fidc-backtest-engine/crates/fidc-core/tests/automatic_trade_protection.rs

use chrono::NaiveDate;
use fidc_core::holding_policy::{AutomaticTradeLock, AutomaticTradeProtection};
use fidc_core::{
    BacktestConfig, BacktestEngine, BenchmarkSnapshot, BrokerSimulator, CandidateEligibility,
    ChinaAShareCostModel, ChinaEquityRuleHooks, DailyMarketSnapshot, DataSet, Instrument,
    MatchingType, OrderSide, PlatformExplicitOrderKind, PlatformExprStrategy,
    PlatformExprStrategyConfig, PlatformTradeAction, PriceField,
};

fn d(day: u32) -> NaiveDate {
    NaiveDate::from_ymd_opt(2026, 9, day).unwrap()
}
fn data() -> DataSet {
    let dates = [11, 14, 15, 16, 17, 18].map(d);
    DataSet::from_components(
        vec![Instrument {
            symbol: "000001.SZ".into(),
            name: "测试".into(),
            board: "SZ".into(),
            round_lot: 100,
            listed_at: Some(NaiveDate::from_ymd_opt(2020, 1, 1).unwrap()),
            delisted_at: None,
            status: "active".into(),
        }],
        dates
            .iter()
            .map(|date| DailyMarketSnapshot {
                date: *date,
                symbol: "000001.SZ".into(),
                timestamp: Some(format!("{date} 15:00:00")),
                day_open: 10.0,
                open: 10.0,
                high: 10.0,
                low: 10.0,
                close: 10.0,
                last_price: 10.0,
                bid1: 10.0,
                ask1: 10.0,
                prev_close: 10.0,
                volume: 100_000,
                minute_volume: 100_000,
                bid1_volume: 100_000,
                ask1_volume: 100_000,
                trading_phase: Some("continuous".into()),
                paused: false,
                upper_limit: 11.0,
                lower_limit: 9.0,
                price_tick: 0.01,
            })
            .collect(),
        dates
            .iter()
            .map(|date| fidc_core::DailyFactorSnapshot {
                date: *date,
                symbol: "000001.SZ".into(),
                market_cap_bn: 10.0,
                free_float_cap_bn: 10.0,
                pe_ttm: 10.0,
                turnover_ratio: None,
                effective_turnover_ratio: None,
                adjustment_factor_backward1: Some(1.0),
                extra_factors: Default::default(),
            })
            .collect(),
        dates
            .iter()
            .map(|date| CandidateEligibility {
                date: *date,
                symbol: "000001.SZ".into(),
                is_st: false,
                is_star_st: false,
                is_new_listing: false,
                is_paused: false,
                allow_buy: true,
                allow_sell: true,
                is_kcb: false,
                is_one_yuan: false,
                risk_level_code: None,
            })
            .collect(),
        dates
            .iter()
            .map(|date| BenchmarkSnapshot {
                date: *date,
                benchmark: "000300.SH".into(),
                open: 100.0,
                close: 100.0,
                prev_close: 100.0,
                volume: 1_000_000,
            })
            .collect(),
    )
    .unwrap()
}
fn action(quantity: &str, when: &str) -> PlatformTradeAction {
    PlatformTradeAction::Order {
        kind: PlatformExplicitOrderKind::Shares,
        symbol: "000001.SZ".into(),
        amount_expr: quantity.into(),
        when_expr: Some(when.into()),
        limit_price_expr: None,
        time_in_force: None,
        start_time_expr: None,
        end_time_expr: None,
        reason: "configured_strategy_action".into(),
    }
}

