fidc-backtest-engine/crates/fidc-core/src/risk_control.rs

use std::collections::BTreeSet;

use chrono::NaiveDate;
use serde::{Deserialize, Serialize};

use crate::data::{CandidateEligibility, DailyMarketSnapshot, PriceField};
use crate::instrument::Instrument;
use crate::portfolio::Position;

#[derive(Debug, Clone, Copy, Default)]
pub struct ChinaAShareRiskControl;

#[derive(Debug, Clone, PartialEq, Serialize, Deserialize)]
#[serde(default)]
pub struct StaticRiskRuleConfig {
    pub reject_st_selection: bool,
    pub reject_st_buy: bool,
    pub reject_paused_selection: bool,
    pub reject_paused_buy: bool,
    pub reject_paused_sell: bool,
    pub reject_inactive_selection: bool,
    pub reject_inactive_buy: bool,
    pub reject_inactive_sell: bool,
    pub reject_new_listing_selection: bool,
    pub reject_new_listing_buy: bool,
    pub reject_kcb_selection: bool,
    pub reject_kcb_buy: bool,
    pub reject_one_yuan_selection: bool,
    pub reject_one_yuan_buy: bool,
    pub respect_allow_buy_sell: bool,
    pub reject_upper_limit_selection: bool,
    pub reject_lower_limit_selection: bool,
    pub reject_upper_limit_buy: bool,
    pub reject_lower_limit_sell: bool,
    pub forbid_same_day_rebuy_after_sell: bool,
    pub blacklist_enabled: bool,
    #[serde(default)]
    pub blacklisted_symbols: BTreeSet<String>,
}

impl Default for StaticRiskRuleConfig {
    fn default() -> Self {
        Self {
            reject_st_selection: true,
            reject_st_buy: true,
            reject_paused_selection: true,
            reject_paused_buy: true,
            reject_paused_sell: true,
            reject_inactive_selection: true,
            reject_inactive_buy: true,
            reject_inactive_sell: true,
            reject_new_listing_selection: true,
            reject_new_listing_buy: true,
            reject_kcb_selection: true,
            reject_kcb_buy: true,
            reject_one_yuan_selection: true,
            reject_one_yuan_buy: true,
            respect_allow_buy_sell: true,
            reject_upper_limit_selection: true,
            reject_lower_limit_selection: true,
            reject_upper_limit_buy: true,
            reject_lower_limit_sell: true,
            forbid_same_day_rebuy_after_sell: true,
            blacklist_enabled: true,
            blacklisted_symbols: BTreeSet::new(),
        }
    }
}

#[derive(Debug, Clone, Copy, PartialEq, Serialize, Deserialize)]
pub struct TradingConstraintConfig {
    pub volume_limit_enabled: bool,
    pub volume_percent: f64,
    pub liquidity_limit_enabled: bool,
    pub commission_rate: f64,
    pub minimum_commission: f64,
    pub stamp_tax_rate_before_change: f64,
    pub stamp_tax_rate_after_change: f64,
    pub stamp_tax_change_date: NaiveDate,
}

impl Default for TradingConstraintConfig {
    fn default() -> Self {
        Self {
            volume_limit_enabled: true,
            volume_percent: 0.25,
            liquidity_limit_enabled: true,
            commission_rate: 0.0003,
            minimum_commission: 5.0,
            stamp_tax_rate_before_change: 0.001,
            stamp_tax_rate_after_change: 0.0005,
            stamp_tax_change_date: NaiveDate::from_ymd_opt(2023, 8, 28)
                .expect("valid stamp tax change date"),
        }
    }
}

#[derive(Debug, Clone, PartialEq, Serialize, Deserialize, Default)]
pub struct FidcRiskControlConfig {
    pub static_rules: StaticRiskRuleConfig,
    pub trading_constraints: TradingConstraintConfig,
}

