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修正FiRisk强平触发来源

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boris
2026-06-20 23:07:59 +08:00
parent cdca7984ed
commit f8bc0679ee
11 changed files with 189 additions and 2 deletions
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crates/fidc-core/tests/core_rules.rs
+1
View File
@@ -23,6 +23,7 @@ fn candidate() -> CandidateEligibility {
allow_sell: true,
is_kcb: false,
is_one_yuan: false,
risk_level_code: None,
}
}
crates/fidc-core/tests/corporate_actions.rs
+3
View File
@@ -221,6 +221,7 @@ fn engine_reinvests_dividend_receivable_in_round_lots() {
allow_sell: true,
is_kcb: false,
is_one_yuan: false,
risk_level_code: None,
},
CandidateEligibility {
date: ex_date,
@@ -232,6 +233,7 @@ fn engine_reinvests_dividend_receivable_in_round_lots() {
allow_sell: true,
is_kcb: false,
is_one_yuan: false,
risk_level_code: None,
},
CandidateEligibility {
date: payable_date,
@@ -243,6 +245,7 @@ fn engine_reinvests_dividend_receivable_in_round_lots() {
allow_sell: true,
is_kcb: false,
is_one_yuan: false,
risk_level_code: None,
},
],
vec![
crates/fidc-core/tests/decision_quote_preload.rs
+4
View File
@@ -149,6 +149,7 @@ fn engine_preloads_declared_decision_quotes_for_current_positions() {
allow_sell: true,
is_kcb: false,
is_one_yuan: false,
risk_level_code: None,
},
CandidateEligibility {
date: second,
@@ -160,6 +161,7 @@ fn engine_preloads_declared_decision_quotes_for_current_positions() {
allow_sell: true,
is_kcb: false,
is_one_yuan: false,
risk_level_code: None,
},
],
vec![
@@ -361,6 +363,7 @@ fn engine_loads_distinct_decision_quote_times_on_same_day() {
allow_sell: true,
is_kcb: false,
is_one_yuan: false,
risk_level_code: None,
},
CandidateEligibility {
date: second,
@@ -372,6 +375,7 @@ fn engine_loads_distinct_decision_quote_times_on_same_day() {
allow_sell: true,
is_kcb: false,
is_one_yuan: false,
risk_level_code: None,
},
],
vec![
crates/fidc-core/tests/delisting.rs
+6
View File
@@ -180,6 +180,7 @@ fn engine_settles_delisted_position_before_missing_market_snapshot_breaks_run()
allow_sell: true,
is_kcb: false,
is_one_yuan: false,
risk_level_code: None,
},
CandidateEligibility {
date: date1,
@@ -191,6 +192,7 @@ fn engine_settles_delisted_position_before_missing_market_snapshot_breaks_run()
allow_sell: true,
is_kcb: false,
is_one_yuan: false,
risk_level_code: None,
},
CandidateEligibility {
date: date2,
@@ -202,6 +204,7 @@ fn engine_settles_delisted_position_before_missing_market_snapshot_breaks_run()
allow_sell: true,
is_kcb: false,
is_one_yuan: false,
risk_level_code: None,
},
],
vec![
@@ -400,6 +403,7 @@ fn engine_applies_successor_conversion_before_delisted_cash_settlement() {
allow_sell: true,
is_kcb: false,
is_one_yuan: false,
risk_level_code: None,
},
CandidateEligibility {
date: date1,
@@ -411,6 +415,7 @@ fn engine_applies_successor_conversion_before_delisted_cash_settlement() {
allow_sell: true,
is_kcb: false,
is_one_yuan: false,
risk_level_code: None,
},
CandidateEligibility {
