Align order lifecycle with rqalpha close semantics

crates/fidc-core/tests/engine_hooks.rs

@@ -6,7 +6,7 @@ use chrono::NaiveDate;
 use fidc_core::{
     BacktestConfig, BacktestEngine, BenchmarkSnapshot, BrokerSimulator, CandidateEligibility,
     ChinaAShareCostModel, ChinaEquityRuleHooks, DailyFactorSnapshot, DailyMarketSnapshot, DataSet,
-    Instrument, PriceField, ProcessEventKind, ScheduleRule, ScheduleStage, Strategy,
+    Instrument, OrderIntent, PriceField, ProcessEventKind, ScheduleRule, ScheduleStage, Strategy,
     StrategyContext, StrategyDecision,
 };
 
@@ -120,6 +120,10 @@ struct ScheduledProbeStrategy {
     log: Rc<RefCell<Vec<String>>>,
 }
 
+struct LimitCarryStrategy {
+    issued: bool,
+}
+
 impl Strategy for ScheduledProbeStrategy {
     fn name(&self) -> &str {
         "scheduled-probe"
@@ -152,6 +156,35 @@ impl Strategy for ScheduledProbeStrategy {
     }
 }
 
+impl Strategy for LimitCarryStrategy {
+    fn name(&self) -> &str {
+        "limit-carry"
+    }
+
+    fn on_day(
+        &mut self,
+        _ctx: &StrategyContext<'_>,
+    ) -> Result<StrategyDecision, fidc_core::BacktestError> {
+        if self.issued {
+            return Ok(StrategyDecision::default());
+        }
+        self.issued = true;
+        Ok(StrategyDecision {
+            rebalance: false,
+            target_weights: BTreeMap::new(),
+            exit_symbols: BTreeSet::new(),
+            order_intents: vec![OrderIntent::LimitShares {
+                symbol: "000001.SZ".to_string(),
+                quantity: 200,
+                limit_price: 9.8,
+                reason: "carry_limit".to_string(),
+            }],
+            notes: Vec::new(),
+            diagnostics: Vec::new(),
+        })
+    }
+}
+
 #[test]
 fn engine_runs_strategy_hooks_in_daily_order() {
     let date1 = d(2025, 1, 2);
@@ -443,6 +476,173 @@ fn engine_executes_open_auction_decisions_before_on_day() {
     assert_eq!(result.fills[0].quantity, 100);
 }
 
