+    };
+    let mut policy = crate::holding_policy::AutomaticTradeProtection {
+        max_holding_days: 1,
+        ..Default::default()
+    };
+    assert!(
+        policy
+            .evaluate(
+                "000001.SZ",
+                NaiveDate::from_ymd_opt(2026, 9, 14).unwrap(),
+                &evidence,
+                &calendar
+            )
+            .unwrap()
+            .max_holding_exit
+    );
+    policy.buy_protection_days = 3;
+    for day in [14, 15, 16, 17] {
+        let permission = policy
+            .evaluate(
+                "000001.SZ",
+                NaiveDate::from_ymd_opt(2026, 9, day).unwrap(),
+                &evidence,
+                &calendar,
+            )
+            .unwrap();
+        assert_eq!(permission.sell_denial, Some("buy_fill_protection"));
+        assert!(!permission.max_holding_exit);
+    }
+    assert!(
+        policy
+            .evaluate(
+                "000001.SZ",
+                NaiveDate::from_ymd_opt(2026, 9, 18).unwrap(),
+                &evidence,
+                &calendar
+            )
+            .unwrap()
+            .max_holding_exit
+    );
+}
+
+#[test]
+fn late_buy_fifo_depletion_preserves_costs_and_cannot_unlock_today_lots() {
+    let mut cursor = ManualReplayCursor::new(delayed_buy_replay()).unwrap();
+    let data = identity_data(NaiveDate::from_ymd_opt(2020, 1, 1).unwrap());
+    let mut portfolio = PortfolioState::new(10000.);
+    let applications = cursor
+        .advance(
+            "2026-09-14T01:31:01Z".parse().unwrap(),
+            &mut portfolio,
+            &data,
+            false,
+        )
+        .unwrap();
+    assert_eq!(applications.len(), 3);
+    let position = portfolio.position("000001.SZ").unwrap();
+    assert_eq!(position.quantity, 100);
+    assert_eq!(position.unrealized_pnl(), -1000.25);
+    assert_eq!(
+        position.sellable_qty(NaiveDate::from_ymd_opt(2026, 9, 14).unwrap()),
+        0
+    );
+    assert_eq!(position.realized_pnl(), -0.75);
+    assert_eq!(portfolio.cash(), 7998.5);
+    assert_eq!(portfolio.external_cash_flow_total(), 0.);
+    assert!(
+        cursor
+            .advance(
+                "2026-09-14T01:32:01Z".parse().unwrap(),
+                &mut portfolio,
+                &data,
+                false
+            )
+            .unwrap_err()
+            .contains("T+1")
+    );
+    assert_eq!(cursor.applied_count(), 3);
+    assert_eq!(portfolio.cash(), 7998.5);
+    assert_eq!(portfolio.position("000001.SZ").unwrap().quantity, 100);
+}
 fn semantic_result(input: &ManualExecutionReplay) -> Result<(), String> {
    let mut input = input.clone();
    reseal(&mut input);