Align order costs and rebalance priority with rqalpha

crates/fidc-core/src/broker.rs

@@ -29,9 +29,11 @@ struct ExecutionFill {
 struct TargetConstraint {
     symbol: String,
     current_qty: u32,
+    desired_qty: u32,
     min_target_qty: u32,
     max_target_qty: u32,
     provisional_target_qty: u32,
+    target_weight: f64,
     price: f64,
     minimum_order_quantity: u32,
     order_step_size: u32,
@@ -263,6 +265,8 @@ where
         let mut intraday_turnover = BTreeMap::<String, u32>::new();
         let mut execution_cursors = BTreeMap::<String, NaiveDateTime>::new();
         let mut global_execution_cursor = None::<NaiveDateTime>;
+        let mut commission_state = BTreeMap::<u64, f64>::new();
+        let mut next_order_id = 1_u64;
         if !decision.order_intents.is_empty() {
             for intent in &decision.order_intents {
                 self.process_order_intent(
@@ -273,6 +277,8 @@ where
                     &mut intraday_turnover,
                     &mut execution_cursors,
                     &mut global_execution_cursor,
+                    &mut commission_state,
+                    &mut next_order_id,
                     &mut report,
                 )?;
             }
@@ -316,10 +322,12 @@ where
                     data,
                     &symbol,
                     requested_qty,
+                    Self::reserve_order_id(&mut next_order_id),
                     sell_reason(decision, &symbol),
                     &mut intraday_turnover,
                     &mut execution_cursors,
                     &mut global_execution_cursor,
+                    &mut commission_state,
                     &mut report,
                 )?;
             }
@@ -339,10 +347,12 @@ where
                         data,
                         &symbol,
                         requested_qty,
+                        Self::reserve_order_id(&mut next_order_id),
                         "rebalance_buy",
                         &mut intraday_turnover,
                         &mut execution_cursors,
                         &mut global_execution_cursor,
+                        &mut commission_state,
                         None,
                         &mut report,
                     )?;
@@ -363,6 +373,8 @@ where
         intraday_turnover: &mut BTreeMap<String, u32>,
         execution_cursors: &mut BTreeMap<String, NaiveDateTime>,
         global_execution_cursor: &mut Option<NaiveDateTime>,
+        commission_state: &mut BTreeMap<u64, f64>,
+        next_order_id: &mut u64,
         report: &mut BrokerExecutionReport,
     ) -> Result<(), BacktestError> {
         match intent {
@@ -376,10 +388,12 @@ where
                 data,
                 symbol,
                 *target_value,
+                next_order_id,
                 reason,
                 intraday_turnover,
                 execution_cursors,
                 global_execution_cursor,
+                commission_state,
                 report,
             ),
             OrderIntent::Value {
@@ -392,15 +406,23 @@ where
                 data,
                 symbol,
                 *value,
+                next_order_id,
                 reason,
                 intraday_turnover,
                 execution_cursors,
                 global_execution_cursor,
+                commission_state,
                 report,
             ),
         }
     }
 
+    fn reserve_order_id(next_order_id: &mut u64) -> u64 {
+        let order_id = *next_order_id;
+        *next_order_id = next_order_id.saturating_add(1);
+        order_id
+    }
+
     fn target_quantities(
         &self,
         date: NaiveDate,
@@ -409,6 +431,7 @@ where
         target_weights: &BTreeMap<String, f64>,
     ) -> Result<BTreeMap<String, u32>, BacktestError> {
         let equity = self.total_equity_at(date, portfolio, data, self.execution_price_field)?;
+        let target_weight_sum = target_weights.values().copied().sum::<f64>();
         let mut desired_targets = BTreeMap::new();
         for (symbol, weight) in target_weights {
             let price = data
@@ -477,22 +500,66 @@ where
                 );
             }
             constraints.push(TargetConstraint {
-                symbol,
+                symbol: symbol.clone(),
                 current_qty,
+                desired_qty,
                 min_target_qty,
                 max_target_qty,
                 provisional_target_qty,
+                target_weight: *target_weights.get(&symbol).unwrap_or(&0.0),
                 price,
                 minimum_order_quantity,
                 order_step_size,
             });
         }
 
