对齐 AiQuant RQAlpha 回测语义

crates/fidc-core/src/broker.rs

@@ -111,6 +111,7 @@ pub struct BrokerSimulator<C, R> {
     inactive_limit: bool,
     liquidity_limit: bool,
     strict_value_budget: bool,
+    same_day_buy_close_mark_at_fill: bool,
     intraday_execution_start_time: Option<NaiveTime>,
     runtime_intraday_start_time: Cell<Option<NaiveTime>>,
     runtime_intraday_end_time: Cell<Option<NaiveTime>>,
@@ -132,6 +133,7 @@ impl<C, R> BrokerSimulator<C, R> {
             inactive_limit: true,
             liquidity_limit: true,
             strict_value_budget: false,
+            same_day_buy_close_mark_at_fill: false,
             intraday_execution_start_time: None,
             runtime_intraday_start_time: Cell::new(None),
             runtime_intraday_end_time: Cell::new(None),
@@ -157,6 +159,7 @@ impl<C, R> BrokerSimulator<C, R> {
             inactive_limit: true,
             liquidity_limit: true,
             strict_value_budget: false,
+            same_day_buy_close_mark_at_fill: false,
             intraday_execution_start_time: None,
             runtime_intraday_start_time: Cell::new(None),
             runtime_intraday_end_time: Cell::new(None),
@@ -185,6 +188,15 @@ impl<C, R> BrokerSimulator<C, R> {
         self
     }
 
+    pub fn with_same_day_buy_close_mark_at_fill(mut self, enabled: bool) -> Self {
+        self.same_day_buy_close_mark_at_fill = enabled;
+        self
+    }
+
+    pub fn same_day_buy_close_mark_at_fill(&self) -> bool {
+        self.same_day_buy_close_mark_at_fill
+    }
+
     pub fn with_volume_percent(mut self, volume_percent: f64) -> Self {
         self.volume_percent = volume_percent;
         self
@@ -252,6 +264,34 @@ where
         snapshot.price(self.execution_price_field)
     }
 
+    fn value_buy_sizing_price(
+        &self,
+        date: NaiveDate,
+        data: &DataSet,
+        symbol: &str,
+        snapshot: &crate::data::DailyMarketSnapshot,
+    ) -> f64 {
+        let start_cursor = self
+            .runtime_intraday_start_time
+            .get()
+            .or(self.intraday_execution_start_time)
+            .map(|start_time| date.and_time(start_time));
+        data.execution_quotes_on(date, symbol)
+            .iter()
+            .filter(|quote| {
+                start_cursor
+                    .map(|cursor| quote.timestamp >= cursor)
+                    .unwrap_or(true)
+            })
+            .next()
+            .and_then(|quote| match self.execution_price_field {
+                PriceField::Last => (quote.last_price.is_finite() && quote.last_price > 0.0)
+                    .then_some(quote.last_price),
+                _ => quote.buy_price(),
+            })
+            .unwrap_or_else(|| self.sizing_price(snapshot))
+    }
+
     fn snapshot_execution_price(
         &self,
         snapshot: &crate::data::DailyMarketSnapshot,
@@ -2917,7 +2957,7 @@ where
             let round_lot = self.round_lot(data, symbol);
             let minimum_order_quantity = self.minimum_order_quantity(data, symbol);
             let order_step_size = self.order_step_size(data, symbol);
-            let price = self.sizing_price(snapshot);
+            let price = self.value_buy_sizing_price(date, data, symbol, snapshot);
             let snapshot_requested_qty = self.value_buy_quantity(
                 date,
                 value.abs(),
@@ -3408,13 +3448,10 @@ where
         requested_qty: u32,
         reference_price: f64,
     ) -> Option<f64> {
-        value_budget.map(|budget| {
-            if self.strict_value_budget {
-                budget.max(reference_price * requested_qty as f64)
-            } else {
-                budget + 400.0
-            }
-        })
+        if !self.strict_value_budget {
+            return None;
+        }
+        value_budget.map(|budget| budget.max(reference_price * requested_qty as f64))
     }
 
     fn process_buy(
@@ -3733,7 +3770,7 @@ where
                 .position_mut(symbol)
                 .buy(date, leg.quantity, leg.price);
             if let Some(position) = portfolio.position_mut_if_exists(symbol) {
-                position.record_trade_cost(cost.total());
+                position.record_buy_trade_cost(leg.quantity, cost.total());
             }
 
             report.fill_events.push(FillEvent {
@@ -4372,7 +4409,8 @@ where
             return None;
         }
 