#[test]
fn observed_manual_trades_then_split_keep_real_fill_protection_and_lock_dates() {
    for sell_during_lock in [false, true] {
    let sale = if sell_during_lock {
        ("manual-sell", "Sell", "2026-09-16T01:31:00Z", "2026-09-16T01:31:01Z", "5", "0.5", 200)
    } else {
        ("manual-sell", "Sell", "2026-09-14T01:31:00Z", "2026-09-14T01:31:01Z", "10", "0.5", 100)
    };
    let actions = [
        ("new-buy", "Buy", "2026-09-14T01:30:00Z", "2026-09-14T01:30:01Z", "10", "0.25", 100),
        ("late-buy", "Buy", "2026-09-11T06:00:00Z", "2026-09-14T01:30:02Z", "10", "0.75", 100),
        sale,
    ].into_iter().enumerate().map(|(index, (id, side, executed, observed, price, fee, quantity))| {
        let executed: chrono::DateTime<chrono::Utc> = executed.parse().unwrap();
        let observed: chrono::DateTime<chrono::Utc> = observed.parse().unwrap();
        let created = executed - chrono::Duration::seconds(1);
        serde_json::json!({"actionId":id,"source":"manual_security_trade","auditEventIds":[format!("audit-{id}")],
            "confirmedAt":created,"confirmationObservedAt":created,"outcome":"orders_terminal","orders":[{
                "orderId":id,"brokerOrderId":id,"sourceAdapter":"paper","symbol":"000001.SZ","side":side,"quantity":quantity,
                "orderCreatedAt":created,"terminalObservedAt":observed,"terminalStatus":"filled","fills":[{
                    "tradeId":id,"observationEventId":id,"observationSequence":index+1,
                    "tradeDate":executed.date_naive(),"executedAt":executed,"observedAt":observed,
                    "feeObservationEventId":id,"feeObservationSequence":index+1,"feeObservedAt":observed,
                    "timestampPrecision":"second","quantity":quantity,"price":price,"totalFee":fee
                }]
            }]})
    }).collect::<Vec<_>>();
    let mut replay: fidc_core::manual_execution::ManualExecutionReplay = serde_json::from_value(serde_json::json!({
        "schema":fidc_core::manual_execution::MANUAL_REPLAY_SCHEMA,"runtimeId":"r","accountId":"a",
        "sourceContractSha256":"a".repeat(64),"contentSha256":"","observationCutoff":"2026-09-18T08:00:00Z","actions":actions,
    })).unwrap();
    replay.content_sha256 = replay.content_digest().unwrap();
    let mut parts = data().snapshot_components();
    for row in &mut parts.market {
        if row.date >= d(15) {
            row.day_open = 5.;
            row.open = 5.;
            row.high = 5.;
            row.low = 5.;
            row.close = 5.;
            row.last_price = 5.;
            row.bid1 = 5.;
            row.ask1 = 5.;
            row.prev_close = 5.;
            row.upper_limit = 5.5;
            row.lower_limit = 4.5;
        }
    }
    parts.corporate_actions.push(fidc_core::CorporateAction {
        date: d(15),
        symbol: "000001.SZ".into(),
        payable_date: None,
        share_cash: 0.,
        share_bonus: 1.,
        share_gift: 0.,
        issue_quantity: 0.,
        issue_price: 0.,
        reform: false,
        adjust_factor: None,
        successor_symbol: None,
        successor_ratio: None,
        successor_cash: None,
    });
    let data = DataSet::from_components_with_actions(
        parts.instruments,
        parts.market,
        parts.factors,
        parts.candidates,
        parts.benchmarks,
        parts.corporate_actions,
    )
    .unwrap();
    let mut config = PlatformExprStrategyConfig::generic();
    config.signal_symbol = "000001.SZ".into();
    config.benchmark_symbol = "000300.SH".into();
    config.rotation_enabled = false;
    config.matching_type = MatchingType::CurrentBarClose;
    config.volume_capacity_mode =
        fidc_core::execution_capacity::VolumeCapacityMode::SessionCapacityAudit;
    config.automatic_trade_protection = AutomaticTradeProtection {
        buy_protection_days: 3,
        sell_cooldown_days: 3,
        max_holding_days: 1,
        locks: vec![AutomaticTradeLock {
            symbol: "000001.SZ".into(),
            start_date: d(16),
            end_date: Some(d(17)),
        }],
    };
    config.explicit_actions = vec![action("-200", "decision_date >= \"2026-09-14\"")];
    let result = BacktestEngine::new(
        data,
        PlatformExprStrategy::new(config),
        BrokerSimulator::new(ChinaAShareCostModel::default(), ChinaEquityRuleHooks)
            .with_matching_type(MatchingType::CurrentBarClose)
            .with_volume_capacity_mode(
                fidc_core::execution_capacity::VolumeCapacityMode::SessionCapacityAudit,
            ),
        BacktestConfig {
            initial_cash: 10000.,
            benchmark_code: "000300.SH".into(),
            start_date: Some(d(11)),
            end_date: Some(d(18)),
            decision_lag_trading_days: 0,
            execution_price_field: PriceField::Close,
        },
    )
    .with_observed_manual_executions(replay)
    .unwrap()
    .run()
    .unwrap();
    assert_eq!(result.manual_executions.len(), 3);
    assert_eq!(result.manual_executions[2].quantity_after, if sell_during_lock { 200 } else { 100 });
    assert_eq!(result.fills.len(), 1, "{:?}", result.fills);
    assert_eq!(
        (
            result.fills[0].date,
            result.fills[0].side,
            result.fills[0].quantity,
            result.fills[0].price
        ),
        (d(18), OrderSide::Sell, 200, 5.)
    );
    assert!(result.fills[0].reason.contains("max_holding_days_exit"));
    for day in [14, 15] {
        for rule in ["buy_fill_protection", "sell_fill_cooldown"] {
            if rule == "sell_fill_cooldown" && sell_during_lock { continue; }
            assert!(result.risk_decisions.iter().any(|audit| audit.date == d(day)
                && audit.symbol == "000001.SZ" && audit.rule_code == rule && !audit.accepted), "day={day} rule={rule}");
        }
    }
    for day in [16, 17] {
        assert!(result.risk_decisions.iter().any(|audit| audit.date == d(day)
            && audit.symbol == "000001.SZ" && audit.rule_code == "automatic_trade_locked" && !audit.accepted));
    }
    assert!(
        result
            .daily_holdings
            .iter()
            .any(|row| row.date == d(15) && row.quantity == if sell_during_lock { 400 } else { 200 })
    );
    assert!(result.holdings_summary.is_empty());
    assert!(
        result
            .equity_curve
            .iter()
            .all(|point| point.external_cash_flow == 0.)
    );
    }
}

