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修正FiRisk强平触发来源

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This commit is contained in:
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/src/broker.rs
+2
View File
@@ -5458,6 +5458,7 @@ mod tests {
allow_sell,
is_kcb: false,
is_one_yuan: false,
risk_level_code: None,
}
}
@@ -5706,6 +5707,7 @@ mod tests {
allow_sell: true,
is_kcb: false,
is_one_yuan: false,
risk_level_code: None,
}],
vec![BenchmarkSnapshot {
date,
crates/fidc-core/src/data.rs
+10
View File
@@ -208,6 +208,8 @@ pub struct CandidateEligibility {
pub allow_sell: bool,
pub is_kcb: bool,
pub is_one_yuan: bool,
#[serde(default, skip_serializing_if = "Option::is_none")]
pub risk_level_code: Option<String>,
}
impl CandidateEligibility {
@@ -3126,6 +3128,13 @@ fn read_candidates(path: &Path) -> Result<Vec<CandidateEligibility>, DataSetErro
allow_sell: row.parse_bool(6)?,
is_kcb: row.parse_optional_bool(7).unwrap_or(false),
is_one_yuan: row.parse_optional_bool(8).unwrap_or(false),
risk_level_code: row
.fields
.get(9)
.map(String::as_str)
.map(str::trim)
.filter(|value| !value.is_empty())
.map(ToOwned::to_owned),
});
}
Ok(snapshots)
@@ -3954,6 +3963,7 @@ mod tests {
allow_sell: true,
is_kcb: false,
is_one_yuan: false,
risk_level_code: None,
};
let data = DataSet::from_components(
vec![instrument("000001.SZ"), instrument("000002.SZ")],
crates/fidc-core/src/platform_expr_strategy.rs
+100 -2
View File
@@ -5956,7 +5956,15 @@ impl PlatformExprStrategy {
let Ok(candidate) = ctx.data.require_candidate(date, symbol) else {
return Ok(false);
};
if candidate.allow_buy || !candidate.allow_sell || candidate.is_paused {
let Some(_risk_level_code) = candidate
.risk_level_code
.as_deref()
.map(str::trim)
.filter(|value| !value.is_empty())
else {
return Ok(false);
};
if !candidate.allow_sell || candidate.is_paused {
return Ok(false);
}
if !self.can_sell_position(ctx, date, symbol) {
@@ -7860,6 +7868,7 @@ mod tests {
allow_sell: true,
is_kcb: false,
is_one_yuan: false,
risk_level_code: None,
}],
vec![BenchmarkSnapshot {
date,
@@ -8000,6 +8009,7 @@ mod tests {
allow_sell: true,
is_kcb: false,
is_one_yuan: false,
risk_level_code: None,
}],
vec![BenchmarkSnapshot {
date,
@@ -8145,6 +8155,7 @@ mod tests {
allow_sell: true,
is_kcb: false,
is_one_yuan: false,
risk_level_code: None,
}],
vec![BenchmarkSnapshot {
date,
@@ -8240,6 +8251,7 @@ mod tests {
allow_sell: true,
is_kcb: false,
is_one_yuan: false,
risk_level_code: None,
}],
vec![BenchmarkSnapshot {
date,
@@ -8352,6 +8364,7 @@ mod tests {
allow_sell: true,
is_kcb: false,
is_one_yuan: false,
risk_level_code: None,
}],
vec![BenchmarkSnapshot {
date,
@@ -8469,6 +8482,7 @@ mod tests {
allow_sell: true,
is_kcb: false,
is_one_yuan: false,
risk_level_code: None,
}],
vec![BenchmarkSnapshot {
date,
@@ -8619,6 +8633,7 @@ mod tests {
allow_sell: true,
is_kcb: false,
is_one_yuan: false,
risk_level_code: None,
},
CandidateEligibility {
date: second_date,
@@ -8630,6 +8645,7 @@ mod tests {
allow_sell: true,
is_kcb: false,
is_one_yuan: false,
risk_level_code: None,
},
],
vec![
@@ -8900,6 +8916,7 @@ mod tests {
allow_sell: true,
is_kcb: false,
is_one_yuan: false,
risk_level_code: None,
},
CandidateEligibility {