#[derive(Debug, Clone, PartialEq, Serialize, Deserialize)]
pub struct FidcRiskDecisionAudit {
    pub date: NaiveDate,
    pub symbol: String,
    pub scope: RiskCheckScope,
    pub stage: String,
    pub accepted: bool,
    pub rule_code: String,
    pub reason: String,
    pub config_version: Option<String>,
    pub data_epoch: String,
    pub selection_batch_id: Option<String>,
    pub order_id: Option<String>,
}

impl FidcRiskDecisionAudit {
    pub fn rejected_selection(
        date: NaiveDate,
        symbol: impl Into<String>,
        reason: impl Into<String>,
    ) -> Self {
        let reason = reason.into();
        Self {
            date,
            symbol: symbol.into(),
            scope: RiskCheckScope::Selection,
            stage: "selection".to_string(),
            accepted: false,
            rule_code: reason.clone(),
            reason,
            config_version: Some("inline_risk_policy".to_string()),
            data_epoch: date.to_string(),
            selection_batch_id: Some(format!("selection:{date}")),
            order_id: None,
        }
    }

    pub fn diagnostic_line(&self) -> String {
        match serde_json::to_string(self) {
            Ok(value) => format!("risk_decision={value}"),
            Err(err) => format!(
                "risk_decision_serialize_error symbol={} date={} error={}",
                self.symbol, self.date, err
            ),
        }
    }
}

impl ChinaAShareRiskControl {
    pub fn default_config() -> FidcRiskControlConfig {
        FidcRiskControlConfig::default()
    }

    fn is_blacklisted(config: &FidcRiskControlConfig, symbol: &str) -> bool {
        config.static_rules.blacklist_enabled
            && config.static_rules.blacklisted_symbols.contains(symbol)
    }

    pub fn instrument_rejection_reason(
        instrument: Option<&Instrument>,
        date: NaiveDate,
    ) -> Option<&'static str> {
        let instrument = instrument?;
        if instrument
            .listed_at
            .is_some_and(|listed_at| listed_at > date)
        {
            return Some("not_listed");
        }
        if instrument
            .delisted_at
            .is_some_and(|delisted_at| delisted_at <= date)
        {
            return Some("inactive_or_delisted");
        }
        let status = instrument.status.trim().to_ascii_lowercase();
        let terminal_status = matches!(
            status.as_str(),
            "inactive" | "delisted" | "terminated" | "expired"
        ) || status.contains("delist");
        if terminal_status && instrument.delisted_at.is_none() {
            return Some("inactive_or_delisted");
        }
        None
    }

    pub fn instrument_rejection_reason_with_config(
        instrument: Option<&Instrument>,
        date: NaiveDate,
        config: &FidcRiskControlConfig,
        scope: RiskCheckScope,
    ) -> Option<&'static str> {
        let enabled = match scope {
            RiskCheckScope::Selection => config.static_rules.reject_inactive_selection,
            RiskCheckScope::Buy => config.static_rules.reject_inactive_buy,
            RiskCheckScope::Sell => config.static_rules.reject_inactive_sell,
        };
        if !enabled {
            return None;
        }
        Self::instrument_rejection_reason(instrument, date)
    }

    pub fn selection_rejection_reason(
        date: NaiveDate,
        candidate: &CandidateEligibility,
        market: &DailyMarketSnapshot,
        instrument: Option<&Instrument>,
    ) -> Option<&'static str> {
        Self::selection_rejection_reason_with_config(
            date,
            candidate,
            market,
            instrument,
            &Self::default_config(),
        )
    }

    pub fn selection_rejection_reason_with_config(
        date: NaiveDate,
        candidate: &CandidateEligibility,
        market: &DailyMarketSnapshot,
        instrument: Option<&Instrument>,
        config: &FidcRiskControlConfig,
    ) -> Option<&'static str> {
        if let Some(reason) = Self::baseline_rejection_reason_with_config(
            date,
            candidate,
            market,
            instrument,
            config,
            RiskCheckScope::Selection,
        ) {
            return Some(reason);
        }
        if config.static_rules.respect_allow_buy_sell
            && (!candidate.allow_buy || !candidate.allow_sell)
        {
            return Some("trade_disabled");
        }
        let selection_price = market.price(PriceField::Last);
        if config.static_rules.reject_upper_limit_selection
            && market.is_at_upper_limit_price(selection_price)
        {
            return Some("upper_limit");
        }
        if config.static_rules.reject_lower_limit_selection
            && market.is_at_lower_limit_price(selection_price)
        {
            return Some("lower_limit");
        }
        None
    }

    pub fn selection_rejection_decision_with_config(
        date: NaiveDate,
        candidate: &CandidateEligibility,
        market: &DailyMarketSnapshot,
        instrument: Option<&Instrument>,
        config: &FidcRiskControlConfig,
    ) -> Option<FidcRiskDecisionAudit> {
        Self::selection_rejection_reason_with_config(date, candidate, market, instrument, config)
            .map(|reason| {
                FidcRiskDecisionAudit::rejected_selection(date, candidate.symbol.clone(), reason)
            })
    }

