boris
137 lines
4.2 KiB
Rust
137 lines
4.2 KiB
Rust
use chrono::NaiveDate;
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use crate::data::{CandidateEligibility, DailyMarketSnapshot, PriceField};
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use crate::instrument::Instrument;
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use crate::portfolio::Position;
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#[derive(Debug, Clone, Copy, Default)]
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pub struct ChinaAShareRiskControl;
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impl ChinaAShareRiskControl {
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pub fn instrument_rejection_reason(
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instrument: Option<&Instrument>,
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date: NaiveDate,
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) -> Option<&'static str> {
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let instrument = instrument?;
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if instrument
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.listed_at
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.is_some_and(|listed_at| listed_at > date)
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{
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return Some("not_listed");
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}
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if instrument
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.delisted_at
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.is_some_and(|delisted_at| delisted_at <= date)
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{
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return Some("inactive_or_delisted");
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}
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let status = instrument.status.trim().to_ascii_lowercase();
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let terminal_status = matches!(
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status.as_str(),
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"inactive" | "delisted" | "terminated" | "expired"
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) || status.contains("delist");
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if terminal_status && instrument.delisted_at.is_none() {
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return Some("inactive_or_delisted");
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}
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None
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}
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pub fn selection_rejection_reason(
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date: NaiveDate,
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candidate: &CandidateEligibility,
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market: &DailyMarketSnapshot,
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instrument: Option<&Instrument>,
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) -> Option<&'static str> {
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if let Some(reason) = Self::baseline_rejection_reason(date, candidate, market, instrument) {
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return Some(reason);
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}
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if !candidate.allow_buy || !candidate.allow_sell {
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return Some("trade_disabled");
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}
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None
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}
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pub fn baseline_rejection_reason(
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date: NaiveDate,
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candidate: &CandidateEligibility,
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market: &DailyMarketSnapshot,
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instrument: Option<&Instrument>,
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) -> Option<&'static str> {
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if let Some(reason) = Self::instrument_rejection_reason(instrument, date) {
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return Some(reason);
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}
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if market.paused || candidate.is_paused {
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return Some("paused");
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}
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if candidate.is_st {
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return Some("st");
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}
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if candidate.is_new_listing {
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return Some("new_listing");
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}
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if candidate.is_kcb {
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return Some("kcb");
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}
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if candidate.is_one_yuan || market.day_open <= 1.0 {
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return Some("one_yuan");
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}
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None
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}
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pub fn buy_rejection_reason(
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date: NaiveDate,
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candidate: &CandidateEligibility,
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market: &DailyMarketSnapshot,
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instrument: Option<&Instrument>,
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check_price: f64,
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) -> Option<&'static str> {
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if let Some(reason) = Self::baseline_rejection_reason(date, candidate, market, instrument) {
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return Some(reason);
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}
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if !candidate.allow_buy {
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return Some("buy_disabled");
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}
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if market.is_at_upper_limit_price(check_price) {
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return Some("open at or above upper limit");
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}
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None
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}
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pub fn sell_rejection_reason(
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date: NaiveDate,
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candidate: &CandidateEligibility,
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market: &DailyMarketSnapshot,
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instrument: Option<&Instrument>,
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position: Option<&Position>,
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check_price: f64,
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) -> Option<&'static str> {
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if let Some(reason) = Self::instrument_rejection_reason(instrument, date) {
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return Some(reason);
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}
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if market.paused || candidate.is_paused {
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return Some("paused");
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}
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if !candidate.allow_sell {
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return Some("sell_disabled");
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}
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if market.is_at_lower_limit_price(check_price) {
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return Some("open at or below lower limit");
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}
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if position.is_some_and(|position| position.sellable_qty(date) == 0) {
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return Some("t+1 sellable quantity is zero");
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}
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None
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}
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pub fn buy_check_price(market: &DailyMarketSnapshot, price_field: PriceField) -> f64 {
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market.buy_price(price_field)
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}
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pub fn sell_check_price(market: &DailyMarketSnapshot, price_field: PriceField) -> f64 {
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match price_field {
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PriceField::Last => market.price(PriceField::Last),
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_ => market.sell_price(price_field),
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}
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}
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}
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