date,
@@ -8911,6 +8928,7 @@ mod tests {
allow_sell: true,
is_kcb: false,
is_one_yuan: false,
risk_level_code: None,
},
],
vec![BenchmarkSnapshot {
@@ -9189,6 +9207,7 @@ mod tests {
allow_sell: true,
is_kcb: false,
is_one_yuan: false,
risk_level_code: None,
},
CandidateEligibility {
date,
@@ -9200,6 +9219,7 @@ mod tests {
allow_sell: true,
is_kcb: false,
is_one_yuan: false,
risk_level_code: None,
},
],
vec![BenchmarkSnapshot {
@@ -9418,6 +9438,7 @@ mod tests {
allow_sell: true,
is_kcb: false,
is_one_yuan: false,
risk_level_code: None,
},
CandidateEligibility {
date: second_date,
@@ -9429,6 +9450,7 @@ mod tests {
allow_sell: true,
is_kcb: false,
is_one_yuan: false,
risk_level_code: None,
},
],
vec![
@@ -9626,6 +9648,7 @@ mod tests {
allow_sell: true,
is_kcb: false,
is_one_yuan: false,
risk_level_code: None,
}],
vec![BenchmarkSnapshot {
date,
@@ -9743,6 +9766,7 @@ mod tests {
allow_sell: true,
is_kcb: false,
is_one_yuan: false,
risk_level_code: None,
}],
vec![BenchmarkSnapshot {
date,
@@ -9880,6 +9904,7 @@ mod tests {
allow_sell: true,
is_kcb: false,
is_one_yuan: false,
risk_level_code: None,
}],
vec![BenchmarkSnapshot {
date,
@@ -9985,6 +10010,7 @@ mod tests {
allow_sell: true,
is_kcb: false,
is_one_yuan: false,
risk_level_code: None,
}],
vec![BenchmarkSnapshot {
date,
@@ -10118,6 +10144,7 @@ mod tests {
allow_sell: true,
is_kcb: false,
is_one_yuan: false,
risk_level_code: None,
}],
vec![BenchmarkSnapshot {
date,
@@ -10219,6 +10246,7 @@ mod tests {
allow_sell: true,
is_kcb: false,
is_one_yuan: false,
risk_level_code: None,
}],
vec![BenchmarkSnapshot {
date,
@@ -10348,6 +10376,7 @@ mod tests {
allow_sell: true,
is_kcb: false,
is_one_yuan: false,
risk_level_code: None,
})
.collect(),
vec![BenchmarkSnapshot {
@@ -10481,6 +10510,7 @@ mod tests {
allow_sell: true,
is_kcb: false,
is_one_yuan: false,
risk_level_code: None,
}],
benchmark_rows,
)
@@ -10588,6 +10618,7 @@ mod tests {
allow_sell: true,
is_kcb: false,
is_one_yuan: false,
risk_level_code: None,
}],
vec![BenchmarkSnapshot {
date: current,
@@ -10699,6 +10730,7 @@ mod tests {
allow_sell: true,
is_kcb: false,
is_one_yuan: false,
risk_level_code: None,
}],
vec![BenchmarkSnapshot {
date,
@@ -10812,6 +10844,7 @@ mod tests {
allow_sell: true,
is_kcb: false,
is_one_yuan: false,
risk_level_code: None,
}],
vec![BenchmarkSnapshot {
date,
@@ -10868,7 +10901,7 @@ mod tests {
}
#[test]
fn platform_aiquant_firisk_buy_disabled_forces_existing_position_exit() {
fn platform_aiquant_firisk_risk_level_forces_existing_position_exit() {
let date = d(2023, 5, 5);
let symbol = "300621.SZ";
let data = DataSet::from_components(
@@ -10924,6 +10957,7 @@ mod tests {
allow_sell: true,
is_kcb: false,
is_one_yuan: false,
risk_level_code: Some("A".to_string()),
}],
vec![BenchmarkSnapshot {
date,
@@ -11067,6 +11101,7 @@ mod tests {
allow_sell: true,
is_kcb: false,
is_one_yuan: false,
risk_level_code: None,
})
.collect(),
vec![BenchmarkSnapshot {
@@ -11221,6 +11256,7 @@ mod tests {
allow_sell: true,
is_kcb: false,
is_one_yuan: false,
risk_level_code: None,
}],
vec![BenchmarkSnapshot {
date,
@@ -11374,6 +11410,7 @@ mod tests {
allow_sell: true,
is_kcb: false,
is_one_yuan: false,
risk_level_code: None,
}],
vec![BenchmarkSnapshot {