+        let safety = if target_weight_sum > 0.95 { 1.2 } else { 1.0 };
         let mut targets = BTreeMap::new();
         for constraint in &constraints {
-            let mut target_qty = constraint.provisional_target_qty;
+            if constraint.provisional_target_qty > constraint.current_qty {
-            if target_qty > constraint.current_qty {
+                continue;
-                let desired_additional = target_qty - constraint.current_qty;
+            }
+            if constraint.provisional_target_qty > 0 {
+                targets.insert(constraint.symbol.clone(), constraint.provisional_target_qty);
+            }
+        }
+
+        let mut buy_constraints = constraints
+            .iter()
+            .filter(|constraint| constraint.provisional_target_qty > constraint.current_qty)
+            .collect::<Vec<_>>();
+        buy_constraints.sort_by(|lhs, rhs| {
+            rhs.target_weight
+                .partial_cmp(&lhs.target_weight)
+                .unwrap_or(std::cmp::Ordering::Equal)
+                .then_with(|| {
+                    let lhs_gap = (lhs.provisional_target_qty.saturating_sub(lhs.current_qty))
+                        as f64
+                        * lhs.price;
+                    let rhs_gap = (rhs.provisional_target_qty.saturating_sub(rhs.current_qty))
+                        as f64
+                        * rhs.price;
+                    rhs_gap
+                        .partial_cmp(&lhs_gap)
+                        .unwrap_or(std::cmp::Ordering::Equal)
+                })
+                .then_with(|| lhs.symbol.cmp(&rhs.symbol))
+        });
+
+        for constraint in buy_constraints {
+            let mut target_qty = if safety > 1.0 {
+                let scaled_desired_qty = ((constraint.desired_qty as f64) * safety).floor() as u32;
+                self.round_buy_quantity(
+                    scaled_desired_qty,
+                    constraint.minimum_order_quantity,
+                    constraint.order_step_size,
+                )
+                .clamp(constraint.current_qty, constraint.max_target_qty)
+            } else {
+                constraint.provisional_target_qty
+            };
+            target_qty = target_qty.max(constraint.current_qty);
+            let desired_additional = target_qty.saturating_sub(constraint.current_qty);
             let affordable_additional = self.affordable_buy_quantity(
                 date,
                 projected_cash,
@@ -511,7 +578,6 @@ where
                     target_qty - constraint.current_qty,
                 );
             }
-            }
 
             if target_qty > 0 {
                 targets.insert(constraint.symbol.clone(), target_qty);
@@ -631,10 +697,12 @@ where
         data: &DataSet,
         symbol: &str,
         requested_qty: u32,
+        order_id: u64,
         reason: &str,
         intraday_turnover: &mut BTreeMap<String, u32>,
         execution_cursors: &mut BTreeMap<String, NaiveDateTime>,
         global_execution_cursor: &mut Option<NaiveDateTime>,
+        commission_state: &mut BTreeMap<u64, f64>,
         report: &mut BrokerExecutionReport,
     ) -> Result<(), BacktestError> {
         let snapshot = data.require_market(date, symbol)?;
@@ -659,6 +727,7 @@ where
             };
             report.order_events.push(OrderEvent {
                 date,
+                order_id: Some(order_id),
                 symbol: symbol.to_string(),
                 side: OrderSide::Sell,
                 requested_quantity: requested_qty,
@@ -684,6 +753,7 @@ where
             Err(limit_reason) => {
                 report.order_events.push(OrderEvent {
                     date,
+                    order_id: Some(order_id),
                     symbol: symbol.to_string(),
                     side: OrderSide::Sell,
                     requested_quantity: requested_qty,
@@ -697,6 +767,7 @@ where
         if filled_qty == 0 {
             report.order_events.push(OrderEvent {
                 date,
+                order_id: Some(order_id),
                 symbol: symbol.to_string(),
                 side: OrderSide::Sell,
                 requested_quantity: requested_qty,
@@ -734,9 +805,13 @@ where
             (filled_qty, self.sell_price(snapshot))
         };
         let gross_amount = execution_price * filled_qty as f64;
-        let cost = self
+        let cost = self.cost_model.calculate_with_order_state(
-            .cost_model
+            date,
-            .calculate(date, OrderSide::Sell, gross_amount);
+            OrderSide::Sell,
+            gross_amount,
+            Some(order_id),
+            commission_state,
+        );
         let net_cash = gross_amount - cost.total();
 