date: date2,
@@ -422,6 +427,7 @@ fn engine_applies_successor_conversion_before_delisted_cash_settlement() {
allow_sell: true,
is_kcb: false,
is_one_yuan: false,
risk_level_code: None,
},
],
vec![
crates/fidc-core/tests/engine_hooks.rs
+22
View File
@@ -87,6 +87,7 @@ fn single_day_anchor_data(date: NaiveDate) -> DataSet {
allow_sell: true,
is_kcb: false,
is_one_yuan: false,
risk_level_code: None,
}],
vec![BenchmarkSnapshot {
date,
@@ -154,6 +155,7 @@ fn candidate_row(date: NaiveDate, symbol: &str) -> CandidateEligibility {
allow_sell: true,
is_kcb: false,
is_one_yuan: false,
risk_level_code: None,
}
}
@@ -1116,6 +1118,7 @@ fn engine_runs_strategy_hooks_in_daily_order() {
allow_sell: true,
is_kcb: false,
is_one_yuan: false,
risk_level_code: None,
},
CandidateEligibility {
date: date2,
@@ -1127,6 +1130,7 @@ fn engine_runs_strategy_hooks_in_daily_order() {
allow_sell: true,
is_kcb: false,
is_one_yuan: false,
risk_level_code: None,
},
],
vec![
@@ -1273,6 +1277,7 @@ fn engine_executes_open_auction_decisions_before_on_day() {
allow_sell: true,
is_kcb: false,
is_one_yuan: false,
risk_level_code: None,
}],
vec![BenchmarkSnapshot {
date,
@@ -1371,6 +1376,7 @@ fn engine_executes_futures_order_intents_against_future_account() {
allow_sell: true,
is_kcb: false,
is_one_yuan: false,
risk_level_code: None,
}],
vec![BenchmarkSnapshot {
date,
@@ -1960,6 +1966,7 @@ fn engine_runs_subscribed_tick_hooks_and_executes_tick_orders() {
allow_sell: true,
is_kcb: false,
is_one_yuan: false,
risk_level_code: None,
}],
vec![BenchmarkSnapshot {
date,
@@ -2143,6 +2150,7 @@ fn strategy_context_exposes_engine_native_data_helpers() {
allow_sell: true,
is_kcb: false,
is_one_yuan: false,
risk_level_code: None,
})
.collect::<Vec<_>>();
let benchmarks = [
@@ -2302,6 +2310,7 @@ fn strategy_context_exposes_final_order_runtime_view() {
allow_sell: true,
is_kcb: false,
is_one_yuan: false,
risk_level_code: None,
}],
vec![BenchmarkSnapshot {
date,
@@ -2555,6 +2564,7 @@ fn engine_applies_account_cash_flow_and_financing_intents() {
allow_sell: true,
is_kcb: false,
is_one_yuan: false,
risk_level_code: None,
},
CandidateEligibility {
date: date2,
@@ -2566,6 +2576,7 @@ fn engine_applies_account_cash_flow_and_financing_intents() {
allow_sell: true,
is_kcb: false,
is_one_yuan: false,
risk_level_code: None,
},
],
vec![
@@ -2737,6 +2748,7 @@ fn engine_rejects_pending_limit_orders_at_market_close() {
allow_sell: true,
is_kcb: false,
is_one_yuan: false,
risk_level_code: None,
},
CandidateEligibility {
date: date2,
@@ -2748,6 +2760,7 @@ fn engine_rejects_pending_limit_orders_at_market_close() {
allow_sell: true,
is_kcb: false,
is_one_yuan: false,
risk_level_code: None,
},
],
vec![
@@ -2938,6 +2951,7 @@ fn engine_runs_scheduled_rules_for_daily_weekly_and_monthly_triggers() {
allow_sell: true,
is_kcb: false,
is_one_yuan: false,
risk_level_code: None,
},
CandidateEligibility {
date: date2,
@@ -2949,6 +2963,7 @@ fn engine_runs_scheduled_rules_for_daily_weekly_and_monthly_triggers() {
allow_sell: true,
