修复分钟成交量限制误用盘口量

crates/fidc-core/src/broker.rs

@@ -5785,7 +5785,7 @@ where
             MatchingType::OpenAuction
             | MatchingType::CurrentBarClose
             | MatchingType::NextBarOpen => false,
-            MatchingType::MinuteLast => self.volume_limit || self.liquidity_limit,
+            MatchingType::MinuteLast => self.liquidity_limit,
             MatchingType::MinuteBestOwn
             | MatchingType::MinuteBestCounterparty
             | MatchingType::Vwap
@@ -6062,7 +6062,7 @@ mod tests {
     }
 
     #[test]
-    fn minute_last_keeps_quote_quantity_cap_when_limits_enabled() {
+    fn minute_last_quote_quantity_cap_depends_on_liquidity_limit() {
         let volume_limited =
             BrokerSimulator::new(ChinaAShareCostModel::default(), ChinaEquityRuleHooks)
                 .with_volume_limit(true)
@@ -6072,7 +6072,7 @@ mod tests {
                 .with_volume_limit(false)
                 .with_liquidity_limit(true);
 
-        assert!(volume_limited.quote_quantity_limited(MatchingType::MinuteLast));
+        assert!(!volume_limited.quote_quantity_limited(MatchingType::MinuteLast));
         assert!(liquidity_limited.quote_quantity_limited(MatchingType::MinuteLast));
     }
 

crates/fidc-core/src/platform_expr_strategy.rs

@@ -10502,6 +10502,137 @@ mod tests {
         assert!((position.average_cost - 5.12022).abs() < 1e-9);
     }
 
+    #[test]
+    fn platform_minute_last_volume_limit_does_not_require_l1_quantity() {
+        let date = d(2023, 5, 4);
+        let symbol = "000782.SZ";
+        let data = DataSet::from_components_with_actions_and_quotes(
+            vec![Instrument {
+                symbol: symbol.to_string(),
+                name: symbol.to_string(),
+                board: "SZ".to_string(),
+                round_lot: 100,
+                listed_at: Some(d(2010, 1, 1)),
+                delisted_at: None,
+                status: "active".to_string(),
+            }],
+            vec![DailyMarketSnapshot {
+                date,
+                symbol: symbol.to_string(),
+                timestamp: Some("2023-05-04 10:40:00".to_string()),
+                day_open: 5.10,
+                open: 5.10,
+                high: 5.20,
+                low: 5.00,
+                close: 5.20,
+                last_price: 5.11,
+                bid1: 0.0,
+                ask1: 0.0,
+                prev_close: 5.00,
+                volume: 1_000_000,
+                minute_volume: 100_000,
+                bid1_volume: 0,
+                ask1_volume: 0,
+                trading_phase: Some("continuous".to_string()),
+                paused: false,
+                upper_limit: 5.50,
+                lower_limit: 4.50,
+                price_tick: 0.01,
+            }],
+            vec![DailyFactorSnapshot {
+                date,
+                symbol: symbol.to_string(),
+                market_cap_bn: 10.0,
+                free_float_cap_bn: 10.0,
+                pe_ttm: 8.0,
+                turnover_ratio: Some(1.0),
+                effective_turnover_ratio: Some(1.0),
+                extra_factors: BTreeMap::new(),
+            }],
+            vec![CandidateEligibility {
+                date,
+                symbol: symbol.to_string(),
+                is_st: false,
+                is_star_st: false,
+                is_new_listing: false,
+                is_paused: false,
+                allow_buy: true,
+                allow_sell: true,
+                is_kcb: false,
+                is_one_yuan: false,
+                risk_level_code: None,
+            }],
+            vec![BenchmarkSnapshot {
+                date,
+                benchmark: "000852.SH".to_string(),
+                open: 1000.0,
+                close: 1000.0,
+                prev_close: 998.0,
+                volume: 1_000_000,
+            }],
+            Vec::new(),
+            vec![IntradayExecutionQuote {
+                date,
+                symbol: symbol.to_string(),
+                timestamp: date.and_hms_opt(10, 40, 0).expect("timestamp"),
+                last_price: 5.11,
+                bid1: 0.0,
+                ask1: 0.0,
+                bid1_volume: 0,
+                ask1_volume: 0,
+                volume_delta: 100_000,
+                amount_delta: 511_000.0,
+                trading_phase: Some("continuous".to_string()),
+            }],
+        )
+        .expect("dataset");
+
+        let subscriptions = BTreeSet::new();
+        let portfolio = PortfolioState::new(125_000.0);
+        let ctx = StrategyContext {
+            execution_date: date,
+            decision_date: date,
+            decision_index: 20,
+            data: &data,
+            portfolio: &portfolio,
+            futures_account: None,
+            open_orders: &[],
+            dynamic_universe: None,
+            subscriptions: &subscriptions,
+            process_events: &[],
+            active_process_event: None,
+            active_datetime: None,
+            order_events: &[],
+            fills: &[],
+        };
+        let mut cfg = PlatformExprStrategyConfig::microcap_rotation();
+        cfg.aiquant_transaction_cost = true;
+        cfg.commission_rate = Some(0.0003);
+        cfg.minimum_commission = Some(5.0);
+        cfg.strict_value_budget = true;
+        cfg.slippage_model = SlippageModel::PriceRatio(0.002);
+        cfg.matching_type = MatchingType::MinuteLast;
+        cfg.quote_quantity_limit = false;
+        cfg.risk_config.trading_constraints.volume_limit_enabled = true;
+        cfg.risk_config.trading_constraints.liquidity_limit_enabled = false;
+        cfg.risk_config.trading_constraints.volume_percent = 0.25;
+        cfg.intraday_execution_time = Some(NaiveTime::from_hms_opt(10, 40, 0).expect("time"));
+        let strategy = PlatformExprStrategy::new(cfg);
+
+        let mut projected = portfolio.clone();
+        let mut execution_state = super::ProjectedExecutionState::default();
+        let filled = strategy.project_order_value(
+            &ctx,
+            &mut projected,
+            date,
+            symbol,
+            125_000.0,
+            &mut execution_state,
+        );
+
+        assert_eq!(filled, 24_400);
+    }
+
     #[test]
     fn platform_projected_market_fill_caps_volume_limit() {
         let date = d(2023, 5, 12);

