fix: keep decision estimates independent and use timed capacity in fill fixtures

crates/fidc-core/src/broker.rs

@@ -7725,7 +7725,7 @@ where
             } else {
                 remaining_qty.min(available_qty)
             };
-            if !(side == OrderSide::Sell && allow_odd_lot_sell && take_qty == remaining_qty) {
+            if !(side == OrderSide::Sell && allow_odd_lot_sell) {
                 take_qty =
                     self.round_buy_quantity(take_qty, minimum_order_quantity, order_step_size);
             }
@@ -8397,6 +8397,7 @@ mod tests {
             vec![dated_limit_test_benchmark(first), dated_limit_test_benchmark(second)],
         ).unwrap();
         let broker = BrokerSimulator::new(ChinaAShareCostModel::default(), ChinaEquityRuleHooks)
+            .with_volume_capacity_mode(crate::execution_capacity::VolumeCapacityMode::SessionCapacityAudit)
             .with_matching_type(MatchingType::CurrentBarClose);
         let mut portfolio = PortfolioState::new(100_000.0);
         broker.execute(first, &mut portfolio, &data, &next_open_buy_decision()).unwrap();
@@ -8423,6 +8424,7 @@ mod tests {
         let data = DataSet::from_components(vec![limit_test_instrument()], vec![limit_test_snapshot()],
             Vec::new(), vec![limit_test_candidate(true, true)], vec![limit_test_benchmark()]).unwrap();
         let broker = BrokerSimulator::new(ChinaAShareCostModel::default(), ChinaEquityRuleHooks)
+            .with_volume_capacity_mode(crate::execution_capacity::VolumeCapacityMode::SessionCapacityAudit)
             .with_matching_type(MatchingType::CurrentBarClose);
         broker.upsert_open_order(test_open_order(99));
         let mut decision = StrategyDecision::default();
@@ -8450,6 +8452,7 @@ mod tests {
                  dated_limit_test_candidate(second, false, false, true, true)],
             vec![dated_limit_test_benchmark(first), dated_limit_test_benchmark(second)]).unwrap();
         let broker = BrokerSimulator::new(ChinaAShareCostModel::default(), ChinaEquityRuleHooks)
+            .with_volume_capacity_mode(crate::execution_capacity::VolumeCapacityMode::SessionCapacityAudit)
             .with_matching_type(MatchingType::NextBarOpen);
         let mut portfolio = PortfolioState::new(1_000_000.0);
         let mut initial = StrategyDecision::default();

crates/fidc-core/src/engine.rs

@@ -7028,6 +7028,7 @@ mod tests {
         let third = d(2025, 1, 6);
         let fourth = d(2025, 1, 7);
         let broker = scheduled_next_open_broker(FidcRiskControlConfig::default())
+            .with_volume_capacity_mode(crate::execution_capacity::VolumeCapacityMode::SessionCapacityAudit)
             .with_volume_limit(true)
             .with_volume_percent(0.25);
         let result = run_scheduled_round_trip_next_open_with_dataset_and_broker(
@@ -7055,12 +7056,13 @@ mod tests {
     }
 
     #[test]
-    fn next_bar_open_sell_volume_limit_rejects_execution_day_zero_volume() {
+    fn next_bar_open_session_audit_flags_zero_volume_without_rewriting_fills() {
         let first = d(2025, 1, 2);
         let second = d(2025, 1, 3);
         let third = d(2025, 1, 6);
         let fourth = d(2025, 1, 7);
         let broker = scheduled_next_open_broker(FidcRiskControlConfig::default())
+            .with_volume_capacity_mode(crate::execution_capacity::VolumeCapacityMode::SessionCapacityAudit)
             .with_volume_limit(true)
             .with_volume_percent(0.25);
         let result = run_scheduled_round_trip_next_open_with_dataset_and_broker(
@@ -7081,7 +7083,10 @@ mod tests {
             broker,
         );
 
-        assert_round_trip_sell_canceled_with_reason(&result, "daily volume limit");
+        assert!(result.fills.iter().any(|fill| fill.side == OrderSide::Sell && fill.date == fourth));
+        assert_eq!(result.capacity_audit.audit_passed, Some(false));
+        assert_eq!(result.capacity_audit.failed_symbol_sessions, 1);
+        assert!(result.process_events.iter().any(|event| event.kind == ProcessEventKind::SessionCapacityAudit));
     }
 
     #[test]

crates/fidc-core/src/platform_expr_strategy.rs

@@ -3157,10 +3157,16 @@ impl PlatformExprStrategy {
         allow_odd_lot_sell: bool,
         current_fill_quantity: u32,
         execution_state: &ProjectedExecutionState,
+        future_execution: bool,
     ) -> Result<Option<u32>, BacktestError> {
         if requested_qty == 0 {
             return Ok(Some(0));
         }
+        if future_execution {
+            // A decision-day estimate cannot use tomorrow's liquidity to
+            // change the orders created today.
+            return Ok(Some(requested_qty));
+        }
 
         let constraints = self.config.risk_config.trading_constraints;
         let mut max_fill = requested_qty;
@@ -3333,6 +3339,7 @@ impl PlatformExprStrategy {
                     allow_odd_lot_sell,
                     filled_qty,
                     execution_state,
+                    Self::defer_projection_execution_risk(ctx, date),
                 )?
                 .unwrap_or(0);
             if available_qty == 0 {
@@ -3521,6 +3528,7 @@ impl PlatformExprStrategy {
                         sellable_qty >= current_qty,
                         0,
                         execution_state,
+                        Self::defer_projection_execution_risk(ctx, date),
                     )?.filter(|quantity| *quantity > 0)
             {
                 fill = Some(ProjectedExecutionFill {
@@ -4153,6 +4161,7 @@ impl PlatformExprStrategy {
                         false,
                         0,
                         execution_state,
+                        Self::defer_projection_execution_risk(ctx, date),
                     )?.filter(|quantity| *quantity > 0)
             {
                 fill = Some(ProjectedExecutionFill {
@@ -15072,6 +15081,7 @@ mod tests {
                 order_events:&[],fills:&[],
             };
             let mut cfg=PlatformExprStrategyConfig::generic();
+            cfg.risk_config.trading_constraints.volume_limit_enabled=false;
             cfg.signal_symbol=symbol.into();
             cfg.rotation_enabled=false;
             cfg.signal_book=Some(book);
@@ -15190,6 +15200,7 @@ mod tests {
         let rows = Arc::new(Mutex::new(Vec::new()));
         let strategy = Capture { inner: PlatformExprStrategy::new(config), first, rows: Arc::clone(&rows) };
         let broker = BrokerSimulator::new(ChinaAShareCostModel::default(), ChinaEquityRuleHooks)
+            .with_volume_capacity_mode(crate::execution_capacity::VolumeCapacityMode::SessionCapacityAudit)
             .with_matching_type(MatchingType::CurrentBarClose);
         let mut engine = BacktestEngine::new(data, strategy, broker, BacktestConfig {
             initial_cash: 10_000.0, benchmark_code: "000852.SH".to_owned(), start_date: Some(first),
@@ -18046,6 +18057,7 @@ mod tests {
                 false,
                 0,
                 &execution_state,
+                false,
             ).expect("valid volume capacity"),
             Some(2_500)
         );
@@ -18066,6 +18078,7 @@ mod tests {
                 false,
                 0,
                 &execution_state,
+                false,
             ).expect("valid remaining volume capacity"),
             Some(100)
         );