-        let quote_quantity_limited = self.quote_quantity_limited(matching_type);
+        let quote_quantity_limited =
+            self.quote_quantity_limited_for_window(matching_type, start_cursor, end_cursor);
         let lot = round_lot.max(1);
         let eligible_quotes: Vec<&IntradayExecutionQuote> = quotes
             .iter()
@@ -4533,6 +4571,23 @@ where
         self.volume_limit || self.liquidity_limit || matching_type != MatchingType::NextTickLast
     }
 
+    fn quote_quantity_limited_for_window(
+        &self,
+        matching_type: MatchingType,
+        start_cursor: Option<NaiveDateTime>,
+        end_cursor: Option<NaiveDateTime>,
+    ) -> bool {
+        if matching_type == MatchingType::Twap
+            && !self.volume_limit
+            && !self.liquidity_limit
+            && start_cursor.is_some()
+            && start_cursor == end_cursor
+        {
+            return false;
+        }
+        self.quote_quantity_limited(matching_type)
+    }
+
     fn uses_serial_execution_cursor(&self, reason: &str) -> bool {
         let _ = reason;
         false
@@ -4629,4 +4684,26 @@ mod tests {
         assert!(volume_limited.quote_quantity_limited(MatchingType::NextTickLast));
         assert!(liquidity_limited.quote_quantity_limited(MatchingType::NextTickLast));
     }
+
+    #[test]
+    fn instantaneous_twap_without_limits_does_not_cap_quote_quantity() {
+        let broker = BrokerSimulator::new(ChinaAShareCostModel::default(), ChinaEquityRuleHooks)
+            .with_volume_limit(false)
+            .with_liquidity_limit(false);
+        let cursor = chrono::NaiveDate::from_ymd_opt(2025, 11, 3)
+            .unwrap()
+            .and_hms_opt(9, 31, 0)
+            .unwrap();
+
+        assert!(!broker.quote_quantity_limited_for_window(
+            MatchingType::Twap,
+            Some(cursor),
+            Some(cursor)
+        ));
+        assert!(broker.quote_quantity_limited_for_window(
+            MatchingType::Twap,
+            Some(cursor),
+            Some(cursor + chrono::Duration::minutes(1))
+        ));
+    }
 }

crates/fidc-core/src/data.rs

@@ -654,6 +654,14 @@ impl SymbolPriceSeries {
         self.values_for(field).get(end - 1).copied()
     }
 
+    fn snapshot_before(&self, date: NaiveDate) -> Option<&DailyMarketSnapshot> {
+        let end = self.previous_completed_end_index(date)?;
+        if end == 0 {
+            return None;
+        }
+        self.snapshots.get(end - 1)
+    }
+
     fn prefix_for(&self, field: PriceField) -> &[f64] {
         match field {
             PriceField::DayOpen => &self.open_prefix,
@@ -1828,6 +1836,12 @@ impl DataSet {
             .and_then(|series| series.price_on_or_before(date, field))
     }
 
+    pub fn market_before(&self, date: NaiveDate, symbol: &str) -> Option<&DailyMarketSnapshot> {
+        self.market_series_by_symbol
+            .get(symbol)
+            .and_then(|series| series.snapshot_before(date))
+    }
+
     pub fn factor_snapshots_on(&self, date: NaiveDate) -> Vec<&DailyFactorSnapshot> {
         self.factor_by_date
             .get(&date)

crates/fidc-core/src/engine.rs

@@ -2127,7 +2127,12 @@ where
                 }
             }
 
-            portfolio.update_prices(execution_date, &self.data, PriceField::Close)?;
+            portfolio.update_prices_with_options(
+                execution_date,
+                &self.data,
+                PriceField::Close,
+                self.broker.same_day_buy_close_mark_at_fill(),
+            )?;
 
             let post_trade_open_orders = self.open_order_views();
             let visible_order_events = result

crates/fidc-core/src/portfolio.rs

@@ -1,7 +1,7 @@
 use chrono::NaiveDate;
 use indexmap::IndexMap;
 use serde::Serialize;
-use std::collections::BTreeMap;
+use std::collections::{BTreeMap, BTreeSet};
 
 use crate::data::{DataSet, DataSetError, PriceField};
 