crates/fidc-core/src/platform_strategy_spec.rs

@@ -868,12 +868,15 @@ fn apply_flat_risk_overrides(
         let value = normalize_percent_ratio(raw_value, "volume_percent")?;
         cfg.risk_config.trading_constraints.volume_percent = value;
     }
-    cfg.quote_quantity_limit = cfg.risk_config.trading_constraints.volume_limit_enabled
+    sync_quote_quantity_limit(cfg);
-        || cfg.risk_config.trading_constraints.liquidity_limit_enabled
-        || cfg.matching_type != MatchingType::MinuteLast;
     Ok(())
 }
 
+fn sync_quote_quantity_limit(cfg: &mut PlatformExprStrategyConfig) {
+    cfg.quote_quantity_limit = cfg.risk_config.trading_constraints.liquidity_limit_enabled
+        || cfg.matching_type != MatchingType::MinuteLast;
+}
+
 fn apply_risk_policy_overrides(
     cfg: &mut PlatformExprStrategyConfig,
     policy: Option<&StrategyRiskPolicySpec>,
@@ -1757,6 +1760,7 @@ pub fn platform_expr_config_from_spec(
             execution.slippage_max_value,
             execution.strict_value_budget,
         )?;
+        sync_quote_quantity_limit(&mut cfg);
     }
     if cfg.aiquant_transaction_cost
         && cfg
@@ -2412,6 +2416,24 @@ mod tests {
         assert!(cfg.quote_quantity_limit);
     }
 
+    #[test]
+    fn volume_limit_does_not_enable_quote_quantity_limit_for_minute_last() {
+        let spec = serde_json::json!({
+            "execution": {
+                "matchingType": "minute_last",
+                "volumeLimit": true,
+                "liquidityLimit": false,
+                "volumePercent": 0.25
+            }
+        });
+
+        let cfg = platform_expr_config_from_value("", "", &spec).expect("config");
+
+        assert!(cfg.risk_config.trading_constraints.volume_limit_enabled);
+        assert!(!cfg.risk_config.trading_constraints.liquidity_limit_enabled);
+        assert!(!cfg.quote_quantity_limit);
+    }
+
     #[test]
     fn parses_st_and_star_st_risk_policy_switches_into_platform_config() {
         let spec = serde_json::json!({