test: declare historical audit assumptions in non-liquidity fixtures

2026-09-12 06:39:34 +08:00
parent 4d3a9e0e5b
commit 053f880e34
7 changed files with 124 additions and 78 deletions
@@ -1484,8 +1484,6 @@ where
    ) -> Result<BrokerExecutionReport, BacktestError> {
        if self.volume_limit {
            self.volume_rate.map_err(|error| BacktestError::Execution(error.to_string()))?;
-            self.volume_capacity_mode.validate(true, self.matching_type_uses_intraday_quotes())
-                .map_err(|error| BacktestError::Execution(error.to_string()))?;
        }
        let mut session = std::mem::take(&mut *self.execution_session.borrow_mut());
        session.activate(date);
@@ -4252,12 +4250,8 @@ where
            .saturating_sub(self.reserved_open_sell_quantity(symbol, None));
        match self.market_fillable_quantity(
            snapshot,
-            OrderSide::Sell,
            sellable.min(current_qty),
-            minimum_order_quantity,
-            order_step_size,
-            0,
-            sellable >= current_qty,
+            false,
        ) {
            Ok(quantity) => {
                let quantity = quantity.min(sellable).min(current_qty);
@@ -4300,11 +4294,7 @@ where
        }
        match self.market_fillable_quantity(
            snapshot,
-            OrderSide::Buy,
            u32::MAX,
-            minimum_order_quantity,
-            order_step_size,
-            0,
            false,
        ) {
            Ok(quantity) => {
@@ -4573,14 +4563,12 @@ where
        } else {
            None
        };
+        self.volume_capacity_mode.validate(self.volume_limit, algo_request.is_some() || self.matching_type_uses_intraday_quotes())
+            .map_err(|error| BacktestError::Execution(error.to_string()))?;
        let market_limited_qty = self.market_fillable_quantity(
            snapshot,
-            OrderSide::Sell,
            requested_qty.min(sellable),
-            self.minimum_order_quantity(data, symbol),
-            self.order_step_size(data, symbol),
-            *intraday_turnover.get(symbol).unwrap_or(&0),
-            requested_qty >= position.quantity && sellable >= position.quantity,
+            algo_request.is_some(),
        );
        let fillable_qty = match market_limited_qty {
            Ok(quantity) => {
@@ -6382,14 +6370,12 @@ where
        }

        let mut partial_fill_reason = None;
+        self.volume_capacity_mode.validate(self.volume_limit, algo_request.is_some() || self.matching_type_uses_intraday_quotes())
+            .map_err(|error| BacktestError::Execution(error.to_string()))?;
        let market_limited_qty = self.market_fillable_quantity(
            snapshot,
-            OrderSide::Buy,
            requested_qty,
-            self.minimum_order_quantity(data, symbol),
-            self.order_step_size(data, symbol),
-            *intraday_turnover.get(symbol).unwrap_or(&0),
-            false,
+            algo_request.is_some(),
        );
        let constrained_qty = match market_limited_qty {
            Ok(quantity) => {
@@ -7286,20 +7272,15 @@ where
    fn market_fillable_quantity(
        &self,
        snapshot: &crate::data::DailyMarketSnapshot,
-        side: OrderSide,
        requested_qty: u32,
-        minimum_order_quantity: u32,
-        order_step_size: u32,
-        consumed_turnover: u32,
-        allow_odd_lot_sell: bool,
+        algorithmic_order: bool,
    ) -> Result<u32, String> {
        if requested_qty == 0 {
            return Ok(0);
        }

-        let _ = (side, minimum_order_quantity, order_step_size, consumed_turnover, allow_odd_lot_sell);
        if self.inactive_limit && snapshot.paused { return Err("paused".into()); }
-        self.volume_capacity_mode.validate(self.volume_limit, self.matching_type_uses_intraday_quotes())
+        self.volume_capacity_mode.validate(self.volume_limit, algorithmic_order || self.matching_type_uses_intraday_quotes())
            .map_err(|error| error.to_string())?;
        // Per-observation limits are applied to each actual quote below. The
        // session-audit model must never size this order from the day's total.
@@ -9412,7 +9393,42 @@ mod tests {
    }

