补齐next-open执行日风控回归测试

2026-07-03 21:30:06 +08:00
parent 25001fd3e4
commit f45a5fd0a7
1 changed files with 151 additions and 24 deletions
@@ -3948,6 +3948,7 @@ mod tests {
    };
    use crate::events::OrderStatus;
    use crate::instrument::Instrument;
+    use crate::risk_control::FidcRiskControlConfig;
    use crate::rules::ChinaEquityRuleHooks;
    use crate::scheduler::{ScheduleRule, ScheduleStage};
    use crate::strategy::{OrderIntent, Strategy, StrategyContext, StrategyDecision};
@@ -4109,6 +4110,20 @@ mod tests {
        }
    }

+    fn st_candidate(date: NaiveDate) -> CandidateEligibility {
+        CandidateEligibility {
+            is_st: true,
+            ..candidate(date)
+        }
+    }
+
+    fn one_yuan_candidate(date: NaiveDate) -> CandidateEligibility {
+        CandidateEligibility {
+            is_one_yuan: true,
+            ..candidate(date)
+        }
+    }
+
    fn benchmark(date: NaiveDate) -> BenchmarkSnapshot {
        BenchmarkSnapshot {
            date,
@@ -4131,24 +4146,44 @@ mod tests {
        )
    }

+    fn default_instrument() -> Instrument {
+        Instrument {
+            symbol: SYMBOL.to_string(),
+            name: "Test Stock".to_string(),
+            board: "SZ".to_string(),
+            round_lot: 100,
+            listed_at: Some(d(2020, 1, 1)),
+            delisted_at: None,
+            status: "active".to_string(),
+        }
+    }
+
    fn dataset_with(
        first_market: DailyMarketSnapshot,
        second_market: DailyMarketSnapshot,
        first_candidate: CandidateEligibility,
        second_candidate: CandidateEligibility,
+    ) -> DataSet {
+        dataset_with_instrument(
+            default_instrument(),
+            first_market,
+            second_market,
+            first_candidate,
+            second_candidate,
+        )
+    }
+
+    fn dataset_with_instrument(
+        instrument: Instrument,
+        first_market: DailyMarketSnapshot,
+        second_market: DailyMarketSnapshot,
+        first_candidate: CandidateEligibility,
+        second_candidate: CandidateEligibility,
    ) -> DataSet {
        let first = first_market.date;
        let second = second_market.date;
        DataSet::from_components(
-            vec![Instrument {
-                symbol: SYMBOL.to_string(),
-                name: "Test Stock".to_string(),
-                board: "SZ".to_string(),
-                round_lot: 100,
-                listed_at: Some(d(2020, 1, 1)),
-                delisted_at: None,
-                status: "active".to_string(),
-            }],
+            vec![instrument],
            vec![first_market, second_market],
            vec![factor(first), factor(second)],
            vec![first_candidate, second_candidate],
@@ -4194,16 +4229,32 @@ mod tests {
    }

    fn run_scheduled_next_open_with_dataset(dataset: DataSet) -> super::BacktestResult {
-        let first = d(2025, 1, 2);
-        let broker = BrokerSimulator::new_with_execution_price(
+        run_scheduled_next_open_with_dataset_and_broker(
+            dataset,
+            scheduled_next_open_broker(FidcRiskControlConfig::default()),
+        )
+    }
+
+    fn scheduled_next_open_broker(
+        risk_config: FidcRiskControlConfig,
+    ) -> BrokerSimulator<ChinaAShareCostModel, ChinaEquityRuleHooks> {
+        BrokerSimulator::new_with_execution_price(
            ChinaAShareCostModel::default(),
            ChinaEquityRuleHooks,
            PriceField::Open,
        )
        .with_matching_type(MatchingType::NextBarOpen)
+        .with_risk_config(risk_config)
        .with_volume_limit(false)
        .with_liquidity_limit(false)
-        .with_inactive_limit(false);
+        .with_inactive_limit(false)
+    }
+
+    fn run_scheduled_next_open_with_dataset_and_broker(
+        dataset: DataSet,
+        broker: BrokerSimulator<ChinaAShareCostModel, ChinaEquityRuleHooks>,
+    ) -> super::BacktestResult {
+        let first = d(2025, 1, 2);
        let config = BacktestConfig {
            initial_cash: 100_000.0,
            benchmark_code: "000852.SH".to_string(),
@@ -4226,6 +4277,16 @@ mod tests {
        .expect("backtest run")
    }