date,
@@ -11527,6 +11564,7 @@ mod tests {
allow_sell: true,
is_kcb: false,
is_one_yuan: false,
risk_level_code: None,
}],
vec![BenchmarkSnapshot {
date,
@@ -11693,6 +11731,7 @@ mod tests {
allow_sell: true,
is_kcb: false,
is_one_yuan: false,
risk_level_code: None,
})
.collect(),
vec![BenchmarkSnapshot {
@@ -11850,6 +11889,7 @@ mod tests {
allow_sell: true,
is_kcb: false,
is_one_yuan: false,
risk_level_code: None,
})
.collect(),
[first_date, second_date]
@@ -11997,6 +12037,7 @@ mod tests {
allow_sell: true,
is_kcb: false,
is_one_yuan: false,
risk_level_code: None,
}],
vec![BenchmarkSnapshot {
date,
@@ -12135,6 +12176,7 @@ mod tests {
allow_sell: true,
is_kcb: false,
is_one_yuan: false,
risk_level_code: None,
}],
vec![BenchmarkSnapshot {
date,
@@ -12254,6 +12296,7 @@ mod tests {
allow_sell: true,
is_kcb: false,
is_one_yuan: false,
risk_level_code: None,
}],
vec![BenchmarkSnapshot {
date,
@@ -12403,6 +12446,7 @@ mod tests {
allow_sell: true,
is_kcb: false,
is_one_yuan: false,
risk_level_code: None,
}],
vec![BenchmarkSnapshot {
date,
@@ -12499,6 +12543,7 @@ mod tests {
allow_sell: true,
is_kcb: false,
is_one_yuan: false,
risk_level_code: None,
}],
vec![BenchmarkSnapshot {
date,
@@ -12721,6 +12766,7 @@ mod tests {
allow_sell: true,
is_kcb: false,
is_one_yuan: false,
risk_level_code: None,
})
})
.collect(),
@@ -12911,6 +12957,7 @@ mod tests {
allow_sell: true,
is_kcb: false,
is_one_yuan: false,
risk_level_code: None,
}],
vec![BenchmarkSnapshot {
date,
@@ -13009,6 +13056,7 @@ mod tests {
allow_sell: true,
is_kcb: false,
is_one_yuan: false,
risk_level_code: None,
}],
vec![BenchmarkSnapshot {
date,
@@ -13123,6 +13171,7 @@ mod tests {
allow_sell: true,
is_kcb: false,
is_one_yuan: false,
risk_level_code: None,
}],
vec![BenchmarkSnapshot {
date,
@@ -13224,6 +13273,7 @@ mod tests {
allow_sell: true,
is_kcb: false,
is_one_yuan: false,
risk_level_code: None,
}],
vec![BenchmarkSnapshot {
date,
@@ -13405,6 +13455,7 @@ mod tests {
allow_sell: true,
is_kcb: false,
is_one_yuan: false,
risk_level_code: None,
}],
vec![BenchmarkSnapshot {
date,
@@ -13613,6 +13664,7 @@ mod tests {
allow_sell: true,
is_kcb: false,
is_one_yuan: false,
risk_level_code: None,
}],
vec![BenchmarkSnapshot {
date,
@@ -13781,6 +13833,7 @@ mod tests {
allow_sell: true,
is_kcb: false,
is_one_yuan: false,
risk_level_code: None,
}],
vec![BenchmarkSnapshot {
date,
@@ -13922,6 +13975,7 @@ mod tests {
allow_sell: true,
is_kcb: false,
is_one_yuan: false,
risk_level_code: None,
}],
vec![BenchmarkSnapshot {
date,
@@ -14080,6 +14134,7 @@ mod tests {
allow_sell: true,
is_kcb: false,
is_one_yuan: false,
risk_level_code: None,
},
CandidateEligibility {
date: execution_date,
@@ -14091,6 +14146,7 @@ mod tests {
allow_sell: true,
is_kcb: false,
is_one_yuan: false,
risk_level_code: None,
},
],
vec![
@@ -14233,6 +14289,7 @@ mod tests {
allow_sell: true,
is_kcb: false,
is_one_yuan: false,
risk_level_code: None,
},
CandidateEligibility {
date,
@@ -14244,6 +14301,7 @@ mod tests {
allow_sell: true,
is_kcb: false,
is_one_yuan: false,
risk_level_code: None,
},
],
vec![BenchmarkSnapshot {
@@ -14363,6 +14421,7 @@ mod tests {
allow_sell: true,
is_kcb: false,
is_one_yuan: false,
risk_level_code: None,
})