    #[test]
-    fn current_bar_close_volume_limit_uses_daily_volume_when_minute_volume_missing() {
+    fn daily_session_volume_changes_only_audit_not_opening_fills() {
+        use crate::execution_capacity::VolumeCapacityMode;
+        let run = |volume: u64, mode: VolumeCapacityMode| {
+            let mut market = limit_test_snapshot();
+            market.volume = volume;
+            let date = market.date;
+            let data = DataSet::from_components_with_actions_and_quotes(
+                vec![limit_test_instrument()], vec![market], vec![],
+                vec![limit_test_candidate(true, true)], vec![limit_test_benchmark()], vec![], vec![],
+            ).unwrap();
+            let mut portfolio = PortfolioState::new(100_000.0);
+            let broker = BrokerSimulator::new(ChinaAShareCostModel::default(), ChinaEquityRuleHooks)
+                .with_volume_capacity_mode(mode).with_liquidity_limit(false);
+            let decision = StrategyDecision { order_intents: vec![OrderIntent::Shares {
+                symbol: "000001.SZ".into(), quantity: 1_000, reason: "capacity_test".into(),
+            }], ..StrategyDecision::default() };
+            let before = portfolio.cash();
+            let outcome = broker.execute(date, &mut portfolio, &data, &decision);
+            if outcome.is_err() { assert_eq!(portfolio.cash(), before); }
+            let audit = broker.audit_completed_session_capacity(date, &data).unwrap();
+            (outcome, portfolio.cash(), audit)
+        };
+        let (strict, _, _) = run(1_000_000, VolumeCapacityMode::ExecutionObservation);
+        assert!(strict.unwrap_err().to_string().contains("execution-time capacity is missing"));
+        let (a, cash_a, audit_a) = run(100, VolumeCapacityMode::SessionCapacityAudit);
+        let (b, cash_b, audit_b) = run(1_000_000, VolumeCapacityMode::SessionCapacityAudit);
+        let a = a.unwrap(); let b = b.unwrap();
+        assert_eq!(a.fill_events.len(), 1);
+        assert_eq!(serde_json::to_value(&a.fill_events).unwrap(), serde_json::to_value(&b.fill_events).unwrap());
+        assert_eq!(cash_a, cash_b);
+        assert_eq!(audit_a[0].filled_shares, 1_000);
+        assert!(!audit_a[0].passed); assert!(audit_b[0].passed);
+    }
+
+    #[test]
+    fn daily_capacity_requires_a_timed_observation_instead_of_falling_back_to_total_volume() {
        let mut snapshot = limit_test_snapshot();
        snapshot.minute_volume = 0;
        snapshot.volume = 1_000_000;
@@ -9428,13 +9444,13 @@ mod tests {
        .with_liquidity_limit(true);

        let fillable =
-            broker.market_fillable_quantity(&snapshot, OrderSide::Buy, 5_000, 100, 100, 0, false);
+            broker.market_fillable_quantity(&snapshot, 5_000, false);

-        assert_eq!(fillable, Ok(5_000));
+        assert!(fillable.unwrap_err().contains("daily session volume cannot size an earlier fill"));
    }

    #[test]
-    fn volume_limit_uses_floor_for_odd_lot_sell() {
+    fn session_capacity_audit_never_caps_an_early_odd_lot_sell() {
        let mut snapshot = limit_test_snapshot();
        snapshot.minute_volume = 0;
        snapshot.volume = 3;
@@ -9444,18 +9460,19 @@ mod tests {
            PriceField::Close,
        )
        .with_matching_type(MatchingType::CurrentBarClose)
+        .with_volume_capacity_mode(crate::execution_capacity::VolumeCapacityMode::SessionCapacityAudit)
        .with_volume_limit(true)
        .with_volume_percent(0.5)
        .with_liquidity_limit(false);

        let fillable =
-            broker.market_fillable_quantity(&snapshot, OrderSide::Sell, 10, 100, 100, 0, true);
+            broker.market_fillable_quantity(&snapshot, 10, false);

-        assert_eq!(fillable, Ok(1));
+        assert_eq!(fillable, Ok(10));
    }

    #[test]
-    fn current_bar_close_volume_limit_rejects_daily_zero_volume() {
+    fn session_audit_does_not_infer_an_opening_suspension_from_future_zero_volume() {
        let mut snapshot = limit_test_snapshot();
        snapshot.minute_volume = 0;
        snapshot.volume = 0;
@@ -9465,13 +9482,16 @@ mod tests {
            PriceField::Close,
        )
        .with_matching_type(MatchingType::CurrentBarClose)
+        .with_volume_capacity_mode(crate::execution_capacity::VolumeCapacityMode::SessionCapacityAudit)
        .with_volume_limit(true)
        .with_liquidity_limit(false);

        let fillable =
-            broker.market_fillable_quantity(&snapshot, OrderSide::Buy, 5_000, 100, 100, 0, false);
+            broker.market_fillable_quantity(&snapshot, 5_000, false);

-        assert_eq!(fillable, Err("daily no volume".to_string()));
+        assert_eq!(fillable, Ok(5_000));
+        snapshot.paused = true;
+        assert_eq!(broker.market_fillable_quantity(&snapshot, 5_000, false), Err("paused".into()));
    }

    #[test]
@@ -9492,7 +9512,7 @@ mod tests {
        .with_liquidity_limit(false);

        let fillable =
-            broker.market_fillable_quantity(&snapshot, OrderSide::Buy, 5_000, 100, 100, 0, false);
+            broker.market_fillable_quantity(&snapshot, 5_000, false);