    pub fn baseline_rejection_reason(
        date: NaiveDate,
        candidate: &CandidateEligibility,
        market: &DailyMarketSnapshot,
        instrument: Option<&Instrument>,
    ) -> Option<&'static str> {
        Self::baseline_rejection_reason_with_config(
            date,
            candidate,
            market,
            instrument,
            &Self::default_config(),
            RiskCheckScope::Selection,
        )
    }

    pub fn baseline_rejection_reason_with_config(
        date: NaiveDate,
        candidate: &CandidateEligibility,
        market: &DailyMarketSnapshot,
        instrument: Option<&Instrument>,
        config: &FidcRiskControlConfig,
        scope: RiskCheckScope,
    ) -> Option<&'static str> {
        if Self::is_blacklisted(config, &candidate.symbol) && scope != RiskCheckScope::Sell {
            return Some("blacklisted");
        }
        if let Some(reason) =
            Self::instrument_rejection_reason_with_config(instrument, date, config, scope)
        {
            return Some(reason);
        }
        if Self::missing_risk_state_rejected(candidate, config, scope) {
            return Some("missing_risk_state");
        }
        let reject_paused = match scope {
            RiskCheckScope::Selection => config.static_rules.reject_paused_selection,
            RiskCheckScope::Buy => config.static_rules.reject_paused_buy,
            RiskCheckScope::Sell => config.static_rules.reject_paused_sell,
        };
        if reject_paused && (market.paused || candidate.is_paused) {
            return Some("paused");
        }
        let reject_st = match scope {
            RiskCheckScope::Selection => config.static_rules.reject_st_selection,
            RiskCheckScope::Buy => config.static_rules.reject_st_buy,
            RiskCheckScope::Sell => false,
        };
        if reject_st && candidate.is_st {
            return Some("st");
        }
        let reject_new_listing = match scope {
            RiskCheckScope::Selection => config.static_rules.reject_new_listing_selection,
            RiskCheckScope::Buy => config.static_rules.reject_new_listing_buy,
            RiskCheckScope::Sell => false,
        };
        if reject_new_listing && candidate.is_new_listing {
            return Some("new_listing");
        }
        let reject_kcb = match scope {
            RiskCheckScope::Selection => config.static_rules.reject_kcb_selection,
            RiskCheckScope::Buy => config.static_rules.reject_kcb_buy,
            RiskCheckScope::Sell => false,
        };
        if reject_kcb && candidate.is_kcb {
            return Some("kcb");
        }
        let reject_one_yuan = match scope {
            RiskCheckScope::Selection => config.static_rules.reject_one_yuan_selection,
            RiskCheckScope::Buy => config.static_rules.reject_one_yuan_buy,
            RiskCheckScope::Sell => false,
        };
        if reject_one_yuan && (candidate.is_one_yuan || market.day_open <= 1.0) {
            return Some("one_yuan");
        }
        None
    }

    fn missing_risk_state_rejected(
        candidate: &CandidateEligibility,
        config: &FidcRiskControlConfig,
        scope: RiskCheckScope,
    ) -> bool {
        let Some(code) = candidate
            .risk_level_code
            .as_deref()
            .map(str::trim)
            .filter(|value| value.starts_with("missing_risk_state"))
        else {
            return false;
        };
        if code.is_empty() {
            return false;
        }
        match scope {
            RiskCheckScope::Selection => missing_selection_risk_state_rejected(code, config),
            RiskCheckScope::Buy => missing_buy_risk_state_rejected(code, config),
            RiskCheckScope::Sell => missing_sell_risk_state_rejected(code, config),
        }
    }

    pub fn buy_rejection_reason(
        date: NaiveDate,
        candidate: &CandidateEligibility,
        market: &DailyMarketSnapshot,
        instrument: Option<&Instrument>,
        check_price: f64,
    ) -> Option<&'static str> {
        Self::buy_rejection_reason_with_config(
            date,
            candidate,
            market,
            instrument,
            check_price,
            &Self::default_config(),
        )
    }