.collect::<Vec<_>>();
let benchmark_rows = dates
@@ -14505,6 +14564,7 @@ mod tests {
allow_sell: true,
is_kcb: false,
is_one_yuan: false,
risk_level_code: None,
})
.collect::<Vec<_>>();
let benchmark_rows = dates
@@ -14652,6 +14712,7 @@ mod tests {
allow_sell: true,
is_kcb: false,
is_one_yuan: false,
risk_level_code: None,
})
.collect(),
vec![BenchmarkSnapshot {
@@ -14786,6 +14847,7 @@ mod tests {
allow_sell: true,
is_kcb: false,
is_one_yuan: false,
risk_level_code: None,
})
.collect(),
vec![BenchmarkSnapshot {
@@ -14921,6 +14983,7 @@ mod tests {
allow_sell: true,
is_kcb: false,
is_one_yuan: false,
risk_level_code: None,
})
.collect(),
vec![BenchmarkSnapshot {
@@ -15077,6 +15140,7 @@ mod tests {
allow_sell: true,
is_kcb: false,
is_one_yuan: false,
risk_level_code: None,
})
.collect(),
vec![BenchmarkSnapshot {
@@ -15211,6 +15275,7 @@ mod tests {
allow_sell: true,
is_kcb: false,
is_one_yuan: false,
risk_level_code: None,
})
.collect(),
vec![BenchmarkSnapshot {
@@ -15367,6 +15432,7 @@ mod tests {
allow_sell: true,
is_kcb: false,
is_one_yuan: false,
risk_level_code: None,
})
.collect(),
vec![BenchmarkSnapshot {
@@ -15526,6 +15592,7 @@ mod tests {
allow_sell: true,
is_kcb: false,
is_one_yuan: false,
risk_level_code: None,
})
.collect(),
vec![BenchmarkSnapshot {
@@ -15674,6 +15741,7 @@ mod tests {
allow_sell: true,
is_kcb: false,
is_one_yuan: false,
risk_level_code: None,
})
.collect(),
vec![BenchmarkSnapshot {
@@ -15847,6 +15915,7 @@ mod tests {
allow_sell: true,
is_kcb: false,
is_one_yuan: false,
risk_level_code: None,
})
})
.collect(),
@@ -16084,6 +16153,7 @@ mod tests {
allow_sell: true,
is_kcb: false,
is_one_yuan: false,
risk_level_code: None,
})
})
.collect(),
@@ -16243,6 +16313,7 @@ mod tests {
allow_sell: true,
is_kcb: false,
is_one_yuan: false,
risk_level_code: None,
})
.collect(),
vec![BenchmarkSnapshot {
@@ -16387,6 +16458,7 @@ mod tests {
allow_sell: true,
is_kcb: false,
is_one_yuan: false,
risk_level_code: None,
})
.collect(),
vec![BenchmarkSnapshot {
@@ -16567,6 +16639,7 @@ mod tests {
allow_sell: true,
is_kcb: false,
is_one_yuan: false,
risk_level_code: None,
})
.collect(),
vec![BenchmarkSnapshot {
@@ -16744,6 +16817,7 @@ mod tests {
allow_sell: true,
is_kcb: false,
is_one_yuan: false,
risk_level_code: None,
})
.collect(),
vec![BenchmarkSnapshot {
@@ -16965,6 +17039,7 @@ mod tests {
allow_sell: *symbol != "000001.SZ",
is_kcb: false,
is_one_yuan: false,
risk_level_code: None,
})
.collect(),
vec![BenchmarkSnapshot {
@@ -17114,6 +17189,7 @@ mod tests {
allow_sell: *symbol != "000001.SZ",
is_kcb: false,
is_one_yuan: false,
risk_level_code: None,
})
.collect(),
vec![BenchmarkSnapshot {
@@ -17265,6 +17341,7 @@ mod tests {
allow_sell: true,
is_kcb: false,
is_one_yuan: false,
risk_level_code: None,
})
.collect(),
vec![BenchmarkSnapshot {
@@ -17484,6 +17561,7 @@ mod tests {
allow_sell: true,
is_kcb: false,
is_one_yuan: false,
risk_level_code: None,
})
.collect(),
vec![BenchmarkSnapshot {
@@ -17628,6 +17706,7 @@ mod tests {
allow_sell: true,
is_kcb: false,
is_one_yuan: false,
risk_level_code: None,
}],
vec![BenchmarkSnapshot {
date,
@@ -17766,6 +17845,7 @@ mod tests {
allow_sell: true,
is_kcb: false,
is_one_yuan: false,
risk_level_code: None,
}],
