From 7e0877b5860d8724da1c4507a1d1ba393b3497f5 Mon Sep 17 00:00:00 2001
From: boris <shuaibo.zhang@hotmail.com>
Date: Fri, 11 Sep 2026 10:21:46 +0800
Subject: [PATCH] fix: validate price risk on every execution leg before and
 after slippage

---
 crates/fidc-core/src/broker.rs | 61 +++++++++++++++++++++++++++++++++-
 1 file changed, 60 insertions(+), 1 deletion(-)

diff --git a/crates/fidc-core/src/broker.rs b/crates/fidc-core/src/broker.rs
index 69c082d..685ee93 100644
--- a/crates/fidc-core/src/broker.rs
+++ b/crates/fidc-core/src/broker.rs
@@ -7318,9 +7318,15 @@ where
         execution_price: f64,
     ) -> Option<&'static str> {
         if !execution_price.is_finite() || execution_price <= 0.0 {
-            return None;
+            return Some("invalid execution price");
         }
         match side {
+            OrderSide::Buy
+                if self.risk_config.static_rules.reject_one_yuan_buy
+                    && execution_price <= 1.0 =>
+            {
+                Some("one_yuan")
+            }
             OrderSide::Buy
                 if self.risk_config.static_rules.reject_upper_limit_buy
                     && snapshot.is_at_upper_limit_price(execution_price) =>
@@ -7623,6 +7629,11 @@ where
             else {
                 continue;
             };
+            if let Some(reason) = self.execution_limit_rejection_reason(snapshot, side, raw_quote_price) {
+                execution_block_reason.get_or_insert(reason);
+                execution_block_timestamp = Some(quote.timestamp);
+                continue;
+            }
             let mark_price = self.quote_mark_price(quote, raw_quote_price);
             let remaining_qty = requested_qty.saturating_sub(filled_qty);
             if remaining_qty == 0 {
@@ -8596,6 +8607,54 @@ mod tests {
         assert_eq!(fill.quantity, 1_200);
     }
 
+    #[test]
+    fn each_execution_leg_rechecks_one_yuan_including_slippage_and_limit_price() {
+        let mut snapshot = limit_test_snapshot();
+        snapshot.open = 1.2;
+        snapshot.last_price = 1.2;
+        snapshot.upper_limit = 2.0;
+        snapshot.lower_limit = 0.5;
+        let date = snapshot.date;
+        let start = date.and_hms_opt(10, 0, 0).unwrap();
+        let end = date.and_hms_opt(10, 2, 0).unwrap();
+        let mut cheap = limit_test_quote(0.9, 0.9, 0.9);
+        cheap.timestamp = date.and_hms_opt(10, 1, 0).unwrap();
+        let mut later = limit_test_quote(1.2, 1.2, 1.2);
+        later.timestamp = end;
+        let broker = BrokerSimulator::new(ChinaAShareCostModel::default(), ChinaEquityRuleHooks)
+            .with_volume_limit(false).with_liquidity_limit(false);
+
+        let fill = broker.select_execution_fill(
+            &snapshot, &[cheap.clone(), later], OrderSide::Buy, MatchingType::Vwap,
+            Some(start), Some(end), 100, 100, 100, 100, false, None, None, None,
+        ).unwrap();
+        assert_eq!(fill.quantity, 100);
+        assert_eq!(fill.legs.len(), 1);
+        assert_eq!(fill.legs[0].execution_timestamp, Some(end));
+        assert_eq!(fill.legs[0].price, 1.2);
+
+        let slipped = broker.with_slippage_model(SlippageModel::PriceRatio(0.2));
+        let blocked = slipped.select_execution_fill(
+            &snapshot, &[cheap], OrderSide::Buy, MatchingType::Vwap,
+            Some(start), Some(end), 100, 100, 100, 100, false, None, None, None,
+        ).unwrap();
+        assert_eq!(blocked.quantity, 0);
+        assert_eq!(blocked.unfilled_reason, Some("one_yuan"));
+        assert_eq!(slipped.execution_price_with_limit_slippage_or_rejection(&snapshot, OrderSide::Buy, 1.0, None), Err("one_yuan"));
+
+        let limit_broker = BrokerSimulator::new(ChinaAShareCostModel::default(), ChinaEquityRuleHooks)
+            .with_slippage_model(SlippageModel::LimitPrice);
+        assert_eq!(limit_broker.execution_price_with_limit_slippage_or_rejection(
+            &snapshot, OrderSide::Buy, 1.2, Some(0.9)), Err("one_yuan"));
+        let mut risk = FidcRiskControlConfig::default();
+        risk.static_rules.reject_one_yuan_buy = false;
+        let allowed = limit_broker.with_risk_config(risk);
+        assert_eq!(allowed.execution_price_with_limit_slippage_or_rejection(
+            &snapshot, OrderSide::Buy, 1.2, Some(0.9)), Ok(0.9));
+        assert_eq!(allowed.execution_limit_rejection_reason(&snapshot, OrderSide::Buy, f64::NAN), Some("invalid execution price"));
+        assert_eq!(allowed.execution_limit_rejection_reason(&snapshot, OrderSide::Sell, 0.9), None);
+    }
+
     #[test]
     fn minute_last_uses_volume_delta_when_level1_depth_missing() {
         let date = chrono::NaiveDate::from_ymd_opt(2025, 1, 2).expect("valid date");