    pub fn buy_rejection_reason_with_config(
        date: NaiveDate,
        candidate: &CandidateEligibility,
        market: &DailyMarketSnapshot,
        instrument: Option<&Instrument>,
        check_price: f64,
        config: &FidcRiskControlConfig,
    ) -> Option<&'static str> {
        if let Some(reason) = Self::baseline_rejection_reason_with_config(
            date,
            candidate,
            market,
            instrument,
            config,
            RiskCheckScope::Buy,
        ) {
            return Some(reason);
        }
        if config.static_rules.respect_allow_buy_sell && !candidate.allow_buy {
            return Some("buy_disabled");
        }
        if config.static_rules.reject_upper_limit_buy && market.is_at_upper_limit_price(check_price)
        {
            return Some("open at or above upper limit");
        }
        None
    }

    pub fn sell_rejection_reason(
        date: NaiveDate,
        candidate: &CandidateEligibility,
        market: &DailyMarketSnapshot,
        instrument: Option<&Instrument>,
        position: Option<&Position>,
        check_price: f64,
    ) -> Option<&'static str> {
        Self::sell_rejection_reason_with_config(
            date,
            candidate,
            market,
            instrument,
            position,
            check_price,
            &Self::default_config(),
        )
    }

    pub fn sell_rejection_reason_with_config(
        date: NaiveDate,
        candidate: &CandidateEligibility,
        market: &DailyMarketSnapshot,
        instrument: Option<&Instrument>,
        position: Option<&Position>,
        check_price: f64,
        config: &FidcRiskControlConfig,
    ) -> Option<&'static str> {
        if let Some(reason) = Self::instrument_rejection_reason_with_config(
            instrument,
            date,
            config,
            RiskCheckScope::Sell,
        ) {
            return Some(reason);
        }
        if Self::missing_risk_state_rejected(candidate, config, RiskCheckScope::Sell) {
            return Some("missing_risk_state");
        }
        if config.static_rules.reject_paused_sell && (market.paused || candidate.is_paused) {
            return Some("paused");
        }
        // `allow_sell` is derived from the daily candidate snapshot and may
        // reflect an open/close fallback rather than the actual execution price.
        // A sell order must be blocked by the execution price lower-limit check
        // below, while suspension and delisting are handled above.
        if config.static_rules.reject_lower_limit_sell
            && market.is_at_lower_limit_price(check_price)
        {
            return Some("open at or below lower limit");
        }
        if position.is_some_and(|position| position.sellable_qty(date) == 0) {
            return Some("t+1 sellable quantity is zero");
        }
        None
    }

    pub fn buy_check_price(market: &DailyMarketSnapshot, price_field: PriceField) -> f64 {
        market.buy_price(price_field)
    }

    pub fn sell_check_price(market: &DailyMarketSnapshot, price_field: PriceField) -> f64 {
        match price_field {
            PriceField::Last => market.price(PriceField::Last),
            _ => market.sell_price(price_field),
        }
    }
}

fn missing_risk_state_fields(code: &str) -> Vec<String> {
    let Some((_, fields)) = code.split_once(':') else {
        return Vec::new();
    };
    fields
        .split(|ch| matches!(ch, ',' | ';' | '|' | ' '))
        .map(str::trim)
        .filter(|value| !value.is_empty())
        .map(|value| value.to_ascii_lowercase())
        .collect()
}

fn missing_selection_risk_state_rejected(code: &str, config: &FidcRiskControlConfig) -> bool {
    let fields = missing_risk_state_fields(code);
    if fields.is_empty() {
        return config.static_rules.reject_st_selection
            || config.static_rules.reject_paused_selection
            || config.static_rules.reject_inactive_selection
            || config.static_rules.reject_new_listing_selection
            || config.static_rules.reject_kcb_selection
            || config.static_rules.reject_one_yuan_selection
            || config.static_rules.reject_upper_limit_selection
            || config.static_rules.reject_lower_limit_selection
            || config.static_rules.respect_allow_buy_sell;
    }
    missing_field_rejected(&fields, config, RiskCheckScope::Selection)
}

fn missing_buy_risk_state_rejected(code: &str, config: &FidcRiskControlConfig) -> bool {
    let fields = missing_risk_state_fields(code);
    if fields.is_empty() {
        return config.static_rules.reject_st_buy
            || config.static_rules.reject_paused_buy
            || config.static_rules.reject_inactive_buy
            || config.static_rules.reject_new_listing_buy
            || config.static_rules.reject_kcb_buy
            || config.static_rules.reject_one_yuan_buy
            || config.static_rules.reject_upper_limit_buy
            || config.static_rules.respect_allow_buy_sell;
    }
    missing_field_rejected(&fields, config, RiskCheckScope::Buy)
}