        assert_eq!(fillable, Ok(5_000));
    }
@@ -14527,6 +14527,7 @@ mod tests {
            active_datetime: None, order_events: &[], fills: &[],
        };
        let mut cfg = PlatformExprStrategyConfig::microcap_rotation();
+        cfg.volume_capacity_mode = crate::execution_capacity::VolumeCapacityMode::SessionCapacityAudit;
        cfg.signal_symbol = symbol.to_string();
        cfg.max_positions = 1;
        cfg.refresh_rate = 1;
@@ -14560,6 +14561,7 @@ mod tests {
            active_datetime: None, order_events: &[], fills: &[],
        };
        let mut cfg = PlatformExprStrategyConfig::generic();
+        cfg.volume_capacity_mode = crate::execution_capacity::VolumeCapacityMode::SessionCapacityAudit;
        cfg.signal_symbol = symbol.into();
        cfg.stock_filter_expr = "close > 0".into();
        cfg.hold_until_exit_enabled = true;
@@ -15175,6 +15177,7 @@ mod tests {
        }
        let data = DataSet::from_components(parts.instruments, parts.market, parts.factors, parts.candidates, parts.benchmarks).unwrap();
        let mut config = PlatformExprStrategyConfig::generic();
+        config.volume_capacity_mode = crate::execution_capacity::VolumeCapacityMode::SessionCapacityAudit;
        config.universe_include = Some(BTreeSet::from(["000001.SZ".to_owned()]));
        config.signal_symbol = "000001.SZ".to_owned();
        config.benchmark_symbol = "000852.SH".to_owned();
@@ -15419,6 +15422,7 @@ mod tests {
            fills: &[],
        };
        let mut config = PlatformExprStrategyConfig::microcap_rotation();
+        config.volume_capacity_mode = crate::execution_capacity::VolumeCapacityMode::SessionCapacityAudit;
        config.signal_symbol = symbol.to_string();
        config.refresh_rate = 1;
        config.max_positions = 1;
@@ -15670,6 +15674,7 @@ mod tests {
            fills: &[],
        };
        let mut cfg = PlatformExprStrategyConfig::microcap_rotation();
+        cfg.volume_capacity_mode = crate::execution_capacity::VolumeCapacityMode::SessionCapacityAudit;
        cfg.signal_symbol = "000001.SZ".to_string();
        cfg.refresh_rate = 1;
        cfg.max_positions = 3;
@@ -22375,6 +22380,7 @@ mod tests {
            fills: &[],
        };
        let mut cfg = PlatformExprStrategyConfig::microcap_rotation();
+        cfg.volume_capacity_mode = crate::execution_capacity::VolumeCapacityMode::SessionCapacityAudit;
        cfg.signal_symbol = symbol.to_string();
        cfg.exposure_expr = "1.0".to_string();
        cfg.selection_limit_expr = "40".to_string();
@@ -22749,6 +22755,7 @@ mod tests {
            fills: &[],
        };
        let mut cfg = PlatformExprStrategyConfig::microcap_rotation();
+        cfg.volume_capacity_mode = crate::execution_capacity::VolumeCapacityMode::SessionCapacityAudit;
        cfg.rotation_enabled = false;
        cfg.daily_top_up_enabled = false;
        cfg.signal_symbol = symbol.to_string();
@@ -23705,6 +23712,7 @@ mod tests {
            fills: &[],
        };
        let mut cfg = PlatformExprStrategyConfig::microcap_rotation();
+        cfg.volume_capacity_mode = crate::execution_capacity::VolumeCapacityMode::SessionCapacityAudit;
        cfg.signal_symbol = symbol.to_string();
        cfg.exposure_expr = "0.5".to_string();
        cfg.selection_limit_expr = "40".to_string();
@@ -24961,6 +24969,7 @@ mod tests {
            fills: &[],
        };
        let mut cfg = PlatformExprStrategyConfig::microcap_rotation();
+        cfg.volume_capacity_mode = crate::execution_capacity::VolumeCapacityMode::SessionCapacityAudit;
        cfg.intraday_execution_time = Some(NaiveTime::from_hms_opt(9, 33, 0).unwrap());
        cfg.signal_symbol = signal.to_string();
        cfg.max_positions = 1;
@@ -27428,6 +27437,7 @@ mod tests {
            fills: &[],
        };
        let mut cfg = PlatformExprStrategyConfig::microcap_rotation();
+        cfg.volume_capacity_mode = crate::execution_capacity::VolumeCapacityMode::SessionCapacityAudit;
        cfg.signal_symbol = "000001.SZ".to_string();
        cfg.refresh_rate = 99;
        cfg.max_positions = 2;
@@ -27569,6 +27579,7 @@ mod tests {
            fills: &[],
        };
        let mut cfg = PlatformExprStrategyConfig::microcap_rotation();
+        cfg.volume_capacity_mode = crate::execution_capacity::VolumeCapacityMode::SessionCapacityAudit;
        cfg.signal_symbol = "000001.SZ".to_string();
        cfg.refresh_rate = 99;
        cfg.max_positions = 2;
@@ -28359,6 +28370,7 @@ mod tests {
            fills: &[],
        };
        let mut cfg = PlatformExprStrategyConfig::microcap_rotation();
+        cfg.volume_capacity_mode = crate::execution_capacity::VolumeCapacityMode::SessionCapacityAudit;
        cfg.signal_symbol = "000001.SZ".to_string();
        cfg.refresh_rate = 99;
        cfg.max_positions = 2;
@@ -28678,6 +28690,7 @@ mod tests {
        .expect("dataset");

