统一回测策略风控字段校验

crates/fidc-core/src/risk_control.rs

@@ -6,6 +6,7 @@ use serde::{Deserialize, Serialize};
 use crate::data::{CandidateEligibility, DailyMarketSnapshot, PriceField};
 use crate::instrument::Instrument;
 use crate::portfolio::Position;
+use crate::OrderSide;
 
 #[derive(Debug, Clone, Copy, Default)]
 pub struct ChinaAShareRiskControl;
@@ -77,6 +78,13 @@ impl Default for StaticRiskRuleConfig {
 
 #[derive(Debug, Clone, Copy, PartialEq, Serialize, Deserialize)]
 pub struct TradingConstraintConfig {
+    /// Shared execution limits.  These fields intentionally use the same
+    /// names and defaults as the FIDC trading-core RiskLimits contract so a
+    /// strategy cannot appear protected in paper/live while being unlimited
+    /// in a backtest.
+    pub max_order_quantity: f64,
+    pub max_order_notional: f64,
+    pub max_symbol_position: f64,
     pub volume_limit_enabled: bool,
     pub volume_percent: f64,
     pub liquidity_limit_enabled: bool,
@@ -91,6 +99,9 @@ pub struct TradingConstraintConfig {
 impl Default for TradingConstraintConfig {
     fn default() -> Self {
         Self {
+            max_order_quantity: 1_000_000.0,
+            max_order_notional: 100_000_000.0,
+            max_symbol_position: 10_000_000.0,
             volume_limit_enabled: true,
             volume_percent: 0.25,
             liquidity_limit_enabled: true,
@@ -479,6 +490,36 @@ impl ChinaAShareRiskControl {
         None
     }
 
+    /// Apply the shared quantity/notional/position limits at the same stage
+    /// as paper/live `RiskLimits`.  Static instrument rules remain in the
+    /// side-specific methods above; this helper only checks order sizing and
+    /// never changes selection semantics.
+    pub fn order_size_rejection_reason_with_config(
+        side: OrderSide,
+        requested_quantity: u32,
+        current_position_quantity: u32,
+        check_price: f64,
+        config: &FidcRiskControlConfig,
+    ) -> Option<&'static str> {
+        let limits = &config.trading_constraints;
+        if (requested_quantity as f64) > limits.max_order_quantity {
+            return Some("quantity exceeds max_order_quantity");
+        }
+        if check_price.is_finite()
+            && check_price > 0.0
+            && (requested_quantity as f64) * check_price > limits.max_order_notional
+        {
+            return Some("notional exceeds max_order_notional");
+        }
+        if side == OrderSide::Buy
+            && (current_position_quantity as f64) + (requested_quantity as f64)
+                > limits.max_symbol_position
+        {
+            return Some("position exceeds max_symbol_position");
+        }
+        None
+    }
+
     pub fn sell_rejection_reason(
         date: NaiveDate,
         candidate: &CandidateEligibility,
@@ -1426,4 +1467,53 @@ mod tests {
         assert_eq!(enabled_reason, Some("lower_limit"));
         assert_eq!(configured_reason, None);
     }
+
+    #[test]
+    fn shared_order_size_limits_apply_to_both_sides_and_buy_position() {
+        let mut config = FidcRiskControlConfig::default();
+        config.trading_constraints.max_order_quantity = 500.0;
+        config.trading_constraints.max_order_notional = 5_000.0;
+        config.trading_constraints.max_symbol_position = 800.0;
+
+        assert_eq!(
+            ChinaAShareRiskControl::order_size_rejection_reason_with_config(
+                OrderSide::Buy,
+                600,
+                0,
+                5.0,
+                &config,
+            ),
+            Some("quantity exceeds max_order_quantity")
+        );
+        assert_eq!(
+            ChinaAShareRiskControl::order_size_rejection_reason_with_config(
+                OrderSide::Sell,
+                400,
+                10_000,
+                20.0,
+                &config,
+            ),
+            Some("notional exceeds max_order_notional")
+        );
+        assert_eq!(
+            ChinaAShareRiskControl::order_size_rejection_reason_with_config(
+                OrderSide::Buy,
+                300,
+                600,
+                5.0,
+                &config,
+            ),
+            Some("position exceeds max_symbol_position")
+        );
+        assert_eq!(
+            ChinaAShareRiskControl::order_size_rejection_reason_with_config(
+                OrderSide::Sell,
+                200,
+                10_000,
+                5.0,
+                &config,
+            ),
+            None
+        );
+    }
 }