         let realized_pnl = portfolio
@@ -755,6 +830,7 @@ where
 
         report.order_events.push(OrderEvent {
             date,
+            order_id: Some(order_id),
             symbol: symbol.to_string(),
             side: OrderSide::Sell,
             requested_quantity: requested_qty,
@@ -764,6 +840,7 @@ where
         });
         report.fill_events.push(FillEvent {
             date,
+            order_id: Some(order_id),
             symbol: symbol.to_string(),
             side: OrderSide::Sell,
             quantity: filled_qty,
@@ -806,10 +883,12 @@ where
         data: &DataSet,
         symbol: &str,
         target_value: f64,
+        next_order_id: &mut u64,
         reason: &str,
         intraday_turnover: &mut BTreeMap<String, u32>,
         execution_cursors: &mut BTreeMap<String, NaiveDateTime>,
         global_execution_cursor: &mut Option<NaiveDateTime>,
+        commission_state: &mut BTreeMap<u64, f64>,
         report: &mut BrokerExecutionReport,
     ) -> Result<(), BacktestError> {
         let price = data
@@ -838,10 +917,12 @@ where
                 data,
                 symbol,
                 current_qty - target_qty,
+                Self::reserve_order_id(next_order_id),
                 reason,
                 intraday_turnover,
                 execution_cursors,
                 global_execution_cursor,
+                commission_state,
                 report,
             )?;
         } else if target_qty > current_qty {
@@ -851,16 +932,19 @@ where
                 data,
                 symbol,
                 target_qty - current_qty,
+                Self::reserve_order_id(next_order_id),
                 reason,
                 intraday_turnover,
                 execution_cursors,
                 global_execution_cursor,
+                commission_state,
                 None,
                 report,
             )?;
         } else if (current_value - target_value).abs() <= f64::EPSILON {
             report.order_events.push(OrderEvent {
                 date,
+                order_id: None,
                 symbol: symbol.to_string(),
                 side: if current_qty > 0 {
                     OrderSide::Sell
@@ -884,10 +968,12 @@ where
         data: &DataSet,
         symbol: &str,
         value: f64,
+        next_order_id: &mut u64,
         reason: &str,
         intraday_turnover: &mut BTreeMap<String, u32>,
         execution_cursors: &mut BTreeMap<String, NaiveDateTime>,
         global_execution_cursor: &mut Option<NaiveDateTime>,
+        commission_state: &mut BTreeMap<u64, f64>,
         report: &mut BrokerExecutionReport,
     ) -> Result<(), BacktestError> {
         if value.abs() <= f64::EPSILON {
@@ -928,10 +1014,12 @@ where
                 data,
                 symbol,
                 requested_qty,
+                Self::reserve_order_id(next_order_id),
                 reason,
                 intraday_turnover,
                 execution_cursors,
                 global_execution_cursor,
+                commission_state,
                 Some(value.abs()),
                 report,
             )
@@ -948,10 +1036,12 @@ where
                 data,
                 symbol,
                 requested_qty,
+                Self::reserve_order_id(next_order_id),
                 reason,
                 intraday_turnover,
                 execution_cursors,
                 global_execution_cursor,
+                commission_state,
                 report,
             )
         }
@@ -980,10 +1070,12 @@ where
         data: &DataSet,
         symbol: &str,
         requested_qty: u32,
+        order_id: u64,
         reason: &str,
         intraday_turnover: &mut BTreeMap<String, u32>,
         execution_cursors: &mut BTreeMap<String, NaiveDateTime>,
         global_execution_cursor: &mut Option<NaiveDateTime>,
+        commission_state: &mut BTreeMap<u64, f64>,
         value_budget: Option<f64>,
         report: &mut BrokerExecutionReport,
     ) -> Result<(), BacktestError> {
@@ -996,6 +1088,7 @@ where
         if !rule.allowed {
             report.order_events.push(OrderEvent {
                 date,
+                order_id: Some(order_id),
                 symbol: symbol.to_string(),
                 side: OrderSide::Buy,
                 requested_quantity: requested_qty,
@@ -1020,6 +1113,7 @@ where
             Err(limit_reason) => {
                 report.order_events.push(OrderEvent {
                     date,
+                    order_id: Some(order_id),
                     symbol: symbol.to_string(),
                     side: OrderSide::Buy,
                     requested_quantity: requested_qty,
@@ -1069,6 +1163,7 @@ where
         if filled_qty == 0 {
             report.order_events.push(OrderEvent {
                 date,
+                order_id: Some(order_id),
                 symbol: symbol.to_string(),
                 side: OrderSide::Buy,
                 requested_quantity: requested_qty,
@@ -1081,9 +1176,13 @@ where
 