is_kcb: false,
is_one_yuan: false,
risk_level_code: None,
},
CandidateEligibility {
date: date3,
@@ -2960,6 +2975,7 @@ fn engine_runs_scheduled_rules_for_daily_weekly_and_monthly_triggers() {
allow_sell: true,
is_kcb: false,
is_one_yuan: false,
risk_level_code: None,
},
],
vec![
@@ -3184,6 +3200,7 @@ fn engine_dispatches_process_events_to_external_bus_listeners() {
allow_sell: true,
is_kcb: false,
is_one_yuan: false,
risk_level_code: None,
},
CandidateEligibility {
date: date2,
@@ -3195,6 +3212,7 @@ fn engine_dispatches_process_events_to_external_bus_listeners() {
allow_sell: true,
is_kcb: false,
is_one_yuan: false,
risk_level_code: None,
},
CandidateEligibility {
date: date3,
@@ -3206,6 +3224,7 @@ fn engine_dispatches_process_events_to_external_bus_listeners() {
allow_sell: true,
is_kcb: false,
is_one_yuan: false,
risk_level_code: None,
},
],
vec![
@@ -3538,6 +3557,7 @@ fn engine_applies_dynamic_universe_and_subscription_directives() {
allow_sell: true,
is_kcb: false,
is_one_yuan: false,
risk_level_code: None,
},
CandidateEligibility {
date: *date,
@@ -3549,6 +3569,7 @@ fn engine_applies_dynamic_universe_and_subscription_directives() {
allow_sell: true,
is_kcb: false,
is_one_yuan: false,
risk_level_code: None,
},
]
})
@@ -3671,6 +3692,7 @@ fn engine_exposes_current_process_context_to_strategies() {
allow_sell: true,
is_kcb: false,
is_one_yuan: false,
risk_level_code: None,
}],
vec![BenchmarkSnapshot {
date,
crates/fidc-core/tests/explicit_order_flow.rs
+38
View File
@@ -61,6 +61,7 @@ fn order_value_rounding_data(date: NaiveDate, symbol: &str, price: f64) -> DataS
allow_sell: true,
is_kcb: false,
is_one_yuan: false,
risk_level_code: None,
}],
vec![BenchmarkSnapshot {
date,
@@ -165,6 +166,7 @@ fn broker_executes_explicit_order_value_buy() {
allow_sell: true,
is_kcb: false,
is_one_yuan: false,
risk_level_code: None,
}],
vec![BenchmarkSnapshot {
date,
@@ -314,6 +316,7 @@ fn broker_delayed_limit_open_sell_uses_tick_price() {
allow_sell: true,
is_kcb: false,
is_one_yuan: false,
risk_level_code: None,
}],
vec![BenchmarkSnapshot {
date,
@@ -445,6 +448,7 @@ fn broker_executes_order_shares_and_order_lots() {
allow_sell: true,
is_kcb: false,
is_one_yuan: false,
risk_level_code: None,
}],
vec![BenchmarkSnapshot {
date,
@@ -570,6 +574,7 @@ fn broker_executes_target_shares_like_order_to() {
allow_buy: true,
allow_sell: true,
is_one_yuan: false,
risk_level_code: None,
}],
vec![BenchmarkSnapshot {
date,
@@ -726,6 +731,7 @@ fn broker_executes_target_portfolio_smart_with_custom_prices() {
allow_sell: true,
is_kcb: false,
is_one_yuan: false,
risk_level_code: None,
},
CandidateEligibility {
date,
@@ -737,6 +743,7 @@ fn broker_executes_target_portfolio_smart_with_custom_prices() {
allow_sell: true,
is_kcb: false,
is_one_yuan: false,
risk_level_code: None,
},
],
vec![BenchmarkSnapshot {
@@ -867,6 +874,7 @@ fn broker_executes_target_portfolio_smart_with_algo_order_style() {
allow_sell: true,
is_kcb: false,
is_one_yuan: false,
risk_level_code: None,
}],