+#[test]
+fn engine_rejects_pending_limit_orders_at_market_close() {
+    let date1 = d(2025, 1, 2);
+    let date2 = d(2025, 1, 3);
+    let data = DataSet::from_components(
+        vec![Instrument {
+            symbol: "000001.SZ".to_string(),
+            name: "Anchor".to_string(),
+            board: "SZ".to_string(),
+            round_lot: 100,
+            listed_at: Some(d(2020, 1, 1)),
+            delisted_at: None,
+            status: "active".to_string(),
+        }],
+        vec![
+            DailyMarketSnapshot {
+                date: date1,
+                symbol: "000001.SZ".to_string(),
+                timestamp: Some("2025-01-02 10:18:00".to_string()),
+                day_open: 10.0,
+                open: 10.0,
+                high: 10.1,
+                low: 9.9,
+                close: 10.0,
+                last_price: 10.0,
+                bid1: 10.0,
+                ask1: 10.0,
+                prev_close: 10.0,
+                volume: 100_000,
+                tick_volume: 100_000,
+                bid1_volume: 100_000,
+                ask1_volume: 100_000,
+                trading_phase: Some("continuous".to_string()),
+                paused: false,
+                upper_limit: 11.0,
+                lower_limit: 9.0,
+                price_tick: 0.01,
+            },
+            DailyMarketSnapshot {
+                date: date2,
+                symbol: "000001.SZ".to_string(),
+                timestamp: Some("2025-01-03 10:18:00".to_string()),
+                day_open: 9.7,
+                open: 9.7,
+                high: 9.8,
+                low: 9.6,
+                close: 9.7,
+                last_price: 9.7,
+                bid1: 9.7,
+                ask1: 9.7,
+                prev_close: 10.0,
+                volume: 100_000,
+                tick_volume: 100_000,
+                bid1_volume: 100_000,
+                ask1_volume: 100_000,
+                trading_phase: Some("continuous".to_string()),
+                paused: false,
+                upper_limit: 10.67,
+                lower_limit: 9.0,
+                price_tick: 0.01,
+            },
+        ],
+        vec![
+            DailyFactorSnapshot {
+                date: date1,
+                symbol: "000001.SZ".to_string(),
+                market_cap_bn: 20.0,
+                free_float_cap_bn: 18.0,
+                pe_ttm: 10.0,
+                turnover_ratio: Some(1.0),
+                effective_turnover_ratio: Some(1.0),
+                extra_factors: BTreeMap::new(),
+            },
+            DailyFactorSnapshot {
+                date: date2,
+                symbol: "000001.SZ".to_string(),
+                market_cap_bn: 21.0,
+                free_float_cap_bn: 19.0,
+                pe_ttm: 10.0,
+                turnover_ratio: Some(1.0),
+                effective_turnover_ratio: Some(1.0),
+                extra_factors: BTreeMap::new(),
+            },
+        ],
+        vec![
+            CandidateEligibility {
+                date: date1,
+                symbol: "000001.SZ".to_string(),
+                is_st: false,
+                is_new_listing: false,
+                is_paused: false,
+                allow_buy: true,
+                allow_sell: true,
+                is_kcb: false,
+                is_one_yuan: false,
+            },
+            CandidateEligibility {
+                date: date2,
+                symbol: "000001.SZ".to_string(),
+                is_st: false,
+                is_new_listing: false,
+                is_paused: false,
+                allow_buy: true,
+                allow_sell: true,
+                is_kcb: false,
+                is_one_yuan: false,
+            },
+        ],
+        vec![
+            BenchmarkSnapshot {
+                date: date1,
+                benchmark: "000300.SH".to_string(),
+                open: 100.0,
+                close: 100.0,
+                prev_close: 99.0,
+                volume: 1_000_000,
+            },
+            BenchmarkSnapshot {
+                date: date2,
+                benchmark: "000300.SH".to_string(),
+                open: 101.0,
+                close: 101.0,
+                prev_close: 100.0,
+                volume: 1_100_000,
+            },
+        ],
+    )
+    .expect("dataset");
+
+    let broker = BrokerSimulator::new_with_execution_price(
+        ChinaAShareCostModel::default(),
+        ChinaEquityRuleHooks::default(),
+        PriceField::Open,
+    );
+    let strategy = LimitCarryStrategy { issued: false };
+    let mut engine = BacktestEngine::new(
+        data,
+        strategy,
+        broker,
+        BacktestConfig {
+            initial_cash: 100_000.0,
+            benchmark_code: "000300.SH".to_string(),
+            start_date: Some(date1),
+            end_date: Some(date2),
+            decision_lag_trading_days: 0,
+            execution_price_field: PriceField::Open,
+        },
+    );
+
+    let result = engine.run().expect("backtest run");
+    assert!(result.fills.is_empty());
+    assert!(result.holdings_summary.is_empty());
+    assert!(
+        result.order_events.iter().any(|event| {
+            event.date == date1 && event.status == fidc_core::OrderStatus::Pending
+        })
+    );
+    assert!(result.order_events.iter().any(|event| {
+        event.date == date1
+            && event.status == fidc_core::OrderStatus::Rejected
+            && event.reason.contains("Market close")
+    }));
+    assert!(result.process_events.iter().any(|event| {
+        event.date == date1 && event.kind == ProcessEventKind::OrderUnsolicitedUpdate
+    }));
+}
+
 #[test]
 fn engine_runs_scheduled_rules_for_daily_weekly_and_monthly_triggers() {
     let date1 = d(2025, 1, 30);