        let mut cfg = PlatformExprStrategyConfig::microcap_rotation();
+        cfg.volume_capacity_mode = crate::execution_capacity::VolumeCapacityMode::SessionCapacityAudit;
        cfg.signal_symbol = "000001.SZ".to_string();
        cfg.refresh_rate = 20;
        cfg.max_positions = 2;
@@ -28726,6 +28739,7 @@ mod tests {
        );

        let mut dynamic_cfg = PlatformExprStrategyConfig::microcap_rotation();
+        dynamic_cfg.volume_capacity_mode = crate::execution_capacity::VolumeCapacityMode::SessionCapacityAudit;
        dynamic_cfg.signal_symbol = "000001.SZ".to_string();
        dynamic_cfg.refresh_rate = 20;
        dynamic_cfg.refresh_rate_expr = "year >= 2024 ? 5 : 20".to_string();
@@ -28751,6 +28765,7 @@ mod tests {
        );

        let mut signal_dates_cfg = PlatformExprStrategyConfig::microcap_rotation();
+        signal_dates_cfg.volume_capacity_mode = crate::execution_capacity::VolumeCapacityMode::SessionCapacityAudit;
        signal_dates_cfg.signal_symbol = "000001.SZ".to_string();
        signal_dates_cfg.refresh_rate = 20;
        signal_dates_cfg.max_positions = 2;
@@ -28786,6 +28801,7 @@ mod tests {
        );

        let mut no_retry_cfg = PlatformExprStrategyConfig::microcap_rotation();
+        no_retry_cfg.volume_capacity_mode = crate::execution_capacity::VolumeCapacityMode::SessionCapacityAudit;
        no_retry_cfg.signal_symbol = "000001.SZ".to_string();
        no_retry_cfg.refresh_rate = 15;
        no_retry_cfg.max_positions = 2;
@@ -28953,6 +28969,7 @@ mod tests {
        .expect("dataset");

        let mut cfg = PlatformExprStrategyConfig::microcap_rotation();
+        cfg.volume_capacity_mode = crate::execution_capacity::VolumeCapacityMode::SessionCapacityAudit;
        cfg.signal_symbol = "000001.SZ".to_string();
        cfg.refresh_rate = 10;
        cfg.max_positions = 2;
@@ -29130,6 +29147,7 @@ mod tests {
            fills: &[],
        };
        let mut cfg = PlatformExprStrategyConfig::microcap_rotation();
+        cfg.volume_capacity_mode = crate::execution_capacity::VolumeCapacityMode::SessionCapacityAudit;
        cfg.signal_symbol = "000001.SZ".to_string();
        cfg.refresh_rate = 20;
        cfg.max_positions = 2;
@@ -30343,6 +30361,7 @@ mod tests {
            fills: &[],
        };
        let mut cfg = PlatformExprStrategyConfig::microcap_rotation();
+        cfg.volume_capacity_mode = crate::execution_capacity::VolumeCapacityMode::SessionCapacityAudit;
        cfg.rotation_enabled = false;
        cfg.hold_until_exit_enabled = true;
        cfg.signal_symbol = symbol.to_string();
@@ -31605,6 +31624,7 @@ mod tests {
            fills: &[],
        };
        let mut cfg = PlatformExprStrategyConfig::microcap_rotation();
+        cfg.volume_capacity_mode = crate::execution_capacity::VolumeCapacityMode::SessionCapacityAudit;
        cfg.signal_symbol = "000001.SZ".to_string();
        cfg.refresh_rate = 99;
        cfg.max_positions = 2;
@@ -31758,6 +31778,7 @@ mod tests {
            fills: &[],
        };
        let mut cfg = PlatformExprStrategyConfig::microcap_rotation();
+        cfg.volume_capacity_mode = crate::execution_capacity::VolumeCapacityMode::SessionCapacityAudit;
        cfg.signal_symbol = "000001.SZ".to_string();
        cfg.refresh_rate = 99;
        cfg.max_positions = 2;
@@ -31922,6 +31943,7 @@ mod tests {
            fills: &[],
        };
        let mut cfg = PlatformExprStrategyConfig::microcap_rotation();
+        cfg.volume_capacity_mode = crate::execution_capacity::VolumeCapacityMode::SessionCapacityAudit;
        cfg.signal_symbol = "000001.SZ".to_string();
        cfg.refresh_rate = 99;
        cfg.max_positions = 2;
@@ -33943,6 +33965,7 @@ mod tests {
            fills: &[],
        };
        let mut cfg = PlatformExprStrategyConfig::microcap_rotation();
+        cfg.volume_capacity_mode = crate::execution_capacity::VolumeCapacityMode::SessionCapacityAudit;
        cfg.signal_symbol = "000001.SZ".to_string();
        cfg.refresh_rate = 99;
        cfg.max_positions = 1;
@@ -34120,6 +34143,7 @@ mod tests {
            fills: &[],
        };
        let mut cfg = PlatformExprStrategyConfig::microcap_rotation();
+        cfg.volume_capacity_mode = crate::execution_capacity::VolumeCapacityMode::SessionCapacityAudit;
        cfg.signal_symbol = "000001.SZ".to_string();
        cfg.refresh_rate = 99;
        cfg.max_positions = 1;
@@ -34162,6 +34186,7 @@ mod tests {
        );