fn missing_sell_risk_state_rejected(code: &str, config: &FidcRiskControlConfig) -> bool {
    let fields = missing_risk_state_fields(code);
    if fields.is_empty() {
        return config.static_rules.reject_paused_sell
            || config.static_rules.reject_inactive_sell
            || config.static_rules.respect_allow_buy_sell
            || config.static_rules.reject_lower_limit_sell;
    }
    missing_field_rejected(&fields, config, RiskCheckScope::Sell)
}

fn missing_field_rejected(
    fields: &[String],
    config: &FidcRiskControlConfig,
    scope: RiskCheckScope,
) -> bool {
    fields
        .iter()
        .any(|field| missing_single_field_rejected(field, config, scope))
}

fn missing_single_field_rejected(
    field: &str,
    config: &FidcRiskControlConfig,
    scope: RiskCheckScope,
) -> bool {
    match field {
        "is_st" | "is_star_st" | "st" | "star_st" | "star_st_status" => match scope {
            RiskCheckScope::Selection => config.static_rules.reject_st_selection,
            RiskCheckScope::Buy => config.static_rules.reject_st_buy,
            RiskCheckScope::Sell => false,
        },
        "paused" | "is_paused" | "suspended" | "is_suspended" => match scope {
            RiskCheckScope::Selection => config.static_rules.reject_paused_selection,
            RiskCheckScope::Buy => config.static_rules.reject_paused_buy,
            RiskCheckScope::Sell => config.static_rules.reject_paused_sell,
        },
        "active_status" | "status" | "instrument_status" | "is_active" | "inactive_status"
        | "is_inactive" | "is_delisted" | "listed_date" | "delisted_date" => match scope {
            RiskCheckScope::Selection => config.static_rules.reject_inactive_selection,
            RiskCheckScope::Buy => config.static_rules.reject_inactive_buy,
            RiskCheckScope::Sell => config.static_rules.reject_inactive_sell,
        },
        "listed_days" | "listing_days" | "days_since_listing" => match scope {
            RiskCheckScope::Selection => config.static_rules.reject_new_listing_selection,
            RiskCheckScope::Buy => config.static_rules.reject_new_listing_buy,
            RiskCheckScope::Sell => false,
        },
        "is_kcb" | "kcb" | "board" | "market_board" => match scope {
            RiskCheckScope::Selection => config.static_rules.reject_kcb_selection,
            RiskCheckScope::Buy => config.static_rules.reject_kcb_buy,
            RiskCheckScope::Sell => false,
        },
        "is_one_yuan" | "one_yuan" => match scope {
            RiskCheckScope::Selection => config.static_rules.reject_one_yuan_selection,
            RiskCheckScope::Buy => config.static_rules.reject_one_yuan_buy,
            RiskCheckScope::Sell => false,
        },
        "allow_buy" => match scope {
            RiskCheckScope::Selection | RiskCheckScope::Buy => {
                config.static_rules.respect_allow_buy_sell
            }
            RiskCheckScope::Sell => false,
        },
        "allow_sell" => match scope {
            RiskCheckScope::Selection | RiskCheckScope::Sell => {
                config.static_rules.respect_allow_buy_sell
            }
            RiskCheckScope::Buy => false,
        },
        "upper_limit" | "upper_limit_price" | "high_limit" | "high_limit_price" => match scope {
            RiskCheckScope::Selection => config.static_rules.reject_upper_limit_selection,
            RiskCheckScope::Buy => config.static_rules.reject_upper_limit_buy,
            RiskCheckScope::Sell => false,
        },
        "lower_limit" | "lower_limit_price" | "low_limit" | "low_limit_price" => match scope {
            RiskCheckScope::Selection => config.static_rules.reject_lower_limit_selection,
            RiskCheckScope::Buy => false,
            RiskCheckScope::Sell => config.static_rules.reject_lower_limit_sell,
        },
        _ => match scope {
            RiskCheckScope::Selection => {
                config.static_rules.reject_st_selection
                    || config.static_rules.reject_paused_selection
                    || config.static_rules.reject_inactive_selection
                    || config.static_rules.reject_new_listing_selection
                    || config.static_rules.reject_kcb_selection
                    || config.static_rules.reject_one_yuan_selection
                    || config.static_rules.reject_upper_limit_selection
                    || config.static_rules.reject_lower_limit_selection
                    || config.static_rules.respect_allow_buy_sell
            }
            RiskCheckScope::Buy => {
                config.static_rules.reject_st_buy
                    || config.static_rules.reject_paused_buy
                    || config.static_rules.reject_inactive_buy
                    || config.static_rules.reject_new_listing_buy
                    || config.static_rules.reject_kcb_buy
                    || config.static_rules.reject_one_yuan_buy
                    || config.static_rules.reject_upper_limit_buy
                    || config.static_rules.respect_allow_buy_sell
            }
            RiskCheckScope::Sell => {
                config.static_rules.reject_paused_sell
                    || config.static_rules.reject_inactive_sell
                    || config.static_rules.reject_lower_limit_sell
                    || config.static_rules.respect_allow_buy_sell
            }
        },
    }
}