fn run(policy: AutomaticTradeProtection) -> fidc_core::BacktestResult {
    let mut config = PlatformExprStrategyConfig::generic();
    config.volume_capacity_mode = fidc_core::execution_capacity::VolumeCapacityMode::SessionCapacityAudit;
    config.signal_symbol = "000001.SZ".into();
    config.benchmark_symbol = "000300.SH".into();
    config.rotation_enabled = false;
    config.automatic_trade_protection = policy;
    config.explicit_actions = vec![
        action(
            "100",
            "decision_date == \"2026-09-11\" || decision_date == \"2026-09-18\"",
        ),
        action("-100", "decision_date >= \"2026-09-14\""),
    ];
    config.matching_type = MatchingType::CurrentBarClose;
    let broker = BrokerSimulator::new(ChinaAShareCostModel::default(), ChinaEquityRuleHooks).with_volume_capacity_mode(fidc_core::execution_capacity::VolumeCapacityMode::SessionCapacityAudit)
        .with_matching_type(MatchingType::CurrentBarClose);
    BacktestEngine::new(
        data(),
        PlatformExprStrategy::new(config),
        broker,
        BacktestConfig {
            initial_cash: 10_000.0,
            benchmark_code: "000300.SH".into(),
            start_date: Some(d(11)),
            end_date: Some(d(18)),
            decision_lag_trading_days: 0,
            execution_price_field: PriceField::Close,
        },
    )
    .run()
    .unwrap()
}

#[test]
fn framework_protection_uses_fills_and_covers_explicit_strategy_orders() {
    let result = run(AutomaticTradeProtection {
        buy_protection_days: 3,
        sell_cooldown_days: 3,
        ..Default::default()
    });
    assert_eq!(
        result
            .fills
            .iter()
            .map(|fill| (fill.date, fill.side, fill.quantity))
            .collect::<Vec<_>>(),
        vec![(d(11), OrderSide::Buy, 100), (d(17), OrderSide::Sell, 100)]
    );
    assert!(!result.order_events.iter().any(|order| order.date == d(14)
        || order.date == d(15)
        || order.date == d(16)
        || order.date == d(18)));
}

#[test]
fn absolute_lock_blocks_initial_strategy_buy_without_a_rejected_order() {
    let result = run(AutomaticTradeProtection {
        locks: vec![AutomaticTradeLock {
            symbol: "000001.SZ".into(),
            start_date: d(11),
            end_date: None,
        }],
        ..Default::default()
    });
    assert!(result.fills.is_empty());
    assert!(result.order_events.is_empty());
}

#[test]
fn maximum_holding_policy_applies_to_discrete_strategies_and_yields_to_buy_protection() {
    let result = run(AutomaticTradeProtection {
        max_holding_days: 1,
        buy_protection_days: 3,
        sell_cooldown_days: 3,
        ..Default::default()
    });
    assert_eq!(
        result
            .fills
            .iter()
            .map(|fill| (fill.date, fill.side))
            .collect::<Vec<_>>(),
        vec![(d(11), OrderSide::Buy), (d(17), OrderSide::Sell)]
    );
    assert!(
        result
            .order_events
            .iter()
            .any(|order| order.reason == "max_holding_days_exit")
    );
}

