统一调度时刻使用已知tick

crates/fidc-core/src/broker.rs

@@ -4680,9 +4680,8 @@ where
         let quote_quantity_limited =
             self.quote_quantity_limited_for_window(matching_type, start_cursor, end_cursor);
         let lot = round_lot.max(1);
-        let use_decision_time_quote = matching_type == MatchingType::NextTickLast
+        let use_decision_time_quote =
-            && start_cursor.is_some()
+            matching_type == MatchingType::NextTickLast && start_cursor.is_some();
-            && end_cursor.is_none_or(|end| start_cursor.is_some_and(|start| end <= start));
         let eligible_quotes: Vec<&IntradayExecutionQuote> = if use_decision_time_quote {
             self.latest_known_quote_at_or_before(
                 quotes,

crates/fidc-core/src/platform_expr_strategy.rs

@@ -1064,7 +1064,8 @@ impl PlatformExprStrategy {
         ctx.data
             .execution_quotes_on(date, symbol)
             .iter()
-            .find(|quote| quote.timestamp >= start_cursor)
+            .filter(|quote| quote.timestamp <= start_cursor)
+            .max_by_key(|quote| quote.timestamp)
     }
 
     fn aiquant_scheduled_buy_price(
@@ -1110,14 +1111,17 @@ impl PlatformExprStrategy {
         let start_cursor =
             self.projected_execution_start_cursor(ctx, date, symbol, execution_state);
         let quotes = ctx.data.execution_quotes_on(date, symbol);
+        let selected_quotes = quotes
+            .iter()
+            .filter(|quote| quote.timestamp <= start_cursor)
+            .max_by_key(|quote| quote.timestamp)
+            .into_iter()
+            .collect::<Vec<_>>();
         let mut filled_qty = 0_u32;
         let mut gross_amount = 0.0_f64;
         let mut last_timestamp = None;
 
-        for quote in quotes {
+        for quote in selected_quotes {
-            if quote.timestamp < start_cursor {
-                continue;
-            }
             let Some(quote_price) = self.projected_quote_execution_price(quote, side) else {
                 continue;
             };
@@ -1191,7 +1195,7 @@ impl PlatformExprStrategy {
         })
     }
 
-    fn has_execution_quote_at_or_after(
+    fn has_execution_quote_at_or_before(
         &self,
         ctx: &StrategyContext<'_>,
         date: NaiveDate,
@@ -1203,7 +1207,7 @@ impl PlatformExprStrategy {
         ctx.data
             .execution_quotes_on(date, symbol)
             .iter()
-            .any(|quote| quote.timestamp >= start_cursor)
+            .any(|quote| quote.timestamp <= start_cursor)
     }
 
     fn project_target_zero(
@@ -1241,7 +1245,7 @@ impl PlatformExprStrategy {
                 execution_state,
             )
             .or_else(|| {
-                if !self.has_execution_quote_at_or_after(ctx, date, symbol, execution_state) {
+                if !self.has_execution_quote_at_or_before(ctx, date, symbol, execution_state) {
                     Some(ProjectedExecutionFill {
                         price: self.projected_execution_price(market, OrderSide::Sell),
                         quantity,
@@ -1442,7 +1446,7 @@ impl PlatformExprStrategy {
                 execution_state,
             )
             .or_else(|| {
-                if !self.has_execution_quote_at_or_after(ctx, date, symbol, execution_state) {
+                if !self.has_execution_quote_at_or_before(ctx, date, symbol, execution_state) {
                     Some(ProjectedExecutionFill {
                         price: execution_price,
                         quantity,
@@ -7914,6 +7918,19 @@ mod tests {
                     amount_delta: 1_000.0,
                     trading_phase: Some("continuous".to_string()),
                 },
+                IntradayExecutionQuote {
+                    date,
+                    symbol: symbol.to_string(),
+                    timestamp: date.and_hms_opt(14, 58, 59).expect("valid timestamp"),
+                    last_price: 19.8,
+                    bid1: 19.79,
+                    ask1: 19.8,
+                    bid1_volume: 1_000,
+                    ask1_volume: 1_000,
+                    volume_delta: 100,
+                    amount_delta: 2_000.0,
+                    trading_phase: Some("continuous".to_string()),
+                },
                 IntradayExecutionQuote {
                     date,
                     symbol: symbol.to_string(),
@@ -7964,9 +7981,9 @@ mod tests {
         let strategy = PlatformExprStrategy::new(cfg);
         let quote = strategy
             .aiquant_scheduled_quote(&ctx, date, symbol)
-            .expect("quote at or after 14:59");
+            .expect("latest known quote at or before 14:59");
-        assert_eq!(quote.timestamp, date.and_hms_opt(14, 59, 2).unwrap());
+        assert_eq!(quote.timestamp, date.and_hms_opt(14, 58, 59).unwrap());
-        assert_eq!(quote.last_price, 20.0);
+        assert_eq!(quote.last_price, 19.8);
     }
 
     #[test]