#[derive(Debug, Clone, Copy, PartialEq, Eq, Serialize, Deserialize)]
#[serde(rename_all = "snake_case")]
pub enum RiskCheckScope {
    Selection,
    Buy,
    Sell,
}

#[cfg(test)]
mod tests {
    use super::*;

    fn d(year: i32, month: u32, day: u32) -> NaiveDate {
        NaiveDate::from_ymd_opt(year, month, day).expect("valid date")
    }

    fn candidate(date: NaiveDate) -> CandidateEligibility {
        CandidateEligibility {
            date,
            symbol: "002633.SZ".to_string(),
            is_st: false,
            is_new_listing: false,
            is_paused: false,
            allow_buy: true,
            allow_sell: false,
            is_kcb: false,
            is_one_yuan: false,
            risk_level_code: None,
        }
    }

    fn market(date: NaiveDate, last_price: f64, lower_limit: f64) -> DailyMarketSnapshot {
        DailyMarketSnapshot {
            date,
            symbol: "002633.SZ".to_string(),
            timestamp: Some(format!("{date} 10:18:00")),
            day_open: last_price,
            open: last_price,
            high: last_price,
            low: last_price,
            close: last_price,
            last_price,
            bid1: last_price,
            ask1: last_price,
            prev_close: 6.25,
            volume: 1_000_000,
            minute_volume: 10_000,
            bid1_volume: 10_000,
            ask1_volume: 10_000,
            trading_phase: Some("continuous".to_string()),
            paused: false,
            upper_limit: 6.89,
            lower_limit,
            price_tick: 0.01,
        }
    }

    fn position(prev_date: NaiveDate) -> Position {
        let mut position = Position::new("002633.SZ");
        position.buy(prev_date, 7_200, 8.48);
        position
    }

    #[test]
    fn sell_rejection_uses_execution_price_not_stale_allow_sell() {
        let prev_date = d(2024, 4, 16);
        let date = d(2024, 4, 17);
        let candidate = candidate(date);
        let market = market(date, 6.27, 5.63);
        let position = position(prev_date);

        let reason = ChinaAShareRiskControl::sell_rejection_reason(
            date,
            &candidate,
            &market,
            None,
            Some(&position),
            6.27,
        );

        assert_eq!(reason, None);
    }

    #[test]
    fn sell_rejection_blocks_execution_price_at_lower_limit() {
        let prev_date = d(2024, 4, 16);
        let date = d(2024, 4, 17);
        let candidate = candidate(date);
        let market = market(date, 5.63, 5.63);
        let position = position(prev_date);

        let reason = ChinaAShareRiskControl::sell_rejection_reason(
            date,
            &candidate,
            &market,
            None,
            Some(&position),
            5.63,
        );

        assert_eq!(reason, Some("open at or below lower limit"));
    }

    #[test]
    fn configurable_blacklist_rejects_selection_and_buy() {
        let date = d(2025, 1, 2);
        let candidate = candidate(date);
        let market = market(date, 6.27, 5.63);
        let mut config = FidcRiskControlConfig::default();
        config
            .static_rules
            .blacklisted_symbols
            .insert(candidate.symbol.clone());

        let selection_reason = ChinaAShareRiskControl::selection_rejection_reason_with_config(
            date, &candidate, &market, None, &config,
        );
        let buy_reason = ChinaAShareRiskControl::buy_rejection_reason_with_config(
            date, &candidate, &market, None, 6.27, &config,
        );

        assert_eq!(selection_reason, Some("blacklisted"));
        assert_eq!(buy_reason, Some("blacklisted"));
    }