         let cash_before = portfolio.cash();
         let gross_amount = execution_price * filled_qty as f64;
-        let cost = self
+        let cost = self.cost_model.calculate_with_order_state(
-            .cost_model
+            date,
-            .calculate(date, OrderSide::Buy, gross_amount);
+            OrderSide::Buy,
+            gross_amount,
+            Some(order_id),
+            commission_state,
+        );
         let cash_out = gross_amount + cost.total();
 
         portfolio.apply_cash_delta(-cash_out);
@@ -1100,6 +1199,7 @@ where
 
         report.order_events.push(OrderEvent {
             date,
+            order_id: Some(order_id),
             symbol: symbol.to_string(),
             side: OrderSide::Buy,
             requested_quantity: requested_qty,
@@ -1109,6 +1209,7 @@ where
         });
         report.fill_events.push(FillEvent {
             date,
+            order_id: Some(order_id),
             symbol: symbol.to_string(),
             side: OrderSide::Buy,
             quantity: filled_qty,

crates/fidc-core/src/cost.rs

@@ -1,3 +1,5 @@
+use std::collections::BTreeMap;
+
 use chrono::NaiveDate;
 
 use crate::events::OrderSide;
@@ -18,6 +20,17 @@ impl TradingCost {
 
 pub trait CostModel {
     fn calculate(&self, date: NaiveDate, side: OrderSide, gross_amount: f64) -> TradingCost;
+
+    fn calculate_with_order_state(
+        &self,
+        date: NaiveDate,
+        side: OrderSide,
+        gross_amount: f64,
+        _order_id: Option<u64>,
+        _commission_state: &mut BTreeMap<u64, f64>,
+    ) -> TradingCost {
+        self.calculate(date, side, gross_amount)
+    }
 }
 
 #[derive(Debug, Clone, Copy)]
@@ -67,6 +80,43 @@ impl ChinaAShareCostModel {
         }
         gross_amount * self.stamp_tax_rate_for(date)
     }
+
+    pub fn commission_for_order_fill(
+        &self,
+        gross_amount: f64,
+        order_id: Option<u64>,
+        commission_state: &mut BTreeMap<u64, f64>,
+    ) -> f64 {
+        if gross_amount <= 0.0 {
+            return 0.0;
+        }
+
+        let raw_commission = gross_amount * self.commission_rate;
+        let Some(order_id) = order_id else {
+            return raw_commission.max(self.minimum_commission);
+        };
+
+        let remaining_minimum = commission_state
+            .entry(order_id)
+            .or_insert(self.minimum_commission);
+        if raw_commission > *remaining_minimum {
+            let charged = if (*remaining_minimum - self.minimum_commission).abs() < 1e-12 {
+                raw_commission
+            } else {
+                raw_commission - *remaining_minimum
+            };
+            *remaining_minimum = 0.0;
+            charged
+        } else {
+            let charged = if (*remaining_minimum - self.minimum_commission).abs() < 1e-12 {
+                self.minimum_commission
+            } else {
+                0.0
+            };
+            *remaining_minimum -= raw_commission;
+            charged
+        }
+    }
 }
 
