tests/test_execution.py

@@ -11,6 +11,7 @@ import pytest
 from quant_engine.execution import (
     ExecutionConfig,
     ExecutionResult,
+    ExecutionSimulationResult,
     apply_bid_ask_spread,
     apply_volume_constraint,
     check_price_limit,
@@ -20,6 +21,7 @@ from quant_engine.execution import (
     run_end_to_end_poc,
     simulate_execution,
     simulate_multi_day,
+    simulate_multi_day_with_audit,
     simulate_with_daily_data,
     total_costs,
     total_turnover,
@@ -357,6 +359,73 @@ def test_simulate_multi_day_holdings_evolution():
     assert "A" in positions[2].holdings
 
 
+def test_simulate_multi_day_with_audit_rebalances_target_weights_by_delta():
+    """相同目标权重不应在每个交易日重复买入。"""
+    config = ExecutionConfig(
+        commission_bps=0,
+        stamp_tax_bps=0,
+        slippage_bps=0,
+        min_trade_amount=0,
+    )
+    targets = [(date, {"A": 1.0}) for date in ("d1", "d2", "d3")]
+    prices = [(date, {"A": 10.0}) for date in ("d1", "d2", "d3")]
+
+    result = simulate_multi_day_with_audit(targets, prices, 1_000.0, config)
+
+    assert isinstance(result, ExecutionSimulationResult)
+    assert [len(day.executions) for day in result.daily_executions] == [1, 0, 0]
+    assert result.total_turnover == pytest.approx(1_000.0)
+    assert [position.cash for position in result.positions] == pytest.approx([0.0, 0.0, 0.0])
+    assert [position.holdings["A"] for position in result.positions] == pytest.approx(
+        [100.0, 100.0, 100.0]
+    )
+    assert [position.portfolio_value for position in result.positions] == pytest.approx(
+        [1_000.0, 1_000.0, 1_000.0]
+    )
+
+
+def test_simulate_multi_day_with_audit_records_costs_without_replay():
+    """成交成本与日末 NAV 应来自同一次状态推进。"""
+    targets = [("d1", {"A": 1.0}), ("d2", {"A": 1.0})]
+    prices = [("d1", {"A": 10.0}), ("d2", {"A": 10.0})]
+
+    result = simulate_multi_day_with_audit(targets, prices, 1_000.0)
+
+    first_day = result.daily_executions[0]
+    assert first_day.nav_before == pytest.approx(1_000.0)
+    assert first_day.nav_after == pytest.approx(result.positions[0].portfolio_value)
+    assert result.total_costs == pytest.approx(sum(r.total_cost for r in first_day.executions))
+    assert result.final_portfolio_value == pytest.approx(1_000.0 - result.total_costs)
+    assert result.daily_executions[1].executions == ()
+
+
+def test_simulate_multi_day_with_audit_records_unpriced_target_rejection():
+    """缺失价格的目标不能吞掉现金，且必须留下拒绝原因。"""
+    result = simulate_multi_day_with_audit(
+        [("d1", {"A": 1.0})],
+        [("d1", {"B": 10.0})],
+        1_000.0,
+    )
+
+    rejection = result.daily_executions[0].executions[0]
+    assert rejection.stock_code == "A"
+    assert rejection.executed_value == 0.0
+    assert rejection.partial_fill_pct == 0.0
+    assert rejection.blocked_reason == "missing_price"
+    assert result.positions[0].cash == 1_000.0
+    assert result.positions[0].holdings == {}
+
+
+def test_simulate_multi_day_with_audit_requires_matching_dates():
+    """权重与价格日期错位必须显式失败，不能按位置静默配对。"""
+    with pytest.raises(ValueError, match="dates must match"):
+        simulate_multi_day_with_audit(
+            [("d1", {"A": 1.0})],
+            [("d2", {"A": 10.0})],
+            1_000.0,
+        )
+
+
 # ── v1.2.0 Phase 1：端到端 POC（run_end_to_end_poc） ─────