修复日线撮合误用分钟成交量

crates/fidc-core/src/broker.rs

@@ -5038,12 +5038,33 @@ where
             return Ok(0);
         }
 
-        if self.inactive_limit && snapshot.minute_volume == 0 {
-            return Err("minute no volume".to_string());
+        let uses_intraday_quantity = self.matching_type_uses_intraday_quotes();
+        let available_market_volume = if uses_intraday_quantity {
+            snapshot.minute_volume
+        } else {
+            snapshot.volume
+        };
+        let no_volume_reason = if uses_intraday_quantity {
+            "minute no volume"
+        } else {
+            "daily no volume"
+        };
+        let volume_limit_reason = if uses_intraday_quantity {
+            "minute volume limit"
+        } else {
+            "daily volume limit"
+        };
+
+        if self.inactive_limit && (snapshot.paused || available_market_volume == 0) {
+            return Err(if snapshot.paused {
+                "paused".to_string()
+            } else {
+                no_volume_reason.to_string()
+            });
         }
 
         let mut max_fill = requested_qty;
-        if self.liquidity_limit && !self.is_open_auction_matching() {
+        if self.liquidity_limit && uses_intraday_quantity && !self.is_open_auction_matching() {
             let top_level_liquidity = match side {
                 OrderSide::Buy => snapshot.liquidity_for_buy(),
                 OrderSide::Sell => snapshot.liquidity_for_sell(),
@@ -5065,10 +5086,10 @@ where
         }
 
         if self.volume_limit {
-            let raw_limit = ((snapshot.minute_volume as f64) * self.volume_percent).round() as i64
+            let raw_limit = ((available_market_volume as f64) * self.volume_percent).round() as i64
                 - consumed_turnover as i64;
             if raw_limit <= 0 {
-                return Err("minute volume limit".to_string());
+                return Err(volume_limit_reason.to_string());
             }
             let volume_limited = if side == OrderSide::Sell && allow_odd_lot_sell {
                 raw_limit as u32
@@ -5076,7 +5097,7 @@ where
                 self.round_buy_quantity(raw_limit as u32, minimum_order_quantity, order_step_size)
             };
             if volume_limited == 0 {
-                return Err("minute volume limit".to_string());
+                return Err(volume_limit_reason.to_string());
             }
             max_fill = max_fill.min(volume_limited);
         }
@@ -5528,8 +5549,28 @@ where
         }
     }
 
+    fn matching_type_uses_intraday_quotes(&self) -> bool {
+        matches!(
+            self.matching_type,
+            MatchingType::MinuteLast
+                | MatchingType::MinuteBestOwn
+                | MatchingType::MinuteBestCounterparty
+                | MatchingType::Vwap
+                | MatchingType::Twap
+        )
+    }
+
     fn quote_quantity_limited(&self, matching_type: MatchingType) -> bool {
-        self.volume_limit || self.liquidity_limit || matching_type != MatchingType::MinuteLast
+        match matching_type {
+            MatchingType::OpenAuction
+            | MatchingType::CurrentBarClose
+            | MatchingType::NextBarOpen => false,
+            MatchingType::MinuteLast => self.volume_limit || self.liquidity_limit,
+            MatchingType::MinuteBestOwn
+            | MatchingType::MinuteBestCounterparty
+            | MatchingType::Vwap
+            | MatchingType::Twap => true,
+        }
     }
 
     fn quote_quantity_limited_for_window(
@@ -5750,6 +5791,61 @@ mod tests {
         assert!(liquidity_limited.quote_quantity_limited(MatchingType::MinuteLast));
     }
 
+    #[test]
+    fn daily_matching_does_not_require_intraday_quote_quantity() {
+        let broker = BrokerSimulator::new(ChinaAShareCostModel::default(), ChinaEquityRuleHooks)
+            .with_volume_limit(true)
+            .with_liquidity_limit(true);
+
+        assert!(!broker.quote_quantity_limited(MatchingType::OpenAuction));
+        assert!(!broker.quote_quantity_limited(MatchingType::CurrentBarClose));
+        assert!(!broker.quote_quantity_limited(MatchingType::NextBarOpen));
+        assert!(broker.quote_quantity_limited(MatchingType::MinuteLast));
+        assert!(broker.quote_quantity_limited(MatchingType::MinuteBestCounterparty));
+    }
+
+    #[test]
+    fn current_bar_close_volume_limit_uses_daily_volume_when_minute_volume_missing() {
+        let mut snapshot = limit_test_snapshot();
+        snapshot.minute_volume = 0;
+        snapshot.volume = 1_000_000;
+        snapshot.bid1_volume = 0;
+        snapshot.ask1_volume = 0;
+        let broker = BrokerSimulator::new_with_execution_price(
+            ChinaAShareCostModel::default(),
+            ChinaEquityRuleHooks,
+            PriceField::Close,
+        )
+        .with_matching_type(MatchingType::CurrentBarClose)
+        .with_volume_limit(true)
+        .with_liquidity_limit(true);
+
+        let fillable =
+            broker.market_fillable_quantity(&snapshot, OrderSide::Buy, 5_000, 100, 100, 0, false);
+
+        assert_eq!(fillable, Ok(5_000));
+    }
+
+    #[test]
+    fn current_bar_close_volume_limit_rejects_daily_zero_volume() {
+        let mut snapshot = limit_test_snapshot();
+        snapshot.minute_volume = 0;
+        snapshot.volume = 0;
+        let broker = BrokerSimulator::new_with_execution_price(
+            ChinaAShareCostModel::default(),
+            ChinaEquityRuleHooks,
+            PriceField::Close,
+        )
+        .with_matching_type(MatchingType::CurrentBarClose)
+        .with_volume_limit(true)
+        .with_liquidity_limit(false);
+
+        let fillable =
+            broker.market_fillable_quantity(&snapshot, OrderSide::Buy, 5_000, 100, 100, 0, false);
+
+        assert_eq!(fillable, Err("daily no volume".to_string()));
+    }
+
     #[test]
     fn target_value_valuation_uses_daily_snapshot_but_value_order_sizing_uses_intraday_minute() {
         let date = chrono::NaiveDate::from_ymd_opt(2025, 1, 2).expect("valid date");