 impl CostModel for ChinaAShareCostModel {
@@ -86,4 +136,28 @@ impl CostModel for ChinaAShareCostModel {
             stamp_tax,
         }
     }
+
+    fn calculate_with_order_state(
+        &self,
+        date: NaiveDate,
+        side: OrderSide,
+        gross_amount: f64,
+        order_id: Option<u64>,
+        commission_state: &mut BTreeMap<u64, f64>,
+    ) -> TradingCost {
+        if gross_amount <= 0.0 {
+            return TradingCost {
+                commission: 0.0,
+                stamp_tax: 0.0,
+            };
+        }
+
+        let commission = self.commission_for_order_fill(gross_amount, order_id, commission_state);
+        let stamp_tax = self.stamp_tax_for(date, side, gross_amount);
+
+        TradingCost {
+            commission,
+            stamp_tax,
+        }
+    }
 }

crates/fidc-core/src/engine.rs

@@ -6,7 +6,7 @@ use crate::broker::{BrokerExecutionReport, BrokerSimulator};
 use crate::cost::CostModel;
 use crate::data::{BenchmarkSnapshot, DataSet, DataSetError, PriceField};
 use crate::events::{AccountEvent, FillEvent, OrderEvent, OrderSide, OrderStatus, PositionEvent};
-use crate::metrics::{compute_backtest_metrics, BacktestMetrics};
+use crate::metrics::{BacktestMetrics, compute_backtest_metrics};
 use crate::portfolio::{CashReceivable, HoldingSummary, PortfolioState};
 use crate::rules::EquityRuleHooks;
 use crate::strategy::{Strategy, StrategyContext};
@@ -574,6 +574,7 @@ where
             notes.push(reason.clone());
             report.order_events.push(OrderEvent {
                 date,
+                order_id: None,
                 symbol: symbol.clone(),
                 side: OrderSide::Sell,
                 requested_quantity: quantity,
@@ -583,6 +584,7 @@ where
             });
             report.fill_events.push(FillEvent {
                 date,
+                order_id: None,
                 symbol: symbol.clone(),
                 side: OrderSide::Sell,
                 quantity,

crates/fidc-core/src/events.rs

@@ -41,6 +41,8 @@ pub enum OrderStatus {
 pub struct OrderEvent {
     #[serde(with = "date_format")]
     pub date: NaiveDate,
+    #[serde(default)]
+    pub order_id: Option<u64>,
     pub symbol: String,
     pub side: OrderSide,
     pub requested_quantity: u32,
@@ -53,6 +55,8 @@ pub struct OrderEvent {
 pub struct FillEvent {
     #[serde(with = "date_format")]
     pub date: NaiveDate,
+    #[serde(default)]
+    pub order_id: Option<u64>,
     pub symbol: String,
     pub side: OrderSide,
     pub quantity: u32,

crates/fidc-core/tests/core_rules.rs

@@ -1,3 +1,5 @@
+use std::collections::BTreeMap;
+
 use chrono::NaiveDate;
 use fidc_core::cost::CostModel;
 use fidc_core::rules::EquityRuleHooks;
@@ -74,6 +76,46 @@ fn china_cost_model_switches_stamp_tax_rate_after_2023_08_28() {
     assert!((after.stamp_tax - 50.0).abs() < 1e-9);
 }
 