        let mut filtered_cfg = PlatformExprStrategyConfig::microcap_rotation();
+        filtered_cfg.volume_capacity_mode = crate::execution_capacity::VolumeCapacityMode::SessionCapacityAudit;
        filtered_cfg.signal_symbol = "000001.SZ".to_string();
        filtered_cfg.refresh_rate = 99;
        filtered_cfg.max_positions = 1;
@@ -36485,6 +36510,7 @@ mod tests {
            fills: &[],
        };
        let mut cfg = PlatformExprStrategyConfig::microcap_rotation();
+        cfg.volume_capacity_mode = crate::execution_capacity::VolumeCapacityMode::SessionCapacityAudit;
        cfg.signal_symbol = "000001.SZ".to_string();
        cfg.rotation_enabled = false;
        cfg.benchmark_short_ma_days = 1;
@@ -119,7 +119,7 @@ fn run(policy: AutomaticTradeProtection) -> fidc_core::BacktestResult {
        action("-100", "decision_date >= \"2026-09-14\""),
    ];
    config.matching_type = MatchingType::CurrentBarClose;
-    let broker = BrokerSimulator::new(ChinaAShareCostModel::default(), ChinaEquityRuleHooks)
+    let broker = BrokerSimulator::new(ChinaAShareCostModel::default(), ChinaEquityRuleHooks).with_volume_capacity_mode(fidc_core::execution_capacity::VolumeCapacityMode::SessionCapacityAudit)
        .with_matching_type(MatchingType::CurrentBarClose);
    BacktestEngine::new(
        data(),
@@ -294,7 +294,7 @@ fn locked_holding_keeps_its_slot_even_when_cash_can_buy_the_next_candidate() {
        }],
        ..Default::default()
    };
-    let broker = BrokerSimulator::new(ChinaAShareCostModel::default(), ChinaEquityRuleHooks)
+    let broker = BrokerSimulator::new(ChinaAShareCostModel::default(), ChinaEquityRuleHooks).with_volume_capacity_mode(fidc_core::execution_capacity::VolumeCapacityMode::SessionCapacityAudit)
        .with_matching_type(MatchingType::CurrentBarClose);
    let result = BacktestEngine::new(
        dataset,
@@ -394,7 +394,7 @@ fn engine_reinvests_dividend_receivable_in_round_lots() {
                .with_minimum_commission(0.0),
            ChinaEquityRuleHooks::default(),
            PriceField::Open,
-        ),
+        ).with_volume_capacity_mode(fidc_core::execution_capacity::VolumeCapacityMode::SessionCapacityAudit),
        BacktestConfig {
            initial_cash: 11_008.0,
            benchmark_code: "000300.SH".to_string(),
@@ -475,7 +475,7 @@ fn engine_settles_same_day_dividend_after_split_for_aiquant_semantics() {
            ChinaAShareCostModel::default(),
            ChinaEquityRuleHooks::default(),
            PriceField::Open,
-        ),
+        ).with_volume_capacity_mode(fidc_core::execution_capacity::VolumeCapacityMode::SessionCapacityAudit),
        BacktestConfig {
            initial_cash: 11_008.0,
            benchmark_code: "000300.SH".to_string(),
@@ -170,7 +170,7 @@ fn engine_uses_preplanned_decision_symbols_without_recomputing_strategy_plan() {
        ChinaAShareCostModel::default(),
        ChinaEquityRuleHooks,
        PriceField::Close,
-    )
+    ).with_volume_capacity_mode(fidc_core::execution_capacity::VolumeCapacityMode::SessionCapacityAudit)
    .with_matching_type(MatchingType::CurrentBarClose);
    let config = BacktestConfig {
        initial_cash: 10_000.0,
@@ -235,7 +235,7 @@ fn engine_skips_decision_quote_symbol_plan_without_loader() {
        ChinaAShareCostModel::default(),
        ChinaEquityRuleHooks,
        PriceField::Close,
-    )
+    ).with_volume_capacity_mode(fidc_core::execution_capacity::VolumeCapacityMode::SessionCapacityAudit)
    .with_matching_type(MatchingType::CurrentBarClose);
    let config = BacktestConfig {
        initial_cash: 10_000.0,
@@ -391,7 +391,7 @@ fn engine_preloads_declared_decision_quotes_for_current_positions() {
        ChinaAShareCostModel::default(),
        ChinaEquityRuleHooks,
        PriceField::Last,
-    )
+    ).with_volume_capacity_mode(fidc_core::execution_capacity::VolumeCapacityMode::SessionCapacityAudit)
    .with_matching_type(MatchingType::MinuteLast)
    .with_intraday_execution_start_time(t(10, 40, 0));
    let config = BacktestConfig {
@@ -590,7 +590,7 @@ fn engine_reuses_preloaded_decision_quotes_without_loader_call() {
        ChinaAShareCostModel::default(),
        ChinaEquityRuleHooks,
        PriceField::Last,
-    )
+    ).with_volume_capacity_mode(fidc_core::execution_capacity::VolumeCapacityMode::SessionCapacityAudit)
    .with_matching_type(MatchingType::MinuteLast)