@@ -205,6 +205,22 @@ impl Position {
         }
     }
 
+    pub fn record_buy_trade_cost(&mut self, quantity: u32, value: f64) {
+        if quantity == 0 || !value.is_finite() {
+            return;
+        }
+        let cost = value.max(0.0);
+        if cost <= 0.0 {
+            return;
+        }
+        if let Some(lot) = self.lots.last_mut() {
+            lot.price += cost / quantity as f64;
+            self.recalculate_average_cost();
+        }
+        self.day_trade_cost += cost;
+        self.refresh_day_pnl();
+    }
+
     pub fn set_dividend_receivable(&mut self, value: f64) {
         self.dividend_receivable = if value.is_finite() {
             value.max(0.0)
@@ -316,6 +332,7 @@ pub struct PortfolioState {
     positions: IndexMap<String, Position>,
     cash_receivables: Vec<CashReceivable>,
     pending_cash_flows: Vec<PendingCashFlow>,
+    day_sold_symbols: BTreeSet<String>,
 }
 
 #[derive(Debug, Clone)]
@@ -348,6 +365,7 @@ impl PortfolioState {
             positions: IndexMap::new(),
             cash_receivables: Vec::new(),
             pending_cash_flows: Vec::new(),
+            day_sold_symbols: BTreeSet::new(),
         }
     }
 
@@ -402,7 +420,18 @@ impl PortfolioState {
     }
 
     pub fn prune_flat_positions(&mut self) {
-        self.positions.retain(|_, position| !position.is_flat());
+        let mut sold_symbols = Vec::new();
+        self.positions.retain(|symbol, position| {
+            if position.is_flat() {
+                if position.sold_quantity() > 0 {
+                    sold_symbols.push(symbol.clone());
+                }
+                false
+            } else {
+                true
+            }
+        });
+        self.day_sold_symbols.extend(sold_symbols);
     }
 
     pub fn add_cash_receivable(&mut self, receivable: CashReceivable) {
@@ -538,6 +567,7 @@ impl PortfolioState {
     }
 
     pub fn begin_trading_day(&mut self) {
+        self.day_sold_symbols.clear();
         for position in self.positions.values_mut() {
             position.begin_trading_day();
         }
@@ -550,9 +580,24 @@ impl PortfolioState {
         data: &DataSet,
         field: PriceField,
     ) -> Result<(), DataSetError> {
+        self.update_prices_with_options(date, data, field, false)
+    }
+
+    pub fn update_prices_with_options(
+        &mut self,
+        date: NaiveDate,
+        data: &DataSet,
+        field: PriceField,
+        same_day_buy_close_mark_at_fill: bool,
+    ) -> Result<(), DataSetError> {
+        let day_sold_symbols = self.day_sold_symbols.clone();
         for position in self.positions.values_mut() {
-            if field == PriceField::Close
+            let sold_today =
+                position.sold_quantity() > 0 || day_sold_symbols.contains(&position.symbol);
+            if same_day_buy_close_mark_at_fill
+                && field == PriceField::Close
                 && position.day_buy_quantity > 0
+                && !sold_today
                 && position.sellable_qty(date) == 0
                 && position.last_price.is_finite()
                 && position.last_price > 0.0
@@ -1165,7 +1210,7 @@ mod tests {
         .expect("dataset");
 
