修正内置选择器next-open风控语义

2026-07-06 08:22:59 +08:00
parent afb531da59
commit fdc099c960
2 changed files with 64 additions and 3 deletions
@@ -50,15 +50,16 @@ pub struct SelectionContext<'a> {
    pub data: &'a DataSet,
    pub dynamic_universe: Option<&'a BTreeSet<String>>,
    pub risk_config: Option<&'a FidcRiskControlConfig>,
+    pub defer_selection_risk: bool,
 }

 impl SelectionContext<'_> {
    fn eligible_universe(&self) -> Vec<EligibleUniverseSnapshot> {
-        let eligible = match self.risk_config {
-            Some(risk_config) => self
+        let eligible = match (self.risk_config, self.defer_selection_risk) {
+            (Some(risk_config), false) => self
                .data
                .eligible_universe_on_with_risk_config(self.decision_date, risk_config),
-            None => self.data.eligible_universe_on(self.decision_date).to_vec(),
+            _ => self.data.eligible_universe_on(self.decision_date).to_vec(),
        };
        match self.dynamic_universe {
            Some(symbols) if !symbols.is_empty() => eligible
@@ -406,6 +407,7 @@ mod tests {
            data: &data,
            dynamic_universe: None,
            risk_config: Some(&risk_config),
+            defer_selection_risk: false,
        });

        let rules = diagnostics
@@ -463,6 +465,7 @@ mod tests {
            data: &data,
            dynamic_universe: None,
            risk_config: Some(&risk_config),
+            defer_selection_risk: false,
        });

        let selected_symbols = selected
@@ -481,4 +484,61 @@ mod tests {
        assert!(rules.contains("st"), "{:?}", diagnostics.risk_decisions);
        assert!(rules.contains("kcb"), "{:?}", diagnostics.risk_decisions);
    }
+
+    #[test]
+    fn selector_can_defer_configured_selection_risk_without_losing_diagnostics() {
+        let data = DataSet::from_components(
+            vec![
+                instrument("000001.SZ"),
+                instrument("688001.SH"),
+                instrument("000002.SZ"),
+            ],
+            vec![
+                market("000001.SZ", 10.0),
+                market("688001.SH", 10.0),
+                market("000002.SZ", 10.0),
+            ],
+            vec![
+                factor("000001.SZ", 8.0),
+                factor("688001.SH", 9.0),
+                factor("000002.SZ", 10.0),
+            ],
+            vec![
+                candidate("000001.SZ", true, false),
+                candidate("688001.SH", false, true),
+                candidate("000002.SZ", false, false),
+            ],
+            vec![benchmark()],
+        )
+        .unwrap();
+        let selector = DynamicMarketCapBandSelector::new(2000.0, 7.0, 10.0, 0.0, 10, 0.0, 0.0, 0.0);
+        let mut risk_config = FidcRiskControlConfig::default();
+        risk_config.static_rules.reject_st_selection = true;
+        risk_config.static_rules.reject_kcb_selection = true;
+
+        let (selected, diagnostics) = selector.select_with_diagnostics(&SelectionContext {
+            decision_date: d(),
+            benchmark: &benchmark(),
+            reference_level: 2000.0,
+            data: &data,
+            dynamic_universe: None,
+            risk_config: Some(&risk_config),
+            defer_selection_risk: true,
+        });
+
+        let selected_symbols = selected
+            .iter()
+            .map(|candidate| candidate.symbol.as_str())
+            .collect::<BTreeSet<_>>();
+        assert!(selected_symbols.contains("000001.SZ"));
+        assert!(selected_symbols.contains("688001.SH"));
+        assert!(selected_symbols.contains("000002.SZ"));
+        let rules = diagnostics
+            .risk_decisions
+            .iter()
+            .map(|decision| decision.rule_code.as_str())
+            .collect::<BTreeSet<_>>();
+        assert!(rules.contains("st"), "{:?}", diagnostics.risk_decisions);
+        assert!(rules.contains("kcb"), "{:?}", diagnostics.risk_decisions);
+    }
 }