+#[test]
+fn china_cost_model_tracks_minimum_commission_per_order_id() {
+    let model = ChinaAShareCostModel::default();
+    let mut commission_state = BTreeMap::new();
+
+    let first = model.calculate_with_order_state(
+        d(2024, 1, 3),
+        OrderSide::Buy,
+        1_000.0,
+        Some(7),
+        &mut commission_state,
+    );
+    let second = model.calculate_with_order_state(
+        d(2024, 1, 3),
+        OrderSide::Buy,
+        1_000.0,
+        Some(7),
+        &mut commission_state,
+    );
+    let third = model.calculate_with_order_state(
+        d(2024, 1, 3),
+        OrderSide::Buy,
+        20_000.0,
+        Some(7),
+        &mut commission_state,
+    );
+    let another_order = model.calculate_with_order_state(
+        d(2024, 1, 3),
+        OrderSide::Buy,
+        1_000.0,
+        Some(8),
+        &mut commission_state,
+    );
+
+    assert!((first.commission - 5.0).abs() < 1e-9);
+    assert!(second.commission.abs() < 1e-9);
+    assert!((third.commission - 1.6).abs() < 1e-9);
+    assert!((another_order.commission - 5.0).abs() < 1e-9);
+}
+
 #[test]
 fn china_rule_hooks_block_same_day_sell_under_t_plus_one() {
     let hooks = ChinaEquityRuleHooks;
@@ -107,11 +149,13 @@ fn china_rule_hooks_block_buy_at_limit_up_and_sell_at_limit_down() {
         PriceField::Open,
     );
     assert!(!buy_check.allowed);
-    assert!(buy_check
+    assert!(
+        buy_check
             .reason
             .as_deref()
             .unwrap_or_default()
-        .contains("upper limit"));
+            .contains("upper limit")
+    );
 
     let sell_check = hooks.can_sell(
         d(2024, 1, 3),
@@ -121,11 +165,13 @@ fn china_rule_hooks_block_buy_at_limit_up_and_sell_at_limit_down() {
         PriceField::Open,
     );
     assert!(!sell_check.allowed);
-    assert!(sell_check
+    assert!(
+        sell_check
             .reason
             .as_deref()
             .unwrap_or_default()
-        .contains("lower limit"));
+            .contains("lower limit")
+    );
 }
 
 #[test]

crates/fidc-core/tests/explicit_order_flow.rs

@@ -477,6 +477,179 @@ fn rebalance_optimizer_skips_unfunded_buy_when_existing_position_cannot_sell() {
     );
 }
 
