Align market order cancellation semantics

crates/fidc-core/src/broker.rs

@@ -942,7 +942,7 @@ where
                     side: OrderSide::Sell,
                     requested_quantity: requested_qty,
                     filled_quantity: 0,
-                    status: OrderStatus::Rejected,
+                    status: zero_fill_status_for_reason(&limit_reason),
                     reason: format!("{reason}: {limit_reason}"),
                 });
                 return Ok(());
@@ -1063,7 +1063,7 @@ where
         *intraday_turnover.entry(symbol.to_string()).or_default() += filled_qty;
 
         let status = if filled_qty < requested_qty {
-            OrderStatus::PartiallyFilled
+            final_partial_fill_status(partial_fill_reason.as_deref())
         } else {
             OrderStatus::Filled
         };
@@ -1075,6 +1075,14 @@ where
                 "order_partial_fill symbol={symbol} side=sell requested={requested_qty} filled={filled_qty} reason={detail}"
             ));
             format!("{reason}: partial fill due to {detail}")
+        } else if status == OrderStatus::Canceled && filled_qty < requested_qty {
+            let detail = partial_fill_reason
+                .as_deref()
+                .unwrap_or("remaining quantity could not be filled");
+            report.diagnostics.push(format!(
+                "order_remainder_canceled symbol={symbol} side=sell requested={requested_qty} filled={filled_qty} reason={detail}"
+            ));
+            format!("{reason}: partial fill due to {detail}; remaining quantity canceled")
         } else {
             reason.to_string()
         };
@@ -1340,7 +1348,7 @@ where
                     side: OrderSide::Buy,
                     requested_quantity: requested_qty,
                     filled_quantity: 0,
-                    status: OrderStatus::Rejected,
+                    status: zero_fill_status_for_reason(&limit_reason),
                     reason: format!("{reason}: {limit_reason}"),
                 });
                 return Ok(());
@@ -1488,7 +1496,7 @@ where
         *intraday_turnover.entry(symbol.to_string()).or_default() += filled_qty;
 
         let status = if filled_qty < requested_qty {
-            OrderStatus::PartiallyFilled
+            final_partial_fill_status(partial_fill_reason.as_deref())
         } else {
             OrderStatus::Filled
         };
@@ -1500,6 +1508,14 @@ where
                 "order_partial_fill symbol={symbol} side=buy requested={requested_qty} filled={filled_qty} reason={detail}"
             ));
             format!("{reason}: partial fill due to {detail}")
+        } else if status == OrderStatus::Canceled && filled_qty < requested_qty {
+            let detail = partial_fill_reason
+                .as_deref()
+                .unwrap_or("remaining quantity could not be filled");
+            report.diagnostics.push(format!(
+                "order_remainder_canceled symbol={symbol} side=buy requested={requested_qty} filled={filled_qty} reason={detail}"
+            ));
+            format!("{reason}: partial fill due to {detail}; remaining quantity canceled")
         } else {
             reason.to_string()
         };
@@ -2011,6 +2027,26 @@ fn merge_partial_fill_reason(current: Option<String>, next: Option<&str>) -> Opt
     }
 }
 
+fn zero_fill_status_for_reason(reason: &str) -> OrderStatus {
+    match reason {
+        "tick no volume" | "tick volume limit" => OrderStatus::Canceled,
+        _ => OrderStatus::Rejected,
+    }
+}
+
+fn final_partial_fill_status(partial_reason: Option<&str>) -> OrderStatus {
+    match partial_reason {
+        Some(reason)
+            if reason.contains("market liquidity or volume limit")
+                || reason.contains("intraday quote liquidity exhausted")
+                || reason.contains("no execution quotes after start") =>
+        {
+            OrderStatus::Canceled
+        }
+        _ => OrderStatus::PartiallyFilled,
+    }
+}
+
 fn price_field_name(field: PriceField) -> &'static str {
     match field {
         PriceField::DayOpen => "day_open",

crates/fidc-core/tests/explicit_order_flow.rs

@@ -511,7 +511,7 @@ fn broker_applies_tick_size_slippage_on_intraday_last_fills() {
 }
 