    #[test]
    fn configurable_kcb_filter_can_be_disabled() {
        let date = d(2025, 1, 2);
        let mut candidate = candidate(date);
        candidate.is_kcb = true;
        let market = market(date, 6.27, 5.63);
        let default_reason =
            ChinaAShareRiskControl::selection_rejection_reason(date, &candidate, &market, None);
        let mut config = FidcRiskControlConfig::default();
        config.static_rules.reject_kcb_selection = false;
        config.static_rules.reject_kcb_buy = false;
        let configured_reason = ChinaAShareRiskControl::buy_rejection_reason_with_config(
            date, &candidate, &market, None, 6.27, &config,
        );

        assert_eq!(default_reason, Some("kcb"));
        assert_eq!(configured_reason, None);
    }

    #[test]
    fn missing_risk_state_rejects_selection_and_buy_when_static_filters_enabled() {
        let date = d(2025, 1, 2);
        let mut candidate = candidate(date);
        candidate.risk_level_code = Some("missing_risk_state:is_st,allow_buy".to_string());
        let market = market(date, 6.27, 5.63);

        let selection_reason =
            ChinaAShareRiskControl::selection_rejection_reason(date, &candidate, &market, None);
        let buy_reason =
            ChinaAShareRiskControl::buy_rejection_reason(date, &candidate, &market, None, 6.27);
        let sell_reason = ChinaAShareRiskControl::sell_rejection_reason(
            date,
            &candidate,
            &market,
            None,
            Some(&position(d(2024, 12, 31))),
            6.27,
        );

        assert_eq!(selection_reason, Some("missing_risk_state"));
        assert_eq!(buy_reason, Some("missing_risk_state"));
        assert_eq!(sell_reason, None);
    }

    #[test]
    fn missing_risk_state_rejects_sell_when_sell_risk_facts_are_missing() {
        let date = d(2025, 1, 2);
        let mut candidate = candidate(date);
        candidate.allow_sell = true;
        candidate.risk_level_code = Some(
            "missing_risk_state:paused,active_status,allow_sell,lower_limit_price".to_string(),
        );
        let market = market(date, 6.27, 5.63);
        let position = position(d(2024, 12, 31));

        let reason = ChinaAShareRiskControl::sell_rejection_reason(
            date,
            &candidate,
            &market,
            None,
            Some(&position),
            6.27,
        );

        assert_eq!(reason, Some("missing_risk_state"));
    }

    #[test]
    fn missing_risk_state_sell_can_be_relaxed_by_disabling_sell_static_filters() {
        let date = d(2025, 1, 2);
        let mut candidate = candidate(date);
        candidate.allow_sell = true;
        candidate.risk_level_code = Some(
            "missing_risk_state:paused,active_status,allow_sell,lower_limit_price".to_string(),
        );
        let market = market(date, 6.27, 5.63);
        let position = position(d(2024, 12, 31));
        let mut config = FidcRiskControlConfig::default();
        config.static_rules.reject_paused_sell = false;
        config.static_rules.reject_inactive_sell = false;
        config.static_rules.respect_allow_buy_sell = false;
        config.static_rules.reject_lower_limit_sell = false;

        let reason = ChinaAShareRiskControl::sell_rejection_reason_with_config(
            date,
            &candidate,
            &market,
            None,
            Some(&position),
            6.27,
            &config,
        );

        assert_eq!(reason, None);
    }

    #[test]
    fn missing_risk_state_respects_field_specific_selection_switches() {
        let date = d(2025, 1, 2);
        let mut candidate = candidate(date);
        candidate.allow_sell = true;
        candidate.risk_level_code =
            Some("missing_risk_state:upper_limit_price,lower_limit_price".to_string());
        let market = market(date, 6.27, 5.63);
        let mut config = FidcRiskControlConfig::default();
        config.static_rules.reject_upper_limit_selection = false;

        let upper_disabled_reason = ChinaAShareRiskControl::selection_rejection_reason_with_config(
            date, &candidate, &market, None, &config,
        );

        config.static_rules.reject_lower_limit_selection = false;
        let both_disabled_reason = ChinaAShareRiskControl::selection_rejection_reason_with_config(
            date, &candidate, &market, None, &config,
        );

        assert_eq!(upper_disabled_reason, Some("missing_risk_state"));
        assert_eq!(both_disabled_reason, None);
    }