         portfolio
-            .update_prices(buy_date, &dataset, PriceField::Close)
+            .update_prices_with_options(buy_date, &dataset, PriceField::Close, true)
             .expect("same day close");
         let position = portfolio.position(symbol).expect("position");
         assert!((position.last_price - 3.01).abs() < 1e-9);
@@ -1178,6 +1223,27 @@ mod tests {
         let position = portfolio.position(symbol).expect("position");
         assert!((position.last_price - 3.07).abs() < 1e-9);
         assert!((position.market_value() - 3991.0).abs() < 1e-6);
+
+        let prev_date = NaiveDate::from_ymd_opt(2025, 2, 7).unwrap();
+        let mut roundtrip_portfolio = PortfolioState::new(20_000.0);
+        roundtrip_portfolio
+            .position_mut(symbol)
+            .buy(prev_date, 2000, 2.90);
+        roundtrip_portfolio.begin_trading_day();
+        roundtrip_portfolio
+            .position_mut(symbol)
+            .sell(2000, 3.01)
+            .expect("same day sell");
+        roundtrip_portfolio.prune_flat_positions();
+        roundtrip_portfolio
+            .position_mut(symbol)
+            .buy(buy_date, 1800, 3.01);
+        roundtrip_portfolio
+            .update_prices(buy_date, &dataset, PriceField::Close)
+            .expect("same day roundtrip close");
+        let position = roundtrip_portfolio.position(symbol).expect("position");
+        assert!((position.last_price - 3.06).abs() < 1e-9);
+        assert!((position.market_value() - 5508.0).abs() < 1e-6);
     }
 
     #[test]

crates/fidc-core/src/strategy.rs

@@ -1780,11 +1780,23 @@ impl OmniMicroCapStrategy {
         if !sizing_price.is_finite() || sizing_price <= 0.0 {
             return 0;
         }
-        let snapshot_requested_qty = self.round_lot_quantity(
+        let mut snapshot_requested_qty = self.round_lot_quantity(
             ((projected.cash().min(order_value)) / sizing_price).floor() as u32,
             minimum_order_quantity,
             order_step_size,
         );
+        while snapshot_requested_qty > 0 {
+            let gross_amount = sizing_price * snapshot_requested_qty as f64;
+            let cash_out = gross_amount + self.buy_commission(gross_amount);
+            if cash_out <= order_value + 1e-6 && cash_out <= projected.cash() + 1e-6 {
+                break;
+            }
+            snapshot_requested_qty = self.decrement_order_quantity(
+                snapshot_requested_qty,
+                minimum_order_quantity,
+                order_step_size,
+            );
+        }
         let projected_execution_price = self.projected_execution_price(market, OrderSide::Buy);
         let projected_fill = self.projected_select_execution_fill(
             ctx,
@@ -1796,14 +1808,15 @@ impl OmniMicroCapStrategy {
             minimum_order_quantity,
             order_step_size,
             false,
-            Some(projected.cash()),
-            Some(order_value + 400.0),
+            Some(projected.cash().min(order_value)),
+            Some(order_value),
             execution_state,
         );
         let mut quantity = snapshot_requested_qty;
         while quantity > 0 {
             let gross_amount = projected_execution_price * quantity as f64;
-            if gross_amount <= order_value + 400.0 && gross_amount <= projected.cash() + 1e-6 {
+            let cash_out = gross_amount + self.buy_commission(gross_amount);
+            if cash_out <= order_value + 1e-6 && cash_out <= projected.cash() + 1e-6 {
                 break;
             }
             quantity =
@@ -1818,7 +1831,8 @@ impl OmniMicroCapStrategy {
             .unwrap_or(projected_execution_price);
         while quantity > 0 {
             let gross_amount = execution_price * quantity as f64;
-            if gross_amount <= projected.cash() + 1e-6 {
+            let cash_out = gross_amount + self.buy_commission(gross_amount);
+            if cash_out <= order_value + 1e-6 && cash_out <= projected.cash() + 1e-6 {
                 break;
             }
             quantity =
@@ -1834,7 +1848,7 @@ impl OmniMicroCapStrategy {
         };
         let gross_amount = fill.price * fill.quantity as f64;
         let cash_out = gross_amount + self.buy_commission(gross_amount);
-        if gross_amount > projected.cash() + 1e-6 {
+        if cash_out > projected.cash() + 1e-6 || cash_out > order_value + 1e-6 {
             return 0;
         }
         projected.apply_cash_delta(-cash_out);