+    fn assert_next_open_canceled_with_reason(result: &super::BacktestResult, reason: &str) {
+        let execution_date = d(2025, 1, 3);
+        assert!(result.fills.is_empty());
+        assert!(result.order_events.iter().any(|event| {
+            event.date == execution_date
+                && matches!(event.status, OrderStatus::Canceled | OrderStatus::Rejected)
+                && event.reason.contains(reason)
+        }));
+    }
+
    #[test]
    fn current_bar_close_uses_decision_day_close_for_fill() {
        let result = run_with_matching(MatchingType::CurrentBarClose, PriceField::Close, 0);
@@ -4276,6 +4337,22 @@ mod tests {
        assert_eq!(result.fills[0].price, 12.0);
    }

+    #[test]
+    fn next_bar_open_execution_risk_ignores_decision_day_st_state() {
+        let first = d(2025, 1, 2);
+        let second = d(2025, 1, 3);
+        let result = run_scheduled_next_open_with_dataset(dataset_with(
+            market(first, 10.0, 11.5),
+            market(second, 12.0, 99.0),
+            st_candidate(first),
+            candidate(second),
+        ));
+
+        assert_eq!(result.fills.len(), 1);
+        assert_eq!(result.fills[0].date, second);
+        assert_eq!(result.fills[0].price, 12.0);
+    }
+
    #[test]
    fn next_bar_open_execution_risk_rejects_execution_day_paused_state() {
        let first = d(2025, 1, 2);
@@ -4287,12 +4364,7 @@ mod tests {
            candidate_with_state(second, true, true),
        ));

-        assert!(result.fills.is_empty());
-        assert!(result.order_events.iter().any(|event| {
-            event.date == second
-                && event.status == OrderStatus::Canceled
-                && event.reason.contains("paused")
-        }));
+        assert_next_open_canceled_with_reason(&result, "paused");
    }

    #[test]
@@ -4306,11 +4378,66 @@ mod tests {
            candidate(second),
        ));

-        assert!(result.fills.is_empty());
-        assert!(result.order_events.iter().any(|event| {
-            event.date == second
-                && event.status == OrderStatus::Canceled
-                && event.reason.contains("open at or above upper limit")
-        }));
+        assert_next_open_canceled_with_reason(&result, "open at or above upper limit");
+    }
+
+    #[test]
+    fn next_bar_open_execution_risk_rejects_execution_day_st_state() {
+        let first = d(2025, 1, 2);
+        let second = d(2025, 1, 3);
+        let result = run_scheduled_next_open_with_dataset(dataset_with(
+            market(first, 10.0, 11.5),
+            market(second, 12.0, 99.0),
+            candidate(first),
+            st_candidate(second),
+        ));
+
+        assert_next_open_canceled_with_reason(&result, "st");
+    }
+
+    #[test]
+    fn next_bar_open_execution_risk_rejects_execution_day_one_yuan_state() {
+        let first = d(2025, 1, 2);
+        let second = d(2025, 1, 3);
+        let result = run_scheduled_next_open_with_dataset(dataset_with(
+            market(first, 10.0, 11.5),
+            market(second, 12.0, 99.0),
+            candidate(first),
+            one_yuan_candidate(second),
+        ));
+
+        assert_next_open_canceled_with_reason(&result, "one_yuan");
+    }
+
+    #[test]
+    fn next_bar_open_execution_risk_rejects_execution_day_delisted_state() {
+        let first = d(2025, 1, 2);
+        let second = d(2025, 1, 3);
+        let mut instrument = default_instrument();
+        instrument.delisted_at = Some(second);
+        let result = run_scheduled_next_open_with_dataset(dataset_with_instrument(
+            instrument,
+            market(first, 10.0, 11.5),
+            market(second, 12.0, 99.0),
+            candidate(first),
+            candidate(second),
+        ));
+
+        assert_next_open_canceled_with_reason(&result, "inactive_or_delisted");
+    }
+
+    #[test]
+    fn next_bar_open_execution_risk_rejects_blacklisted_buy_on_execution_day() {
+        let mut risk_config = FidcRiskControlConfig::default();
+        risk_config
+            .static_rules
+            .blacklisted_symbols
+            .insert(SYMBOL.to_string());
+        let result = run_scheduled_next_open_with_dataset_and_broker(
+            dataset(),
+            scheduled_next_open_broker(risk_config),
+        );
+
+        assert_next_open_canceled_with_reason(&result, "blacklisted");
    }
 }