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统一回测策略风控字段校验

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boris
2026-08-29 14:52:03 +08:00
parent ff2844884d
commit f3a37157fc
5 changed files with 337 additions and 3 deletions
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crates/fidc-core/src/strategy_ai.rs
+3 -3
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@@ -119,8 +119,8 @@ pub struct StrategyAiOptimizeRequest {
}
const PERFORMANCE_ACCEPTANCE_CONTRACT_PROMPT: &str = "收益验收合同：收益、回撤、年度收益、样本外区间及比较运算符只能来自用户目标、请求约束或不可变 candidate/promotion contract；不得注入 120% 或其他默认数值，也不得提高、降低或替换已经明确的门槛。没有明确数值合同时只做策略有效性、数据时序和风险审计，禁止声称收益已经达标；存在冻结合同时必须逐项按原运算符验证，不能只看总收益。";
const DEFAULT_RISK_POLICY_DSL_PROMPT: &str = "reject_st_selection=false、reject_st_buy=true、reject_star_st_selection=false、reject_star_st_buy=true、reject_paused_selection=false、reject_paused_buy=true、reject_paused_sell=true、reject_inactive_selection=false、reject_inactive_buy=true、reject_inactive_sell=true、reject_new_listing_selection=false、reject_new_listing_buy=true、reject_kcb_selection=false、reject_kcb_buy=true、reject_bjse_selection=false、reject_bjse_buy=true、reject_one_yuan_selection=false、reject_one_yuan_buy=true、respect_allow_buy_sell=true、reject_upper_limit_selection=false、reject_lower_limit_selection=false、reject_upper_limit_buy=true、reject_lower_limit_sell=true、forbid_same_day_rebuy_after_sell=true、blacklist_enabled=true、allow_market_orders=true、live_trading_enabled=false、volume_limit_enabled=true、liquidity_limit_enabled=true、volume_percent=0.25、commission_rate=0.0003、minimum_commission=5、stamp_tax_rate_before_change=0.001、stamp_tax_rate_after_change=0.0005、stamp_tax_change_date=\"2023-08-28\"";
const DEFAULT_RISK_POLICY_DSL_CODE: &str = "reject_st_selection=false, reject_st_buy=true, reject_star_st_selection=false, reject_star_st_buy=true, reject_paused_selection=false, reject_paused_buy=true, reject_paused_sell=true, reject_inactive_selection=false, reject_inactive_buy=true, reject_inactive_sell=true, reject_new_listing_selection=false, reject_new_listing_buy=true, reject_kcb_selection=false, reject_kcb_buy=true, reject_bjse_selection=false, reject_bjse_buy=true, reject_one_yuan_selection=false, reject_one_yuan_buy=true, respect_allow_buy_sell=true, reject_upper_limit_selection=false, reject_lower_limit_selection=false, reject_upper_limit_buy=true, reject_lower_limit_sell=true, forbid_same_day_rebuy_after_sell=true, blacklist_enabled=true, allow_market_orders=true, live_trading_enabled=false, volume_limit_enabled=true, liquidity_limit_enabled=true, volume_percent=0.25, commission_rate=0.0003, minimum_commission=5, stamp_tax_rate_before_change=0.001, stamp_tax_rate_after_change=0.0005, stamp_tax_change_date=\"2023-08-28\"";
const DEFAULT_RISK_POLICY_DSL_PROMPT: &str = "max_order_quantity=1000000、max_order_notional=100000000、max_symbol_position=10000000、reject_st_selection=false、reject_st_buy=true、reject_star_st_selection=false、reject_star_st_buy=true、reject_paused_selection=false、reject_paused_buy=true、reject_paused_sell=true、reject_inactive_selection=false、reject_inactive_buy=true、reject_inactive_sell=true、reject_new_listing_selection=false、reject_new_listing_buy=true、reject_kcb_selection=false、reject_kcb_buy=true、reject_bjse_selection=false、reject_bjse_buy=true、reject_one_yuan_selection=false、reject_one_yuan_buy=true、respect_allow_buy_sell=true、reject_upper_limit_selection=false、reject_lower_limit_selection=false、reject_upper_limit_buy=true、reject_lower_limit_sell=true、forbid_same_day_rebuy_after_sell=true、blacklist_enabled=true、allow_market_orders=true、live_trading_enabled=false、volume_limit_enabled=true、liquidity_limit_enabled=true、volume_percent=0.25、commission_rate=0.0003、minimum_commission=5、stamp_tax_rate_before_change=0.001、stamp_tax_rate_after_change=0.0005、stamp_tax_change_date=\"2023-08-28\"";