#[test]
fn serialized_framework_policy_survives_shared_alias_normalization_and_rejects_conflicts() {
    let policy = serde_json::json!({"buy_protection_days":3,"sell_cooldown_days":3,"max_holding_days":90,"locks":[{"symbol":"000001.SZ","start_date":"2026-09-11","end_date":null}]});
    for key in ["automaticTradeProtection", "automatic_trade_protection"] {
        let value = serde_json::json!({"runtimeExpressions":{"trading":{key:policy}}});
        let cfg = fidc_core::platform_expr_config_from_value("test", "000001.SZ", &value).unwrap();
        assert_eq!(cfg.automatic_trade_protection.buy_protection_days, 3);
        assert_eq!(cfg.max_holding_days, Some(90));
        assert_eq!(cfg.automatic_trade_protection.locks.len(), 1);
    }
    let conflict = serde_json::json!({"runtimeExpressions":{"trading":{"maxHoldingDays":30,"automaticTradeProtection":policy}}});
    assert!(
        fidc_core::platform_expr_config_from_value("test", "000001.SZ", &conflict)
            .unwrap_err()
            .to_string()
            .contains("conflicting maximum")
    );
    let unknown = serde_json::json!({"runtimeExpressions":{"trading":{"automaticTradeProtection":{"origin":"manual"}}}});
    assert!(fidc_core::platform_expr_config_from_value("test", "000001.SZ", &unknown).is_err());
}

#[test]
fn locked_holding_keeps_its_slot_even_when_cash_can_buy_the_next_candidate() {
    let base = data();
    let dates = [11, 14, 15, 16, 17, 18].map(d);
    let symbols = ["000001.SZ", "000002.SZ"];
    let dataset = DataSet::from_components(
        symbols
            .iter()
            .map(|symbol| {
                let mut row = base.instruments()["000001.SZ"].clone();
                row.symbol = (*symbol).into();
                row
            })
            .collect(),
        dates
            .iter()
            .flat_map(|date| {
                symbols.iter().map(|symbol| {
                    let mut row = base.market(*date, "000001.SZ").unwrap().clone();
                    row.symbol = (*symbol).into();
                    row
                })
            })
            .collect(),
        dates
            .iter()
            .flat_map(|date| {
                symbols.iter().map(|symbol| {
                    let mut row = base.factor(*date, "000001.SZ").unwrap().clone();
                    row.symbol = (*symbol).into();
                    row
                })
            })
            .collect(),
        dates
            .iter()
            .flat_map(|date| {
                symbols.iter().map(|symbol| {
                    let mut row = base.candidate(*date, "000001.SZ").unwrap().clone();
                    row.symbol = (*symbol).into();
                    row
                })
            })
            .collect(),
        dates
            .iter()
            .map(|date| BenchmarkSnapshot {
                date: *date,
                benchmark: "000300.SH".into(),
                open: 100.0,
                close: 100.0,
                prev_close: 100.0,
                volume: 100_000,
            })
            .collect(),
    )
    .unwrap();
    let mut config = PlatformExprStrategyConfig::generic();
    config.volume_capacity_mode = fidc_core::execution_capacity::VolumeCapacityMode::SessionCapacityAudit;
    config.signal_symbol = "000001.SZ".into();
    config.benchmark_symbol = "000300.SH".into();
    config.strategy_name = "protection_test".into();
    config.max_positions = 1;
    config.selection_limit_expr = "1".into();
    config.refresh_rate = 1;
    config.exposure_expr = "0.5".into();
    config.market_cap_lower_expr = "0".into();
    config.market_cap_upper_expr = "100".into();
    config.stock_filter_expr="(decision_date == \"2026-09-11\" && symbol == \"000001.SZ\") || (decision_date != \"2026-09-11\" && symbol == \"000002.SZ\")".into();
    config.automatic_trade_protection = AutomaticTradeProtection {
        locks: vec![AutomaticTradeLock {
            symbol: "000001.SZ".into(),
            start_date: d(14),
            end_date: Some(d(16)),
        }],
        ..Default::default()
    };
    let broker = BrokerSimulator::new(ChinaAShareCostModel::default(), ChinaEquityRuleHooks).with_volume_capacity_mode(fidc_core::execution_capacity::VolumeCapacityMode::SessionCapacityAudit)
        .with_matching_type(MatchingType::CurrentBarClose);
    let result = BacktestEngine::new(
        dataset,
        PlatformExprStrategy::new(config),
        broker,
        BacktestConfig {
            initial_cash: 10_000.0,
            benchmark_code: "000300.SH".into(),
            start_date: Some(d(11)),
            end_date: Some(d(18)),
            decision_lag_trading_days: 0,
            execution_price_field: PriceField::Close,
        },
    )
    .run()
    .unwrap();
    assert_eq!(
        result
            .fills
            .first()
            .map(|fill| (fill.symbol.as_str(), fill.date)),
        Some(("000001.SZ", d(11)))
    );
    assert!(
        !result
            .fills
            .iter()
            .any(|fill| [d(14), d(15), d(16)].contains(&fill.date)),
        "{:?}",
        result.fills
    );
    assert!(
        result.fills.iter().any(|fill| fill.symbol == "000002.SZ"
            && fill.side == OrderSide::Buy
            && fill.date == d(17)),
        "{:?}",
        result.fills
    );
}