+#[test]
+fn rebalance_optimizer_prioritizes_higher_target_weight_when_cash_is_tight() {
+    let date = NaiveDate::from_ymd_opt(2024, 1, 10).unwrap();
+    let data = DataSet::from_components(
+        vec![
+            Instrument {
+                symbol: "000001.SZ".to_string(),
+                name: "LowerWeight".to_string(),
+                board: "SZ".to_string(),
+                round_lot: 100,
+                listed_at: None,
+                delisted_at: None,
+                status: "active".to_string(),
+            },
+            Instrument {
+                symbol: "000002.SZ".to_string(),
+                name: "HigherWeight".to_string(),
+                board: "SZ".to_string(),
+                round_lot: 100,
+                listed_at: None,
+                delisted_at: None,
+                status: "active".to_string(),
+            },
+        ],
+        vec![
+            DailyMarketSnapshot {
+                date,
+                symbol: "000001.SZ".to_string(),
+                timestamp: Some("2024-01-10 10:18:00".to_string()),
+                day_open: 10.0,
+                open: 10.0,
+                high: 10.1,
+                low: 9.9,
+                close: 10.0,
+                last_price: 10.0,
+                bid1: 9.99,
+                ask1: 10.01,
+                prev_close: 10.0,
+                volume: 100_000,
+                tick_volume: 100_000,
+                bid1_volume: 80_000,
+                ask1_volume: 80_000,
+                trading_phase: Some("continuous".to_string()),
+                paused: false,
+                upper_limit: 11.0,
+                lower_limit: 9.0,
+                price_tick: 0.01,
+            },
+            DailyMarketSnapshot {
+                date,
+                symbol: "000002.SZ".to_string(),
+                timestamp: Some("2024-01-10 10:18:00".to_string()),
+                day_open: 10.0,
+                open: 10.0,
+                high: 10.1,
+                low: 9.9,
+                close: 10.0,
+                last_price: 10.0,
+                bid1: 9.99,
+                ask1: 10.01,
+                prev_close: 10.0,
+                volume: 100_000,
+                tick_volume: 100_000,
+                bid1_volume: 80_000,
+                ask1_volume: 80_000,
+                trading_phase: Some("continuous".to_string()),
+                paused: false,
+                upper_limit: 11.0,
+                lower_limit: 9.0,
+                price_tick: 0.01,
+            },
+        ],
+        vec![
+            DailyFactorSnapshot {
+                date,
+                symbol: "000001.SZ".to_string(),
+                market_cap_bn: 50.0,
+                free_float_cap_bn: 45.0,
+                pe_ttm: 15.0,
+                turnover_ratio: Some(2.0),
+                effective_turnover_ratio: Some(1.8),
+                extra_factors: BTreeMap::new(),
+            },
+            DailyFactorSnapshot {
+                date,
+                symbol: "000002.SZ".to_string(),
+                market_cap_bn: 60.0,
+                free_float_cap_bn: 50.0,
+                pe_ttm: 18.0,
+                turnover_ratio: Some(2.0),
+                effective_turnover_ratio: Some(1.8),
+                extra_factors: BTreeMap::new(),
+            },
+        ],
+        vec![
+            CandidateEligibility {
+                date,
+                symbol: "000001.SZ".to_string(),
+                is_st: false,
+                is_new_listing: false,
+                is_paused: false,
+                allow_buy: true,
+                allow_sell: true,
+                is_kcb: false,
+                is_one_yuan: false,
+            },
+            CandidateEligibility {
+                date,
+                symbol: "000002.SZ".to_string(),
+                is_st: false,
+                is_new_listing: false,
+                is_paused: false,
+                allow_buy: true,
+                allow_sell: true,
+                is_kcb: false,
+                is_one_yuan: false,
+            },
+        ],
+        vec![BenchmarkSnapshot {
+            date,
+            benchmark: "000300.SH".to_string(),
+            open: 100.0,
+            close: 100.0,
+            prev_close: 99.0,
+            volume: 1_000_000,
+        }],
+    )
+    .expect("dataset");
+    let mut portfolio = PortfolioState::new(10_000.0);
+    let broker = BrokerSimulator::new_with_execution_price(
+        ChinaAShareCostModel::default(),
+        ChinaEquityRuleHooks::default(),
+        PriceField::Open,
+    );
+
+    let report = broker
+        .execute(
+            date,
+            &mut portfolio,
+            &data,
+            &StrategyDecision {
+                rebalance: true,
+                target_weights: BTreeMap::from([
+                    ("000001.SZ".to_string(), 0.2),
+                    ("000002.SZ".to_string(), 0.8),
+                ]),
+                exit_symbols: BTreeSet::new(),
+                order_intents: Vec::new(),
+                notes: Vec::new(),
+                diagnostics: Vec::new(),
+            },
+        )
+        .expect("broker execution");
+
+    assert_eq!(
+        portfolio
+            .position("000002.SZ")
+            .map(|position| position.quantity)
+            .unwrap_or(0),
+        900
+    );
+    assert!(
+        portfolio.position("000001.SZ").is_none(),
+        "higher target weight should consume the limited rebalance cash first"
+    );
+    assert!(
+        report
+            .order_events
+            .iter()
+            .any(|event| event.symbol == "000002.SZ" && event.side == fidc_core::OrderSide::Buy)
+    );
+}
+
 #[test]
 fn broker_uses_board_specific_min_quantity_and_step_size_for_buy_sizing() {
     let date = NaiveDate::from_ymd_opt(2024, 1, 10).unwrap();