vec![BenchmarkSnapshot {
date,
@@ -1007,6 +1015,7 @@ fn broker_executes_order_percent_and_target_percent() {
allow_sell: true,
is_kcb: false,
is_one_yuan: false,
risk_level_code: None,
}],
vec![BenchmarkSnapshot {
date,
@@ -1127,6 +1136,7 @@ fn broker_uses_day_open_price_for_open_auction_matching() {
allow_sell: true,
is_kcb: false,
is_one_yuan: false,
risk_level_code: None,
}],
vec![BenchmarkSnapshot {
date,
@@ -1230,6 +1240,7 @@ fn broker_open_auction_uses_auction_volume_without_quote_liquidity() {
allow_sell: true,
is_kcb: false,
is_one_yuan: false,
risk_level_code: None,
}],
vec![BenchmarkSnapshot {
date,
@@ -1330,6 +1341,7 @@ fn broker_cancels_buy_when_open_hits_upper_limit() {
allow_sell: true,
is_kcb: false,
is_one_yuan: false,
risk_level_code: None,
}],
vec![BenchmarkSnapshot {
date,
@@ -1442,6 +1454,7 @@ fn broker_applies_price_ratio_slippage_on_snapshot_fills() {
allow_sell: true,
is_kcb: false,
is_one_yuan: false,
risk_level_code: None,
}],
vec![BenchmarkSnapshot {
date,
@@ -1541,6 +1554,7 @@ fn broker_applies_dynamic_slippage_on_snapshot_fills() {
allow_sell: true,
is_kcb: false,
is_one_yuan: false,
risk_level_code: None,
}],
vec![BenchmarkSnapshot {
date,
@@ -1645,6 +1659,7 @@ fn broker_applies_tick_size_slippage_on_intraday_last_fills() {
allow_sell: true,
is_kcb: false,
is_one_yuan: false,
risk_level_code: None,
}],
vec![BenchmarkSnapshot {
date,
@@ -1762,6 +1777,7 @@ fn broker_rejects_intraday_last_order_without_execution_quotes() {
allow_sell: true,
is_kcb: false,
is_one_yuan: false,
risk_level_code: None,
}],
vec![BenchmarkSnapshot {
date,
@@ -1868,6 +1884,7 @@ fn broker_executes_intraday_last_on_start_quote_without_trade_delta() {
allow_sell: true,
is_kcb: false,
is_one_yuan: false,
risk_level_code: None,
}],
vec![BenchmarkSnapshot {
date,
@@ -1983,6 +2000,7 @@ fn broker_cancels_market_order_remainder_when_intraday_quote_liquidity_exhausted
allow_sell: true,
is_kcb: false,
is_one_yuan: false,
risk_level_code: None,
}],
vec![BenchmarkSnapshot {
date,
@@ -2110,6 +2128,7 @@ fn broker_cancels_market_buy_when_tick_has_no_volume() {
allow_sell: true,
is_kcb: false,
is_one_yuan: false,
risk_level_code: None,
}],
vec![BenchmarkSnapshot {
date,
@@ -2213,6 +2232,7 @@ fn broker_splits_intraday_quote_fills_and_tracks_commission_by_order() {
allow_sell: true,
is_kcb: false,
is_one_yuan: false,
risk_level_code: None,
}],
vec![BenchmarkSnapshot {
date,
@@ -2373,6 +2393,7 @@ fn broker_aggregates_intraday_quote_fills_into_vwap_leg() {
allow_sell: true,
is_kcb: false,
is_one_yuan: false,
risk_level_code: None,
}],
vec![BenchmarkSnapshot {
date,
@@ -2517,6 +2538,7 @@ fn broker_executes_algo_vwap_value_with_time_window() {
allow_sell: true,
is_kcb: false,
is_one_yuan: false,
risk_level_code: None,
}],
vec![BenchmarkSnapshot {
date,
@@ -2674,6 +2696,7 @@ fn broker_executes_algo_twap_percent_across_window_quotes() {
allow_sell: true,
is_kcb: false,
is_one_yuan: false,
risk_level_code: None,
}],
vec![BenchmarkSnapshot {
date,
