fix(trader): M+L 接口校验 (listing_days/NaN/输入校验/类型注数) review

M1: PaperOrder+limit+matcher 加 listing_days(创业/科创/北交所前5日不锁,0=已过)
M3: is_locked_for_*_symbol cfg 注解 AccountConfig
M4: matcher NaN bar 拒单 bar_missing
L3: PositionLedger price/volume 正数校验
L5: PaperOrder __post_init__ volume 类型校验(拒 float/bool)
M5: current_close 契约 docstring + H3 残留注释修正(transfer_fee 双向)
79 tests passed.

sanguo_trader/limit.py

@@ -16,6 +16,8 @@ from decimal import ROUND_HALF_UP, Decimal
 
 import pandas as pd
 
+from .models import AccountConfig
+
 
 # ---- 板块分类（按代码前缀）----
 def get_board(symbol: str) -> str:
@@ -100,11 +102,18 @@ def is_locked_for_buy_symbol(
     bar: pd.Series,
     symbol: str,
     prev_close_raw: float,
-    cfg: "object",
+    cfg: AccountConfig,
     is_st: bool = False,
+    listing_days: int = 0,
 ) -> bool:
-    """涨停封板（一字板或 T 字板）→ 买单拒单。"""
+    """涨停封板（一字板或 T 字板）→ 买单拒单。
+
+    新股前 5 日无涨跌幅限制（创业/科创/北交所）：listing_days<5 → 不锁。
+    主板新股首日 ±44% 首版未实现（TODO），按普通 ±10% 处理。
+    """
     board = get_board(symbol)
+    if 1 <= listing_days <= 5 and board in ("gem", "star", "bse"):
+        return False
     up = limit_up_price(prev_close_raw, limit_ratio(board, is_st), cfg.pricetick)
     return is_one_word_lock(bar, up, cfg.pricetick) or is_t_lock(bar, up, cfg.pricetick)
 
@@ -113,10 +122,16 @@ def is_locked_for_sell_symbol(
     bar: pd.Series,
     symbol: str,
     prev_close_raw: float,
-    cfg: "object",
+    cfg: AccountConfig,
     is_st: bool = False,
+    listing_days: int = 0,
 ) -> bool:
-    """跌停封板（一字板或跌停 T 字板）→ 卖单拒单。"""
+    """跌停封板（一字板或跌停 T 字板）→ 卖单拒单。
+
+    新股前 5 日无涨跌幅限制（创业/科创/北交所）：listing_days<5 → 不锁。
+    """
     board = get_board(symbol)
+    if 1 <= listing_days <= 5 and board in ("gem", "star", "bse"):
+        return False
     down = limit_down_price(prev_close_raw, limit_ratio(board, is_st), cfg.pricetick)
     return is_one_word_lock(bar, down, cfg.pricetick) or _is_t_lock_down(bar, down, cfg.pricetick)

sanguo_trader/matcher.py

@@ -50,13 +50,18 @@ def cross_order(
     symbol = order.symbol
     bar_date = str(match_bar.get("date", ""))
 
+    # 0. 停牌/缺 bar（NaN）拒单（review M4）
+    _open = match_bar["open"]
+    if _open != _open:  # NaN 检测（NaN != NaN）
+        return PaperReject(order.strategy_id, symbol, "bar_missing", bar_date)
+
     # 1. 涨跌停封板拒单（raw）
     if order.side == OrderSide.BUY and is_locked_for_buy_symbol(
-        match_bar, symbol, prev_close_raw, cfg, is_st
+        match_bar, symbol, prev_close_raw, cfg, is_st, order.listing_days
     ):
         return PaperReject(order.strategy_id, symbol, "limit_up_locked", bar_date)
     if order.side == OrderSide.SELL and is_locked_for_sell_symbol(
-        match_bar, symbol, prev_close_raw, cfg, is_st
+        match_bar, symbol, prev_close_raw, cfg, is_st, order.listing_days
     ):
         return PaperReject(order.strategy_id, symbol, "limit_down_locked", bar_date)
 

sanguo_trader/models.py

@@ -33,7 +33,7 @@ class AccountConfig:
     rate: float = 0.0003              # 佣金率
     min_commission: float = 5.0       # 最低佣金 5 元
     stamp_duty_rate: float = 0.0005   # 印花税（仅卖，2023.8.28 起 0.05%）
-    transfer_fee_rate: float = 0.00001  # 过户费率（沪深双向 ×2，由 Account 计算）
+    transfer_fee_rate: float = 0.00001  # 过户费率（沪深双向，matcher 出 ×2 总额，review H3）
     slippage: float = 0.0
     pricetick: float = 0.01
     size: float = 1.0
@@ -41,7 +41,11 @@ class AccountConfig:
 
 @dataclass(frozen=True)
 class PaperOrder:
-    """策略下单请求。match_session 决定撮合时点。"""
+    """策略下单请求。match_session 决定撮合时点。
+
+    listing_days：上市天数（新股涨跌停特判，0=已过新股期；spec §6.2）。
+    current_close 契约：策略 on_bar 内不得访问当根 close/high/low，否则前瞻偏差。
+    """
 
     strategy_id: str
     symbol: str
@@ -50,11 +54,16 @@ class PaperOrder:
     volume: int
     is_market: bool = True
     match_session: MatchSession = MatchSession.NEXT_OPEN
+    listing_days: int = 0
+
+    def __post_init__(self) -> None:
+        if not isinstance(self.volume, int) or isinstance(self.volume, bool):
+            raise TypeError(f"volume 必须是 int，收到 {type(self.volume).__name__}")
 
