修复分钟执行价缺失档位量成交

crates/fidc-core/src/broker.rs

@@ -5596,7 +5596,8 @@ where
             if remaining_qty == 0 {
                 break;
             }
-            let mut available_qty = if quote_quantity_limited {
+            let missing_level1_depth = Self::quote_lacks_level1_depth(quote);
+            let mut available_qty = if quote_quantity_limited && !missing_level1_depth {
                 let top_level_liquidity = match side {
                     OrderSide::Buy => quote.ask1_volume,
                     OrderSide::Sell => quote.bid1_volume,
@@ -5785,6 +5786,10 @@ where
         }
     }
 
+    fn quote_lacks_level1_depth(quote: &IntradayExecutionQuote) -> bool {
+        quote.volume_delta > 0 && quote.bid1_volume == 0 && quote.ask1_volume == 0
+    }
+
     fn matching_type_uses_intraday_quotes(&self) -> bool {
         matches!(
             self.matching_type,
@@ -6128,6 +6133,44 @@ mod tests {
         assert_eq!(fill.quantity, 1_200);
     }
 
+    #[test]
+    fn minute_last_uses_volume_delta_when_level1_depth_missing() {
+        let date = chrono::NaiveDate::from_ymd_opt(2025, 1, 2).expect("valid date");
+        let broker = BrokerSimulator::new(ChinaAShareCostModel::default(), ChinaEquityRuleHooks)
+            .with_matching_type(MatchingType::MinuteLast)
+            .with_volume_limit(true)
+            .with_volume_percent(0.25)
+            .with_liquidity_limit(true);
+        let mut quote = limit_test_quote(10.0, 0.0, 0.0);
+        quote.timestamp = date.and_hms_opt(10, 15, 0).expect("valid timestamp");
+        quote.volume_delta = 600;
+        quote.ask1_volume = 0;
+        quote.bid1_volume = 0;
+
+        let fill = broker
+            .select_execution_fill(
+                &limit_test_snapshot(),
+                &[quote],
+                OrderSide::Buy,
+                MatchingType::MinuteLast,
+                Some(date.and_hms_opt(10, 15, 0).expect("valid timestamp")),
+                None,
+                400,
+                100,
+                100,
+                100,
+                false,
+                None,
+                None,
+                None,
+            )
+            .expect("bar-derived minute quote fill");
+
+        assert_eq!(fill.quantity, 100);
+        assert_eq!(fill.legs.len(), 1);
+        assert_eq!(fill.legs[0].price, 10.0);
+    }
+
     #[test]
     fn minute_last_volume_limit_rejects_sub_lot_quote_volume() {
         let date = chrono::NaiveDate::from_ymd_opt(2025, 1, 2).expect("valid date");

crates/fidc-core/src/platform_expr_strategy.rs

@@ -1583,10 +1583,11 @@ impl PlatformExprStrategy {
         let constraints = self.config.risk_config.trading_constraints;
         let mut max_fill = requested_qty;
 
+        let missing_level1_depth = quote.is_some_and(Self::quote_lacks_level1_depth);
         let enforce_top_level_liquidity = quote.is_some()
             && (self.config.quote_quantity_limit || constraints.liquidity_limit_enabled)
             || quote.is_none() && constraints.liquidity_limit_enabled;
-        if enforce_top_level_liquidity {
+        if enforce_top_level_liquidity && !missing_level1_depth {
             let top_level_liquidity = match (quote, side) {
                 (Some(quote), OrderSide::Buy) => quote
                     .ask1_volume
@@ -1654,6 +1655,10 @@ impl PlatformExprStrategy {
         Some(max_fill)
     }
 
+    fn quote_lacks_level1_depth(quote: &crate::data::IntradayExecutionQuote) -> bool {
+        quote.volume_delta > 0 && quote.bid1_volume == 0 && quote.ask1_volume == 0
+    }
+
     fn projected_select_execution_fill(
         &self,
         ctx: &StrategyContext<'_>,
@@ -14086,7 +14091,7 @@ mod tests {
     fn platform_aiquant_weak_market_emits_daily_position_target_adjustment() {
         let date = d(2023, 5, 5);
         let symbol = "300621.SZ";
-        let data = DataSet::from_components(
+        let data = DataSet::from_components_with_actions_and_quotes(
             vec![Instrument {
                 symbol: symbol.to_string(),
                 name: symbol.to_string(),
@@ -14150,6 +14155,20 @@ mod tests {
                 prev_close: 999.0,
                 volume: 1_000_000,
             }],
+            Vec::new(),
+            vec![IntradayExecutionQuote {
+                date,
+                symbol: symbol.to_string(),
+                timestamp: date.and_hms_opt(10, 18, 0).expect("timestamp"),
+                last_price: 10.8,
+                bid1: 0.0,
+                ask1: 0.0,
+                bid1_volume: 0,
+                ask1_volume: 0,
+                volume_delta: 600,
+                amount_delta: 6_480.0,
+                trading_phase: Some("continuous".to_string()),
+            }],
         )
         .expect("dataset");
         let mut portfolio = PortfolioState::new(1_000_000.0);
@@ -14181,6 +14200,9 @@ mod tests {
         cfg.stock_filter_expr = "false".to_string();
         cfg.stop_loss_expr.clear();
         cfg.take_profit_expr.clear();
+        cfg.risk_config.trading_constraints.volume_limit_enabled = true;
+        cfg.risk_config.trading_constraints.liquidity_limit_enabled = true;
+        cfg.risk_config.trading_constraints.volume_percent = 0.25;
         let mut strategy = PlatformExprStrategy::new(cfg);
 
         let decision = strategy.on_day(&ctx).expect("platform decision");
@@ -14193,7 +14215,7 @@ mod tests {
                 reason
             } if intent_symbol == symbol
                 && reason == "daily_position_target_adjust"
-                && *quantity > 0
+                && *quantity == 100
         )));
     }