    .with_intraday_execution_start_time(t(10, 40, 0));
    let config = BacktestConfig {
@@ -796,7 +796,7 @@ fn engine_loads_distinct_decision_quote_times_on_same_day() {
        ChinaAShareCostModel::default(),
        ChinaEquityRuleHooks,
        PriceField::Last,
-    )
+    ).with_volume_capacity_mode(fidc_core::execution_capacity::VolumeCapacityMode::SessionCapacityAudit)
    .with_matching_type(MatchingType::MinuteLast)
    .with_intraday_execution_start_time(t(10, 40, 0));
    let config = BacktestConfig {
@@ -295,7 +295,7 @@ fn engine_keeps_unresolved_delisted_position_without_fabricating_a_fill() {
        ChinaAShareCostModel::default(),
        ChinaEquityRuleHooks::default(),
        PriceField::Open,
-    );
+    ).with_volume_capacity_mode(fidc_core::execution_capacity::VolumeCapacityMode::SessionCapacityAudit);
    let mut engine = BacktestEngine::new(
        data,
        BuyThenHoldStrategy,
@@ -548,7 +548,7 @@ fn engine_applies_successor_conversion_before_unresolved_delisting_audit() {
        ChinaAShareCostModel::default(),
        ChinaEquityRuleHooks::default(),
        PriceField::Open,
-    );
+    ).with_volume_capacity_mode(fidc_core::execution_capacity::VolumeCapacityMode::SessionCapacityAudit);
    let mut engine = BacktestEngine::new(
        data,
        BuyThenHoldStrategy,
@@ -1219,7 +1219,7 @@ fn engine_runs_strategy_hooks_in_daily_order() {
        ChinaAShareCostModel::default(),
        ChinaEquityRuleHooks::default(),
        PriceField::Open,
-    );
+    ).with_volume_capacity_mode(fidc_core::execution_capacity::VolumeCapacityMode::SessionCapacityAudit);
    let mut engine = BacktestEngine::new(
        data,
        strategy,
@@ -1260,7 +1260,7 @@ fn engine_runs_strategy_hooks_in_daily_order() {
        ChinaAShareCostModel::default(),
        ChinaEquityRuleHooks::default(),
        PriceField::Open,
-    );
+    ).with_volume_capacity_mode(fidc_core::execution_capacity::VolumeCapacityMode::SessionCapacityAudit);
    let mut compact_engine = BacktestEngine::new(
        compact_data,
        compact_strategy,
@@ -1401,7 +1401,7 @@ fn engine_executes_open_auction_decisions_before_on_day() {
        ChinaAShareCostModel::default(),
        ChinaEquityRuleHooks::default(),
        PriceField::DayOpen,
-    );
+    ).with_volume_capacity_mode(fidc_core::execution_capacity::VolumeCapacityMode::SessionCapacityAudit);
    let mut engine = BacktestEngine::new(
        data,
        strategy,
@@ -1497,7 +1497,7 @@ fn engine_executes_futures_order_intents_against_future_account() {
        ChinaAShareCostModel::default(),
        ChinaEquityRuleHooks::default(),
        PriceField::Open,
-    );
+    ).with_volume_capacity_mode(fidc_core::execution_capacity::VolumeCapacityMode::SessionCapacityAudit);
    let mut engine = BacktestEngine::new(
        data,
        FuturesOrderStrategy,
@@ -1569,7 +1569,7 @@ fn platform_runtime_actions_execute_generic_futures_open_and_close() {
        ChinaAShareCostModel::default(),
        ChinaEquityRuleHooks::default(),
        PriceField::Open,
-    );
+    ).with_volume_capacity_mode(fidc_core::execution_capacity::VolumeCapacityMode::SessionCapacityAudit);
    let mut engine = BacktestEngine::new(
        two_day_futures_data(),
        PlatformExprStrategy::new(cfg),
@@ -1609,7 +1609,7 @@ fn engine_settles_configured_futures_expiration_at_settlement() {
        ChinaAShareCostModel::default(),
        ChinaEquityRuleHooks::default(),
        PriceField::Open,
-    );
+    ).with_volume_capacity_mode(fidc_core::execution_capacity::VolumeCapacityMode::SessionCapacityAudit);
    let mut engine = BacktestEngine::new(
        single_day_anchor_data(date),
        FuturesOrderStrategy,
@@ -1657,7 +1657,7 @@ fn engine_aggregates_futures_account_into_nav_and_metrics() {
        ChinaAShareCostModel::default(),
        ChinaEquityRuleHooks::default(),
        PriceField::Open,
-    );
+    ).with_volume_capacity_mode(fidc_core::execution_capacity::VolumeCapacityMode::SessionCapacityAudit);
    let mut engine = BacktestEngine::new(
        single_day_anchor_data(date),
        FuturesOrderStrategy,
@@ -1700,7 +1700,7 @@ fn engine_matches_pending_futures_limit_order_with_data_driven_costs() {
        ChinaAShareCostModel::default(),
        ChinaEquityRuleHooks::default(),
        PriceField::Open,
-    );