    #[test]
    fn missing_risk_state_respects_field_specific_buy_switches() {
        let date = d(2025, 1, 2);
        let mut candidate = candidate(date);
        candidate.risk_level_code =
            Some("missing_risk_state:upper_limit_price,lower_limit_price".to_string());
        let market = market(date, 6.27, 5.63);
        let mut config = FidcRiskControlConfig::default();
        config.static_rules.reject_upper_limit_buy = false;

        let buy_reason = ChinaAShareRiskControl::buy_rejection_reason_with_config(
            date, &candidate, &market, None, 6.27, &config,
        );

        assert_eq!(buy_reason, None);
    }

    #[test]
    fn missing_risk_state_can_be_relaxed_by_disabling_static_filters() {
        let date = d(2025, 1, 2);
        let mut candidate = candidate(date);
        candidate.allow_sell = true;
        candidate.risk_level_code = Some("missing_risk_state:is_st,paused,allow_buy".to_string());
        let market = market(date, 6.27, 5.63);
        let mut config = FidcRiskControlConfig::default();
        config.static_rules.reject_st_selection = false;
        config.static_rules.reject_st_buy = false;
        config.static_rules.reject_paused_selection = false;
        config.static_rules.reject_paused_buy = false;
        config.static_rules.reject_inactive_selection = false;
        config.static_rules.reject_inactive_buy = false;
        config.static_rules.reject_new_listing_selection = false;
        config.static_rules.reject_new_listing_buy = false;
        config.static_rules.reject_kcb_selection = false;
        config.static_rules.reject_kcb_buy = false;
        config.static_rules.reject_one_yuan_selection = false;
        config.static_rules.reject_one_yuan_buy = false;
        config.static_rules.respect_allow_buy_sell = false;

        let selection_reason = ChinaAShareRiskControl::selection_rejection_reason_with_config(
            date, &candidate, &market, None, &config,
        );
        let buy_reason = ChinaAShareRiskControl::buy_rejection_reason_with_config(
            date, &candidate, &market, None, 6.27, &config,
        );

        assert_eq!(selection_reason, None);
        assert_eq!(buy_reason, None);
    }

    #[test]
    fn configurable_upper_limit_buy_filter_can_be_disabled() {
        let date = d(2025, 1, 2);
        let candidate = candidate(date);
        let market = market(date, 6.89, 5.63);
        let default_reason =
            ChinaAShareRiskControl::buy_rejection_reason(date, &candidate, &market, None, 6.89);
        let mut config = FidcRiskControlConfig::default();
        config.static_rules.reject_upper_limit_buy = false;
        let configured_reason = ChinaAShareRiskControl::buy_rejection_reason_with_config(
            date, &candidate, &market, None, 6.89, &config,
        );

        assert_eq!(default_reason, Some("open at or above upper limit"));
        assert_eq!(configured_reason, None);
    }

    #[test]
    fn configurable_upper_limit_selection_filter_can_be_disabled() {
        let date = d(2025, 1, 2);
        let mut candidate = candidate(date);
        candidate.allow_sell = true;
        let market = market(date, 6.89, 5.63);
        let default_reason =
            ChinaAShareRiskControl::selection_rejection_reason(date, &candidate, &market, None);
        let mut config = FidcRiskControlConfig::default();
        config.static_rules.reject_upper_limit_selection = false;
        let configured_reason = ChinaAShareRiskControl::selection_rejection_reason_with_config(
            date, &candidate, &market, None, &config,
        );

        assert_eq!(default_reason, Some("upper_limit"));
        assert_eq!(configured_reason, None);
    }

    #[test]
    fn configurable_lower_limit_selection_filter_can_be_disabled() {
        let date = d(2025, 1, 2);
        let mut candidate = candidate(date);
        candidate.allow_sell = true;
        let market = market(date, 5.63, 5.63);
        let default_reason =
            ChinaAShareRiskControl::selection_rejection_reason(date, &candidate, &market, None);
        let mut config = FidcRiskControlConfig::default();
        config.static_rules.reject_lower_limit_selection = false;
        let configured_reason = ChinaAShareRiskControl::selection_rejection_reason_with_config(
            date, &candidate, &market, None, &config,
        );

        assert_eq!(default_reason, Some("lower_limit"));
        assert_eq!(configured_reason, None);
    }
}