 #[test]
-fn broker_emits_partial_fill_reason_when_intraday_quote_liquidity_exhausted() {
+fn broker_cancels_market_order_remainder_when_intraday_quote_liquidity_exhausted() {
     let date = NaiveDate::from_ymd_opt(2024, 1, 10).unwrap();
     let data = DataSet::from_components_with_actions_and_quotes(
         vec![Instrument {
@@ -623,21 +623,122 @@ fn broker_emits_partial_fill_reason_when_intraday_quote_liquidity_exhausted() {
     assert_eq!(report.order_events.len(), 1);
     assert_eq!(
         report.order_events[0].status,
-        fidc_core::OrderStatus::PartiallyFilled
+        fidc_core::OrderStatus::Canceled
-    );
-    assert!(
-        report.order_events[0]
-            .reason
-            .contains("partial fill due to intraday quote liquidity exhausted")
     );
+    assert!(report.order_events[0].reason.contains(
+        "partial fill due to intraday quote liquidity exhausted; remaining quantity canceled"
+    ));
     assert!(
         report
             .diagnostics
             .iter()
-            .any(|item| item.contains("order_partial_fill symbol=000002.SZ side=buy"))
+            .any(|item| item.contains("order_remainder_canceled symbol=000002.SZ side=buy"))
     );
 }
 
+#[test]
+fn broker_cancels_market_buy_when_tick_has_no_volume() {
+    let date = NaiveDate::from_ymd_opt(2024, 1, 10).unwrap();
+    let data = DataSet::from_components(
+        vec![Instrument {
+            symbol: "000002.SZ".to_string(),
+            name: "Test".to_string(),
+            board: "SZ".to_string(),
+            round_lot: 100,
+            listed_at: None,
+            delisted_at: None,
+            status: "active".to_string(),
+        }],
+        vec![DailyMarketSnapshot {
+            date,
+            symbol: "000002.SZ".to_string(),
+            timestamp: Some("2024-01-10 10:18:00".to_string()),
+            day_open: 10.0,
+            open: 10.0,
+            high: 10.0,
+            low: 10.0,
+            close: 10.0,
+            last_price: 10.0,
+            bid1: 9.99,
+            ask1: 10.01,
+            prev_close: 10.0,
+            volume: 0,
+            tick_volume: 0,
+            bid1_volume: 0,
+            ask1_volume: 0,
+            trading_phase: Some("continuous".to_string()),
+            paused: false,
+            upper_limit: 11.0,
+            lower_limit: 9.0,
+            price_tick: 0.01,
+        }],
+        vec![DailyFactorSnapshot {
+            date,
+            symbol: "000002.SZ".to_string(),
+            market_cap_bn: 50.0,
+            free_float_cap_bn: 45.0,
+            pe_ttm: 15.0,
+            turnover_ratio: Some(2.0),
+            effective_turnover_ratio: Some(1.8),
+            extra_factors: BTreeMap::new(),
+        }],
+        vec![CandidateEligibility {
+            date,
+            symbol: "000002.SZ".to_string(),
+            is_st: false,
+            is_new_listing: false,
+            is_paused: false,
+            allow_buy: true,
+            allow_sell: true,
+            is_kcb: false,
+            is_one_yuan: false,
+        }],
+        vec![BenchmarkSnapshot {
+            date,
+            benchmark: "000300.SH".to_string(),
+            open: 100.0,
+            close: 100.0,
+            prev_close: 99.0,
+            volume: 1_000_000,
+        }],
+    )
+    .expect("dataset");
+    let mut portfolio = PortfolioState::new(1_000_000.0);
+    let broker = BrokerSimulator::new_with_execution_price(
+        ChinaAShareCostModel::default(),
+        ChinaEquityRuleHooks::default(),
+        PriceField::Open,
+    );
+
+    let report = broker
+        .execute(
+            date,
+            &mut portfolio,
+            &data,
+            &StrategyDecision {
+                rebalance: false,
+                target_weights: BTreeMap::new(),
+                exit_symbols: BTreeSet::new(),
+                order_intents: vec![OrderIntent::Value {
+                    symbol: "000002.SZ".to_string(),
+                    value: 10_000.0,
+                    reason: "no_volume_buy".to_string(),
+                }],
+                notes: Vec::new(),
+                diagnostics: Vec::new(),
+            },
+        )
+        .expect("broker execution");
+
+    assert_eq!(report.fill_events.len(), 0);
+    assert_eq!(report.order_events.len(), 1);
+    assert_eq!(
+        report.order_events[0].status,
+        fidc_core::OrderStatus::Canceled
+    );
+    assert!(report.order_events[0].reason.contains("tick no volume"));
+}
+
 #[test]
 fn broker_splits_intraday_quote_fills_and_tracks_commission_by_order() {
     let date = NaiveDate::from_ymd_opt(2024, 1, 10).unwrap();