From da2ca51ff77281a83c41b49a6f7d63e18f1c4864 Mon Sep 17 00:00:00 2001
From: ao gong <41768719+ageorge156@users.noreply.github.com>
Date: Fri, 21 Aug 2026 21:37:02 +0800
Subject: [PATCH] fix: enforce cash-backed long-only rebalancing

---
 src/quant_engine/execution.py | 102 +++++++++++++++++++++++++++++-----
 1 file changed, 88 insertions(+), 14 deletions(-)

diff --git a/src/quant_engine/execution.py b/src/quant_engine/execution.py
index b26d4c2..0d137e5 100644
--- a/src/quant_engine/execution.py
+++ b/src/quant_engine/execution.py
@@ -422,6 +422,49 @@ def _blocked_execution(stock_code: str, target_value: float, reason: str) -> Exe
     )
 
 
+def _validate_target_weights(date: str, targets: Mapping[str, float]) -> dict[str, float]:
+    """校验并复制单日长仓目标权重。"""
+    normalized: dict[str, float] = {}
+    for stock_code, raw_weight in targets.items():
+        try:
+            weight = float(raw_weight)
+        except (TypeError, ValueError) as error:
+            raise ValueError(f"target weights on {date!r} must be numeric") from error
+        if not math.isfinite(weight) or weight < 0:
+            raise ValueError(f"target weights on {date!r} must be finite and non-negative")
+        normalized[stock_code] = weight
+    if sum(normalized.values()) > 1.0 + 1e-12:
+        raise ValueError(f"target weights on {date!r} must sum to at most 1.0")
+    return normalized
+
+
+def _partially_fill_buy(
+    desired: ExecutionResult,
+    fill_pct: float,
+    config: ExecutionConfig,
+) -> ExecutionResult:
+    """按同一比例缩放买入，保留原始目标金额供审计。"""
+    actual_target_value = desired.target_value * fill_pct
+    executed_value, commission, stamp_tax, slippage_cost = _apply_costs(
+        actual_target_value,
+        True,
+        config,
+    )
+    total_cost = commission + stamp_tax + slippage_cost
+    return ExecutionResult(
+        stock_code=desired.stock_code,
+        target_value=desired.target_value,
+        executed_value=executed_value,
+        commission=commission,
+        stamp_tax=stamp_tax,
+        slippage_cost=slippage_cost,
+        total_cost=total_cost,
+        net_cash_flow=-(executed_value + commission + stamp_tax),
+        partial_fill_pct=fill_pct,
+        blocked_reason="insufficient_cash_partial_fill",
+    )
+
+
 def simulate_multi_day_with_audit(
     target_weights_history: list[tuple[str, dict[str, float]]],
     price_history: list[tuple[str, dict[str, float]]],
@@ -466,13 +509,20 @@ def simulate_multi_day_with_audit(
                 f"target and price dates must match, got {date!r} and {price_date!r}"
             )
 
+        normalized_targets = _validate_target_weights(date, targets)
+        for held_code in holdings:
+            held_price = prices.get(held_code)
+            if held_price is None or not math.isfinite(held_price) or held_price <= 0:
+                raise ValueError(f"missing price for held asset {held_code} on {date!r}")
+
         nav_before = cash + sum(
             shares * prices.get(stock_code, 0.0)
             for stock_code, shares in holdings.items()
         )
         effective_targets = dict.fromkeys(holdings, 0.0)
-        effective_targets.update(targets)
-        trade_weights: dict[str, float] = {}
+        effective_targets.update(normalized_targets)
+        buy_weights: dict[str, float] = {}
+        sell_weights: dict[str, float] = {}
         rejected: list[ExecutionResult] = []
 
         for stock_code, target_weight in effective_targets.items():
@@ -492,22 +542,46 @@ def simulate_multi_day_with_audit(
             if nav_before == 0:
                 rejected.append(_blocked_execution(stock_code, trade_value, "zero_nav"))
                 continue
-            trade_weights[stock_code] = trade_value / nav_before
+            destination = buy_weights if trade_value > 0 else sell_weights
+            destination[stock_code] = trade_value / nav_before
 
-        filled = simulate_execution(trade_weights, nav_before, config)
-        for execution in filled:
+        sell_executions = simulate_execution(sell_weights, nav_before, config)
+        filled: list[ExecutionResult] = []
+        for execution in sell_executions:
             price = prices[execution.stock_code]
             share_change = abs(execution.target_value) / price
-            if execution.target_value > 0:
-                holdings[execution.stock_code] = (
-                    holdings.get(execution.stock_code, 0.0) + share_change
-                )
-            else:
-                held = holdings.get(execution.stock_code, 0.0)
-                holdings[execution.stock_code] = max(0.0, held - share_change)
-                if holdings[execution.stock_code] < 1e-6:
-                    del holdings[execution.stock_code]
+            held = holdings.get(execution.stock_code, 0.0)
+            holdings[execution.stock_code] = max(0.0, held - share_change)
+            if holdings[execution.stock_code] < 1e-6:
+                del holdings[execution.stock_code]
             cash += execution.net_cash_flow
+            filled.append(execution)
+
+        desired_buys = simulate_execution(buy_weights, nav_before, config)
+        required_cash = sum(-execution.net_cash_flow for execution in desired_buys)
+        buy_fill_pct = min(1.0, max(cash, 0.0) / required_cash) if required_cash > 0 else 1.0
+        for desired in desired_buys:
+            if buy_fill_pct == 0:
+                rejected.append(
+                    _blocked_execution(desired.stock_code, desired.target_value, "insufficient_cash")
+                )
+                continue
+            execution = (
+                desired
+                if buy_fill_pct == 1.0
+                else _partially_fill_buy(desired, buy_fill_pct, config)
+            )
+            price = prices[execution.stock_code]
+            share_change = (
+                execution.target_value * execution.partial_fill_pct / price
+            )
+            holdings[execution.stock_code] = (
+                holdings.get(execution.stock_code, 0.0) + share_change
+            )
+            cash += execution.net_cash_flow
+            if math.isclose(cash, 0.0, abs_tol=1e-9):
+                cash = 0.0
+            filled.append(execution)
 
         executions = (*filled, *rejected)
         nav_after = cash + sum(