vec![BenchmarkSnapshot {
date,
@@ -17901,6 +17981,7 @@ mod tests {
allow_sell: true,
is_kcb: false,
is_one_yuan: false,
risk_level_code: None,
})
.collect(),
vec![BenchmarkSnapshot {
@@ -18029,6 +18110,7 @@ mod tests {
allow_sell: false,
is_kcb: false,
is_one_yuan: false,
risk_level_code: None,
}],
vec![BenchmarkSnapshot {
date,
@@ -18130,6 +18212,7 @@ mod tests {
allow_sell: true,
is_kcb: false,
is_one_yuan: false,
risk_level_code: None,
}],
vec![BenchmarkSnapshot {
date,
@@ -18282,6 +18365,7 @@ mod tests {
allow_sell: true,
is_kcb: false,
is_one_yuan: false,
risk_level_code: None,
})
})
.collect(),
@@ -18453,6 +18537,7 @@ mod tests {
allow_sell: true,
is_kcb: false,
is_one_yuan: false,
risk_level_code: None,
})
})
.collect(),
@@ -18601,6 +18686,7 @@ mod tests {
allow_sell: true,
is_kcb: false,
is_one_yuan: false,
risk_level_code: None,
}],
vec![BenchmarkSnapshot {
date,
@@ -18731,6 +18817,7 @@ mod tests {
allow_buy: true,
allow_sell: true,
is_one_yuan: false,
risk_level_code: None,
}],
vec![BenchmarkSnapshot {
date,
@@ -18850,6 +18937,7 @@ mod tests {
allow_buy: true,
allow_sell: true,
is_one_yuan: false,
risk_level_code: None,
}],
vec![BenchmarkSnapshot {
date,
@@ -19303,6 +19391,7 @@ mod tests {
allow_sell: true,
is_kcb: false,
is_one_yuan: false,
risk_level_code: None,
}],
vec![BenchmarkSnapshot {
date,
@@ -19426,6 +19515,7 @@ mod tests {
allow_sell: true,
is_kcb: false,
is_one_yuan: false,
risk_level_code: None,
}],
vec![BenchmarkSnapshot {
date,
@@ -19540,6 +19630,7 @@ mod tests {
allow_sell: true,
is_kcb: false,
is_one_yuan: false,
risk_level_code: None,
}],
vec![BenchmarkSnapshot {
date,
@@ -19662,6 +19753,7 @@ mod tests {
allow_sell: true,
is_kcb: false,
is_one_yuan: false,
risk_level_code: None,
}],
vec![BenchmarkSnapshot {
date,
@@ -19802,6 +19894,7 @@ mod tests {
allow_sell: true,
is_kcb: false,
is_one_yuan: false,
risk_level_code: None,
}],
vec![BenchmarkSnapshot {
date,
@@ -19929,6 +20022,7 @@ mod tests {
allow_sell: true,
is_kcb: false,
is_one_yuan: false,
risk_level_code: None,
}],
vec![BenchmarkSnapshot {
date,
@@ -20051,6 +20145,7 @@ mod tests {
allow_sell: true,
is_kcb: false,
is_one_yuan: false,
risk_level_code: None,
}],
vec![BenchmarkSnapshot {
date,
@@ -20167,6 +20262,7 @@ mod tests {
allow_sell: true,
is_kcb: false,
is_one_yuan: false,
risk_level_code: None,
}],
vec![BenchmarkSnapshot {
date,
@@ -20305,6 +20401,7 @@ mod tests {
allow_sell: true,
is_kcb: false,
is_one_yuan: false,
risk_level_code: None,
})
.collect(),
dates
@@ -20488,6 +20585,7 @@ mod tests {
allow_sell: true,
is_kcb: false,
is_one_yuan: false,
risk_level_code: None,
})
.collect(),
vec![BenchmarkSnapshot {
crates/fidc-core/src/portfolio.rs
+2
View File
@@ -1086,6 +1086,7 @@ mod tests {
allow_sell: true,
is_kcb: false,
is_one_yuan: false,
risk_level_code: None,
}],
vec![BenchmarkSnapshot {
date,
@@ -1172,6 +1173,7 @@ mod tests {
allow_sell: true,
is_kcb: false,
is_one_yuan: false,
risk_level_code: None,
}],
vec![BenchmarkSnapshot {
date,
crates/fidc-core/src/risk_control.rs
+1
View File
@@ -155,6 +155,7 @@ mod tests {
allow_sell: false,
is_kcb: false,
is_one_yuan: false,
risk_level_code: None,
}
}
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,