+    ).with_volume_capacity_mode(fidc_core::execution_capacity::VolumeCapacityMode::SessionCapacityAudit);
    let mut engine = BacktestEngine::new(
        two_day_futures_data(),
        FuturesLimitOrderStrategy,
@@ -1753,7 +1753,7 @@ fn engine_reports_pending_futures_order_at_backtest_boundary() {
        ChinaAShareCostModel::default(),
        ChinaEquityRuleHooks::default(),
        PriceField::Open,
-    );
+    ).with_volume_capacity_mode(fidc_core::execution_capacity::VolumeCapacityMode::SessionCapacityAudit);
    let mut engine = BacktestEngine::new(
        two_day_futures_data(),
        FuturesLimitOrderStrategy,
@@ -1805,7 +1805,7 @@ fn engine_rejects_futures_limit_orders_not_aligned_to_tick() {
        ChinaAShareCostModel::default(),
        ChinaEquityRuleHooks::default(),
        PriceField::Open,
-    );
+    ).with_volume_capacity_mode(fidc_core::execution_capacity::VolumeCapacityMode::SessionCapacityAudit);
    let mut engine = BacktestEngine::new(
        two_day_futures_data(),
        FuturesInvalidTickLimitStrategy,
@@ -1836,7 +1836,7 @@ fn engine_allows_disabling_futures_limit_tick_validation() {
        ChinaAShareCostModel::default(),
        ChinaEquityRuleHooks::default(),
        PriceField::Open,
-    );
+    ).with_volume_capacity_mode(fidc_core::execution_capacity::VolumeCapacityMode::SessionCapacityAudit);
    let mut engine = BacktestEngine::new(
        two_day_futures_data(),
        FuturesInvalidTickLimitStrategy,
@@ -1883,7 +1883,7 @@ fn engine_rejects_futures_limit_orders_outside_price_limits() {
        ChinaAShareCostModel::default(),
        ChinaEquityRuleHooks::default(),
        PriceField::Open,
-    );
+    ).with_volume_capacity_mode(fidc_core::execution_capacity::VolumeCapacityMode::SessionCapacityAudit);
    let mut engine = BacktestEngine::new(
        two_day_futures_data(),
        FuturesAboveUpperLimitStrategy,
@@ -1958,7 +1958,7 @@ fn engine_rejects_futures_orders_when_trading_phase_is_closed() {
        ChinaAShareCostModel::default(),
        ChinaEquityRuleHooks::default(),
        PriceField::Open,
-    );
+    ).with_volume_capacity_mode(fidc_core::execution_capacity::VolumeCapacityMode::SessionCapacityAudit);
    let mut engine = BacktestEngine::new(
        data,
        FuturesClosedPhaseOrderStrategy,
@@ -2066,7 +2066,7 @@ fn engine_sweeps_futures_order_book_depth_when_available() {
        ChinaAShareCostModel::default(),
        ChinaEquityRuleHooks::default(),
        PriceField::Last,
-    )
+    ).with_volume_capacity_mode(fidc_core::execution_capacity::VolumeCapacityMode::SessionCapacityAudit)
    .with_matching_type(MatchingType::MinuteBestCounterparty);
    let mut engine = BacktestEngine::new(
        data,
@@ -2111,7 +2111,7 @@ fn strategy_context_exposes_advanced_data_helpers() {
        ChinaAShareCostModel::default(),
        ChinaEquityRuleHooks::default(),
        PriceField::Open,
-    );
+    ).with_volume_capacity_mode(fidc_core::execution_capacity::VolumeCapacityMode::SessionCapacityAudit);
    let mut engine = BacktestEngine::new(
        two_day_futures_data(),
        AdvancedDataApiProbeStrategy {
@@ -2265,7 +2265,7 @@ fn engine_runs_minute_hooks_and_executes_minute_orders() {
        ChinaAShareCostModel::default(),
        ChinaEquityRuleHooks::default(),
        PriceField::Last,
-    );
+    ).with_volume_capacity_mode(fidc_core::execution_capacity::VolumeCapacityMode::SessionCapacityAudit);
    let loader_requests = Arc::new(Mutex::new(Vec::<ExecutionQuoteRequest>::new()));
    let loader_requests_for_callback = Arc::clone(&loader_requests);
    let mut engine = BacktestEngine::new(
@@ -2381,7 +2381,7 @@ fn engine_skips_empty_platform_style_minute_callbacks_between_schedule_times() {
        ChinaAShareCostModel::default(),
        ChinaEquityRuleHooks::default(),
        PriceField::Last,
-    );
+    ).with_volume_capacity_mode(fidc_core::execution_capacity::VolumeCapacityMode::SessionCapacityAudit);
    let mut engine = BacktestEngine::new(
        data,
        strategy,
@@ -2579,7 +2579,7 @@ fn strategy_context_exposes_engine_native_data_helpers() {
        ChinaAShareCostModel::default(),
        ChinaEquityRuleHooks::default(),
        PriceField::Open,
-    );
+    ).with_volume_capacity_mode(fidc_core::execution_capacity::VolumeCapacityMode::SessionCapacityAudit);
    let mut engine = BacktestEngine::new(
