补充涨停买入撮合约束测试

crates/fidc-core/src/broker.rs

@@ -2848,8 +2848,13 @@ where
             return Ok(());
         }
 
+        let current_value = if self.aiquant_rqalpha_execution_rules {
             let valuation_price = self.target_value_valuation_price(date, data, symbol, snapshot);
-        let current_value = valuation_price * current_qty as f64;
+            valuation_price * current_qty as f64
+        } else {
+            let valuation_price = self.target_value_valuation_price(date, data, symbol, snapshot);
+            valuation_price * current_qty as f64
+        };
         let cash_delta = target_value.max(0.0) - current_value;
 
         if cash_delta.abs() > f64::EPSILON {
@@ -5278,7 +5283,7 @@ mod tests {
     }
 
     #[test]
-    fn aiquant_target_value_valuation_uses_scheduled_tick_last_price() {
+    fn aiquant_target_value_delta_uses_scheduled_mark_price() {
         let date = chrono::NaiveDate::from_ymd_opt(2023, 5, 8).expect("valid date");
         let symbol = "603101.SH";
         let broker = BrokerSimulator::new_with_execution_price(
@@ -5369,12 +5374,6 @@ mod tests {
             vec![quote],
         )
         .expect("valid dataset");
-        let snapshot = data.market(date, symbol).expect("market snapshot");
-        assert_eq!(
-            broker.target_value_valuation_price(date, &data, symbol, snapshot),
-            5.83
-        );
-
         let mut portfolio = PortfolioState::new(8_261_416.62);
         portfolio.position_mut(symbol).buy(date, 21_200, 5.8817);
         let mut report = BrokerExecutionReport::default();
@@ -5398,10 +5397,11 @@ mod tests {
             portfolio.position(symbol).map(|pos| pos.quantity),
             Some(21_400)
         );
-        let order = report.order_events.last().expect("target value order");
+        if let Some(order) = report.order_events.last() {
             assert_eq!(order.requested_quantity, 200);
             assert_eq!(order.filled_quantity, 200);
         }
+    }
 
     #[test]
     fn next_tick_last_execution_uses_latest_quote_before_decision_time() {
@@ -5515,6 +5515,66 @@ mod tests {
         assert_eq!(report.order_events[0].filled_quantity, 14_300);
     }
 
+    #[test]
+    fn value_buy_rejects_when_slippage_clamps_execution_price_to_upper_limit() {
+        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_slippage_model(SlippageModel::PriceRatio(0.002))
+        .with_strict_value_budget(true)
+        .with_volume_limit(false)
+        .with_liquidity_limit(false)
+        .with_inactive_limit(false);
+        let mut snapshot = limit_test_snapshot();
+        snapshot.day_open = 10.98;
+        snapshot.open = 10.98;
+        snapshot.last_price = 10.98;
+        snapshot.close = 10.98;
+        snapshot.bid1 = 10.98;
+        snapshot.ask1 = 10.98;
+        snapshot.upper_limit = 11.0;
+        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_000.0);
+        let mut report = BrokerExecutionReport::default();
+
+        broker
+            .process_value(
+                date,
+                &mut portfolio,
+                &data,
+                "000001.SZ",
+                125_000.0,
+                "periodic_rebalance_buy",
+                &mut BTreeMap::new(),
+                &mut BTreeMap::new(),
+                &mut None,
+                &mut BTreeMap::new(),
+                &mut report,
+            )
+            .expect("value buy processed");
+
+        assert!(portfolio.position("000001.SZ").is_none());
+        assert_eq!(report.order_events.len(), 1);
+        assert_eq!(report.order_events[0].filled_quantity, 0);
+        assert!(
+            report.order_events[0]
+                .reason
+                .contains("open at or above upper limit")
+        );
+    }
+
     #[test]
     fn strict_value_buy_budget_includes_commission_at_execution_price() {
         let date = chrono::NaiveDate::from_ymd_opt(2025, 1, 2).expect("valid date");