fix(screening): 最新 K 线成交量缺失时不再把前一日量比当作今日

packages/shared/src/screening/strategies.test.ts

@@ -197,6 +197,17 @@ describe('market-movers rules', () => {
     expect(rule.compute(makeContext({ kline: bars(3), valuation: { symbol: 'AAPL.US' } }))).toBeNull()
   })
 
+  it('high-volume skips the kline ratio when the latest bar volume is unknown', () => {
+    const rule = getScreeningStrategy('high-volume')!
+    const klines = bars(30, 100, 1, 100_000)
+    // Yesterday spiked, but today's (latest bar) volume is missing/NaN —
+    // the ratio must stay unknown instead of labelling yesterday's spike as today.
+    klines[klines.length - 2] = { ...klines[klines.length - 2], volume: 400_000 }
+    klines[klines.length - 1] = { ...klines[klines.length - 1], volume: Number.NaN }
+    const result = rule.compute(makeContext({ kline: klines, valuation: { symbol: 'AAPL.US' } }))
+    expect(result).toBeNull()
+  })
+
   it('unusual-movement flags amplitude far above the 20d average', () => {
     const rule = getScreeningStrategy('unusual-movement')!
     const klines = bars(30, 100, 0, 1_000_000) // flat: amplitude ~2% per bar

packages/shared/src/screening/strategies.ts

@@ -296,10 +296,15 @@ const highVolume: ScreeningStrategyDef = {
       ? [...ctx.data.kline].sort((a, b) => a.timestamp - b.timestamp).map((bar) => toFiniteNumber(bar.volume))
       : []
     const klineRatio = (() => {
-      const finite = barVolumes.filter((value): value is number => value !== undefined)
-      if (finite.length <= BREAKOUT_WINDOW) return undefined
-      const today = finite[finite.length - 1]
-      const baseline = finite.slice(-BREAKOUT_WINDOW - 1, -1)
+      // "Today" must be the actual latest bar by timestamp. Filtering out
+      // unknown volumes first would shift the index and mislabel yesterday's
+      // volume as today's, so the latest bar's volume is required to be known.
+      const today = barVolumes[barVolumes.length - 1]
+      if (today === undefined) return undefined
+      const baseline = barVolumes
+        .slice(-BREAKOUT_WINDOW - 1, -1)
+        .filter((value): value is number => value !== undefined)
+      if (baseline.length < BREAKOUT_WINDOW) return undefined
       const avg = baseline.reduce((acc, value) => acc + value, 0) / baseline.length
       if (avg === 0) return undefined
       return today / avg