 
 @dataclass(frozen=True)
 class PaperTrade:
-    """已成交记录（含费用拆分）。transfer_fee 为单边，Account 扣款时 ×2。"""
+    """已成交记录（含费用拆分）。transfer_fee 为沪深双向总额（review H3，Account 不再 ×2）。"""
 
     strategy_id: str
     symbol: str

sanguo_trader/position_ledger.py

@@ -19,6 +19,8 @@ class PositionLedger:
 
     def apply_buy(self, price: float, volume: int) -> None:
         """买入：刷新移动加权均价，新买入量计入 frozen（T+1）。"""
+        if volume <= 0 or price <= 0:
+            raise ValueError(f"price/volume 必须为正: price={price}, volume={volume}")
         total_cost = self.avg_price * self.volume + price * volume
         self.volume += volume
         self.avg_price = total_cost / self.volume if self.volume else 0.0
@@ -27,6 +29,8 @@ class PositionLedger:
     def apply_sell(self, price: float, volume: int) -> None:
         """卖出：扣减持仓量。price 保留接口对称（不影响剩余持仓均价）。
         清仓时 avg_price 归零（避免下一次买入残留历史成本）。"""
+        if volume <= 0 or price <= 0:
+            raise ValueError(f"price/volume 必须为正: price={price}, volume={volume}")
         if volume > self.available:
             raise ValueError(
                 f"卖出超过可卖量: want {volume}, available {self.available}"

tests/trader/test_m_l_fixes.py

@@ -0,0 +1,84 @@
+"""C-S0 review M+L 修复测试：listing_days / NaN bar / 输入校验 / volume 类型。"""
+import pandas as pd
+import pytest
+from sanguo_trader.models import AccountConfig, PaperOrder, OrderSide
+from sanguo_trader.limit import is_locked_for_buy_symbol
+from sanguo_trader.matcher import cross_order
+from sanguo_trader.position_ledger import PositionLedger
+
+CFG = AccountConfig(initial_capital=1_000_000)
+
+
+def bar(o, h, l, c):
+    return pd.Series({"open": o, "high": h, "low": l, "close": c})
+
+
+# ---- M1: listing_days 新股前 5 日无涨跌幅（创业/科创/北交所）----
+def test_new_stock_gem_first_5_days_no_limit():
+    # 创业板 300750 第 1 日，一字涨停板也不锁
+    b = bar(12.0, 12.0, 12.0, 12.0)
+    assert is_locked_for_buy_symbol(b, "300750", 10.0, CFG, is_st=False, listing_days=1) is False
+
+
+def test_new_stock_after_5_days_locked():
+    # 创业板第 6 日恢复 ±20%，涨停一字板锁
+    b = bar(12.0, 12.0, 12.0, 12.0)
+    assert is_locked_for_buy_symbol(b, "300750", 10.0, CFG, is_st=False, listing_days=6) is True
+
+
+def test_main_board_new_stock_still_locked_by_10pct():
+    # 主板新股不享受前 5 日豁免（±44% 首版未实现，按普通 ±10% 锁）
+    up = 11.0
+    b = bar(up, up, up, up)
+    assert is_locked_for_buy_symbol(b, "600000", 10.0, CFG, is_st=False, listing_days=1) is True
+
+
+def test_matcher_passes_listing_days_to_unlock():
+    # 端到端：创业板新股 listing_days=1，一字板 matcher 不拒单（成交）
+    b = bar(12.0, 12.0, 12.0, 12.0)
+    o = PaperOrder("s", "300750", OrderSide.BUY, 0, 100, is_market=True, listing_days=1)
+    t = cross_order(o, b, 10.0, CFG)
+    assert not hasattr(t, "reason")   # 成交（非拒单）
+    assert t.price == 12.0
+
+
+# ---- M4: NaN bar 拒单 ----
+def test_nan_bar_rejected_bar_missing():
+    nan = float("nan")
+    b = bar(nan, nan, nan, nan)
+    r = cross_order(PaperOrder("s", "600000", OrderSide.BUY, 0, 100, True), b, 10.0, CFG)
+    assert hasattr(r, "reason") and r.reason == "bar_missing"
+
+
+# ---- L3: PositionLedger 输入校验 ----
+def test_position_ledger_rejects_nonpositive_buy():
+    p = PositionLedger("600000")
+    with pytest.raises(ValueError):
+        p.apply_buy(price=-1, volume=100)
+    with pytest.raises(ValueError):
+        p.apply_buy(price=10, volume=0)
+
+
+def test_position_ledger_rejects_nonpositive_sell():
+    p = PositionLedger("600000")
+    p.apply_buy(10.0, 100)
+    p.unfreeze()
+    with pytest.raises(ValueError):
+        p.apply_sell(price=0, volume=100)
+
+
+# ---- L5: PaperOrder volume 类型校验 ----
+def test_paper_order_rejects_float_volume():
+    with pytest.raises(TypeError):
+        PaperOrder("s", "600000", OrderSide.BUY, 10.0, 100.5, True)
+
+
+def test_paper_order_rejects_bool_volume():
+    with pytest.raises(TypeError):
+        PaperOrder("s", "600000", OrderSide.BUY, 10.0, True, True)
+
+
+def test_paper_order_accepts_int_volume_and_default_listing_days():
+    o = PaperOrder("s", "600000", OrderSide.BUY, 10.0, 100, True)
+    assert o.volume == 100
+    assert o.listing_days == 0