修正目标金额零数量虚假订单

crates/fidc-core/src/broker.rs

@@ -4291,6 +4291,15 @@ where
                 execution_cursors,
                 *global_execution_cursor,
             );
+            if requested_qty == 0 {
+                report.diagnostics.push(format!(
+                    "value_order_skipped symbol={symbol} side=buy reason=below_executable_quantity value={} minimum_order_quantity={} order_step_size={} intent_reason={reason}",
+                    value.abs(),
+                    minimum_order_quantity,
+                    order_step_size,
+                ));
+                return Ok(());
+            }
             self.process_buy(
                 date,
                 portfolio,
@@ -4312,11 +4321,22 @@ where
             )
         } else {
             let price = self.value_sell_sizing_price(date, data, symbol, snapshot);
+            let minimum_order_quantity = self.minimum_order_quantity(data, symbol);
+            let order_step_size = self.order_step_size(data, symbol);
             let requested_qty = self.round_buy_quantity(
                 ((value.abs()) / price).floor() as u32,
-                self.minimum_order_quantity(data, symbol),
-                self.order_step_size(data, symbol),
+                minimum_order_quantity,
+                order_step_size,
             );
+            if requested_qty == 0 {
+                report.diagnostics.push(format!(
+                    "value_order_skipped symbol={symbol} side=sell reason=below_executable_quantity value={} minimum_order_quantity={} order_step_size={} intent_reason={reason}",
+                    value.abs(),
+                    minimum_order_quantity,
+                    order_step_size,
+                ));
+                return Ok(());
+            }
             self.process_sell(
                 date,
                 portfolio,
@@ -7495,6 +7515,93 @@ mod tests {
         assert_eq!(portfolio.position("000001.SZ").unwrap().quantity, 2_000);
     }
 
+    #[test]
+    fn target_value_delta_below_order_step_is_audited_without_creating_zero_quantity_order() {
+        let date = chrono::NaiveDate::from_ymd_opt(2025, 1, 2).expect("valid date");
+        let broker = BrokerSimulator::new_with_execution_price(
+            ChinaAShareCostModel::default(),
+            ChinaEquityRuleHooks,
+            PriceField::Open,
+        )
+        .with_matching_type(MatchingType::NextBarOpen)
+        .with_volume_limit(false)
+        .with_liquidity_limit(false)
+        .with_inactive_limit(false);
+        let mut snapshot = limit_test_snapshot();
+        snapshot.date = date;
+        snapshot.prev_close = 10.0;
+        snapshot.open = 10.0;
+        snapshot.close = 10.0;
+        let data = DataSet::from_components_with_actions_and_quotes(
+            vec![limit_test_instrument()],
+            vec![snapshot],
+            Vec::new(),
+            vec![limit_test_candidate(true, true)],
+            vec![limit_test_benchmark()],
+            Vec::new(),
+            Vec::new(),
+        )
+        .expect("valid dataset");
+        let mut portfolio = PortfolioState::new(10_000.0);
+        portfolio.position_mut("000001.SZ").buy(
+            date.pred_opt().expect("previous date"),
+            1_000,
+            10.0,
+        );
+        portfolio.apply_cash_delta(-10_000.0);
+        let mut report = BrokerExecutionReport::default();
+
+        broker
+            .process_target_value(
+                date,
+                &mut portfolio,
+                &data,
+                "000001.SZ",
+                9_995.0,
+                "sub_lot_target_adjust",
+                &mut BTreeMap::new(),
+                &mut BTreeMap::new(),
+                &mut None,
+                &mut BTreeMap::new(),
+                &mut report,
+            )
+            .expect("target value execution");
+
+        assert!(report.order_events.is_empty());
+        assert!(report.fill_events.is_empty());
+        assert_eq!(portfolio.position("000001.SZ").unwrap().quantity, 1_000);
+        assert!(report.diagnostics.iter().any(|diagnostic| {
+            diagnostic.contains("value_order_skipped symbol=000001.SZ side=sell")
+                && diagnostic.contains("reason=below_executable_quantity")
+        }));
+
+        let mut buy_portfolio = PortfolioState::new(10_000.0);
+        let mut buy_report = BrokerExecutionReport::default();
+        broker
+            .process_target_value(
+                date,
+                &mut buy_portfolio,
+                &data,
+                "000001.SZ",
+                995.0,
+                "sub_lot_target_open",
+                &mut BTreeMap::new(),
+                &mut BTreeMap::new(),
+                &mut None,
+                &mut BTreeMap::new(),
+                &mut buy_report,
+            )
+            .expect("target value execution");
+
+        assert!(buy_report.order_events.is_empty());
+        assert!(buy_report.fill_events.is_empty());
+        assert!(buy_portfolio.position("000001.SZ").is_none());
+        assert!(buy_report.diagnostics.iter().any(|diagnostic| {
+            diagnostic.contains("value_order_skipped symbol=000001.SZ side=buy")
+                && diagnostic.contains("reason=below_executable_quantity")
+        }));
+    }
+
     #[test]
     fn target_percent_reduction_from_full_to_twenty_percent_sells_eighty_percent() {
         let date = chrono::NaiveDate::from_ymd_opt(2025, 1, 2).expect("valid date");