@@ -2833,6 +2856,7 @@ fn broker_uses_best_own_price_for_intraday_matching() {
allow_sell: true,
is_kcb: false,
is_one_yuan: false,
risk_level_code: None,
}],
vec![BenchmarkSnapshot {
date,
@@ -2947,6 +2971,7 @@ fn broker_uses_best_counterparty_price_for_intraday_matching() {
allow_sell: true,
is_kcb: false,
is_one_yuan: false,
risk_level_code: None,
}],
vec![BenchmarkSnapshot {
date,
@@ -3111,6 +3136,7 @@ fn rebalance_optimizer_skips_unfunded_buy_when_existing_position_cannot_sell() {
allow_sell: false,
is_kcb: false,
is_one_yuan: false,
risk_level_code: None,
},
CandidateEligibility {
date,
@@ -3122,6 +3148,7 @@ fn rebalance_optimizer_skips_unfunded_buy_when_existing_position_cannot_sell() {
allow_sell: true,
is_kcb: false,
is_one_yuan: false,
risk_level_code: None,
},
],
vec![BenchmarkSnapshot {
@@ -3298,6 +3325,7 @@ fn rebalance_uses_prev_close_for_open_auction_valuation() {
allow_sell: true,
is_kcb: false,
is_one_yuan: false,
risk_level_code: None,
},
CandidateEligibility {
date,
@@ -3309,6 +3337,7 @@ fn rebalance_uses_prev_close_for_open_auction_valuation() {
allow_sell: true,
is_kcb: false,
is_one_yuan: false,
risk_level_code: None,
},
],
vec![BenchmarkSnapshot {
@@ -3479,6 +3508,7 @@ fn rebalance_optimizer_prioritizes_higher_target_weight_when_cash_is_tight() {
allow_sell: true,
is_kcb: false,
is_one_yuan: false,
risk_level_code: None,
},
CandidateEligibility {
date,
@@ -3490,6 +3520,7 @@ fn rebalance_optimizer_prioritizes_higher_target_weight_when_cash_is_tight() {
allow_sell: true,
is_kcb: false,
is_one_yuan: false,
risk_level_code: None,
},
],
vec![BenchmarkSnapshot {
@@ -3615,6 +3646,7 @@ fn broker_uses_board_specific_min_quantity_and_step_size_for_buy_sizing() {
allow_sell: true,
is_kcb: false,
is_one_yuan: false,
risk_level_code: None,
}],
vec![BenchmarkSnapshot {
date,
@@ -3713,6 +3745,7 @@ fn broker_allows_bjse_quantities_above_minimum_without_round_lot_step() {
allow_sell: true,
is_kcb: false,
is_one_yuan: false,
risk_level_code: None,
}],
vec![BenchmarkSnapshot {
date,
@@ -3813,6 +3846,7 @@ fn broker_allows_full_odd_lot_sell_when_liquidating_position() {
allow_sell: true,
is_kcb: false,
is_one_yuan: false,
risk_level_code: None,
}],
vec![BenchmarkSnapshot {
date,
@@ -3927,6 +3961,7 @@ fn same_day_sell_then_rebuy_reinserts_position_at_end() {
allow_sell: true,
is_kcb: false,
is_one_yuan: false,
risk_level_code: None,
})
.collect::<Vec<_>>();
let data = DataSet::from_components(
@@ -4094,6 +4129,7 @@ fn two_day_limit_order_data(day1_open: f64, day2_open: f64) -> DataSet {
allow_sell: true,
is_kcb: false,
is_one_yuan: false,
risk_level_code: None,
},
CandidateEligibility {
date: day2,
@@ -4105,6 +4141,7 @@ fn two_day_limit_order_data(day1_open: f64, day2_open: f64) -> DataSet {
allow_sell: true,
is_kcb: false,
is_one_yuan: false,
risk_level_code: None,
},
],
vec![
@@ -4502,6 +4539,7 @@ fn broker_reserves_sellable_quantity_for_open_limit_sells() {
allow_sell: true,
is_kcb: false,
is_one_yuan: false,
risk_level_code: None,
}],
vec![BenchmarkSnapshot {
date,