const DEFAULT_RISK_POLICY_DSL_CODE: &str = "max_order_quantity=1000000, max_order_notional=100000000, max_symbol_position=10000000, reject_st_selection=false, reject_st_buy=true, reject_star_st_selection=false, reject_star_st_buy=true, reject_paused_selection=false, reject_paused_buy=true, reject_paused_sell=true, reject_inactive_selection=false, reject_inactive_buy=true, reject_inactive_sell=true, reject_new_listing_selection=false, reject_new_listing_buy=true, reject_kcb_selection=false, reject_kcb_buy=true, reject_bjse_selection=false, reject_bjse_buy=true, reject_one_yuan_selection=false, reject_one_yuan_buy=true, respect_allow_buy_sell=true, reject_upper_limit_selection=false, reject_lower_limit_selection=false, reject_upper_limit_buy=true, reject_lower_limit_sell=true, forbid_same_day_rebuy_after_sell=true, blacklist_enabled=true, allow_market_orders=true, live_trading_enabled=false, volume_limit_enabled=true, liquidity_limit_enabled=true, volume_percent=0.25, commission_rate=0.0003, minimum_commission=5, stamp_tax_rate_before_change=0.001, stamp_tax_rate_after_change=0.0005, stamp_tax_change_date=\"2023-08-28\"";
pub fn built_in_strategy_manual() -> StrategyAiManual {
StrategyAiManual {
@@ -250,7 +250,7 @@ pub fn built_in_strategy_manual() -> StrategyAiManual {
},
ManualSection {
title: "risk.policy / risk.blacklist".to_string(),
detail: "统一配置 FIDC 基础风控。risk.policy(...) 支持 reject_st_selection、reject_st_buy、reject_star_st_selection、reject_star_st_buy、reject_paused_selection、reject_paused_buy、reject_paused_sell、reject_inactive_selection、reject_inactive_buy、reject_inactive_sell、reject_new_listing_selection、reject_new_listing_buy、reject_kcb_selection、reject_kcb_buy、reject_bjse_selection、reject_bjse_buy、reject_one_yuan_selection、reject_one_yuan_buy、respect_allow_buy_sell、reject_upper_limit_selection、reject_lower_limit_selection、reject_upper_limit_buy、reject_lower_limit_sell、forbid_same_day_rebuy_after_sell、blacklist_enabled、allow_market_orders、live_trading_enabled、blacklisted_symbols、volume_limit_enabled、liquidity_limit_enabled、volume_percent、commission_rate、minimum_commission、stamp_tax_rate_before_change、stamp_tax_rate_after_change、stamp_tax_change_date 等命名参数；risk.blacklist([\"600000.SH\"]) 写策略级黑名单。框架默认的 ST、*ST、停牌、退市、科创、北交所、一元、涨跌停、同日卖出禁买、黑名单、成交量和费用等基础风控必须走 risk.policy 或运行态 RiskLimits，不能被转换器隐式写进 universe.exclude 或 filter.stock_expr；但源策略明确写出的业务选股排除属于策略本身，必须原样保留在 filter.stock_expr，并且不能反向修改冻结的 reject_*_selection 开关。PG/Source Lake 是真相源，Redis 只可做当日锁、热配置缓存和配置变更通知。".to_string(),
detail: "统一配置 FIDC 基础风控。risk.policy(...) 支持 max_order_quantity、max_order_notional、max_symbol_position，以及 ST/*ST、停牌、退市、新股、科创、北交所、一元、涨跌停、同日卖出禁买、黑名单、成交量、流动性和交易成本等命名参数；risk.blacklist([\"600000.SH\"]) 写策略级黑名单。框架默认基础风控必须走 risk.policy 或运行态 RiskLimits，不能被转换器隐式写进 universe.exclude 或 filter.stock_expr；源策略明确写出的业务选股排除属于策略本身，必须原样保留，不能反向修改冻结的 reject_*_selection 开关；冻结的 `reject_*_selection` 值不得改变。PG/Source Lake 是真相源，Redis 只可做当日锁、热配置缓存和配置变更通知。".to_string(),
},
ManualSection {
title: "corporate_actions.dividend_reinvestment".to_string(),