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

use chrono::NaiveDate;

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

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

impl ChinaAShareRiskControl {
    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 selection_rejection_reason(
        date: NaiveDate,
        candidate: &CandidateEligibility,
        market: &DailyMarketSnapshot,
        instrument: Option<&Instrument>,
    ) -> Option<&'static str> {
        if let Some(reason) = Self::baseline_rejection_reason(date, candidate, market, instrument) {
            return Some(reason);
        }
        if !candidate.allow_buy || !candidate.allow_sell {
            return Some("trade_disabled");
        }
        None
    }

    pub fn baseline_rejection_reason(
        date: NaiveDate,
        candidate: &CandidateEligibility,
        market: &DailyMarketSnapshot,
        instrument: Option<&Instrument>,
    ) -> Option<&'static str> {
        if let Some(reason) = Self::instrument_rejection_reason(instrument, date) {
            return Some(reason);
        }
        if market.paused || candidate.is_paused {
            return Some("paused");
        }
        if candidate.is_st {
            return Some("st");
        }
        if candidate.is_new_listing {
            return Some("new_listing");
        }
        if candidate.is_kcb {
            return Some("kcb");
        }
        if candidate.is_one_yuan || market.day_open <= 1.0 {
            return Some("one_yuan");
        }
        None
    }

    pub fn buy_rejection_reason(
        date: NaiveDate,
        candidate: &CandidateEligibility,
        market: &DailyMarketSnapshot,
        instrument: Option<&Instrument>,
        check_price: f64,
    ) -> Option<&'static str> {
        if let Some(reason) = Self::baseline_rejection_reason(date, candidate, market, instrument) {
            return Some(reason);
        }
        if !candidate.allow_buy {
            return Some("buy_disabled");
        }
        if 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> {
        if let Some(reason) = Self::instrument_rejection_reason(instrument, date) {
            return Some(reason);
        }
        if 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 tick.
        // A sell order must be blocked by the execution price lower-limit check
        // below, while suspension and delisting are handled above.
        if 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),
        }
    }
}

#[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,
            tick_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"));
    }
}