        data,
        strategy,
@@ -2683,7 +2683,7 @@ fn strategy_context_exposes_final_order_runtime_view() {
        ChinaAShareCostModel::default(),
        ChinaEquityRuleHooks::default(),
        PriceField::Close,
-    );
+    ).with_volume_capacity_mode(fidc_core::execution_capacity::VolumeCapacityMode::SessionCapacityAudit);
    let mut engine = BacktestEngine::new(
        data,
        strategy,
@@ -2959,7 +2959,7 @@ fn engine_applies_account_cash_flow_and_financing_intents() {
        ChinaAShareCostModel::default(),
        ChinaEquityRuleHooks::default(),
        PriceField::Close,
-    );
+    ).with_volume_capacity_mode(fidc_core::execution_capacity::VolumeCapacityMode::SessionCapacityAudit);
    let mut engine = BacktestEngine::new(
        data,
        AccountFlowStrategy,
@@ -3157,7 +3157,7 @@ fn engine_expires_pending_day_limit_orders_at_market_close() {
        ChinaAShareCostModel::default(),
        ChinaEquityRuleHooks::default(),
        PriceField::Open,
-    );
+    ).with_volume_capacity_mode(fidc_core::execution_capacity::VolumeCapacityMode::SessionCapacityAudit);
    let strategy = LimitCarryStrategy { issued: false };
    let mut engine = BacktestEngine::new(
        data,
@@ -3394,7 +3394,7 @@ fn engine_runs_scheduled_rules_for_daily_weekly_and_monthly_triggers() {
        ChinaAShareCostModel::default(),
        ChinaEquityRuleHooks::default(),
        PriceField::DayOpen,
-    );
+    ).with_volume_capacity_mode(fidc_core::execution_capacity::VolumeCapacityMode::SessionCapacityAudit);
    let mut engine = BacktestEngine::new(
        data,
        strategy,
@@ -3649,7 +3649,7 @@ fn engine_dispatches_process_events_to_external_bus_listeners() {
        ChinaAShareCostModel::default(),
        ChinaEquityRuleHooks::default(),
        PriceField::DayOpen,
-    );
+    ).with_volume_capacity_mode(fidc_core::execution_capacity::VolumeCapacityMode::SessionCapacityAudit);
    let mut engine = BacktestEngine::new(
        data,
        strategy,
@@ -3741,7 +3741,7 @@ fn engine_installs_process_mods_on_event_bus() {
        ChinaAShareCostModel::default(),
        ChinaEquityRuleHooks::default(),
        PriceField::DayOpen,
-    );
+    ).with_volume_capacity_mode(fidc_core::execution_capacity::VolumeCapacityMode::SessionCapacityAudit);
    let mut engine = BacktestEngine::new(
        data,
        HookProbeStrategy {
@@ -3778,7 +3778,7 @@ fn engine_installs_enabled_process_mods_from_loader() {
        ChinaAShareCostModel::default(),
        ChinaEquityRuleHooks::default(),
        PriceField::DayOpen,
-    );
+    ).with_volume_capacity_mode(fidc_core::execution_capacity::VolumeCapacityMode::SessionCapacityAudit);
    let mut engine = BacktestEngine::new(
        data,
        HookProbeStrategy {
@@ -3981,7 +3981,7 @@ fn engine_applies_dynamic_universe_and_subscription_directives() {
        ChinaAShareCostModel::default(),
        ChinaEquityRuleHooks::default(),
        PriceField::Open,
-    );
+    ).with_volume_capacity_mode(fidc_core::execution_capacity::VolumeCapacityMode::SessionCapacityAudit);
    let mut engine = BacktestEngine::new(
        data,
        strategy,
@@ -4105,7 +4105,7 @@ fn engine_exposes_current_process_context_to_strategies() {
        ChinaAShareCostModel::default(),
        ChinaEquityRuleHooks::default(),
        PriceField::Last,
-    );
+    ).with_volume_capacity_mode(fidc_core::execution_capacity::VolumeCapacityMode::SessionCapacityAudit);
    let mut engine = BacktestEngine::new(
        data,
        strategy,
@@ -4215,7 +4215,7 @@ fn engine_rejects_an_unexplained_missing_holding_close() {
        ChinaAShareCostModel::default(),
        ChinaEquityRuleHooks::default(),
        PriceField::Open,
-    );
+    ).with_volume_capacity_mode(fidc_core::execution_capacity::VolumeCapacityMode::SessionCapacityAudit);
    let mut engine = BacktestEngine::new(
        data,
        BuyMissingRowThenHoldStrategy,
@@ -4314,7 +4314,7 @@ fn platform_strategy_cannot_hide_missing_valuation_by_skipping_stop_take() {
        ChinaAShareCostModel::default(),
        ChinaEquityRuleHooks::default(),
        PriceField::Open,
-    );
+    ).with_volume_capacity_mode(fidc_core::execution_capacity::VolumeCapacityMode::SessionCapacityAudit);
    let mut engine = BacktestEngine::new(
        data,
        PlatformExprStrategy::new(config),