chore: 更新 fidc-backtest-engine - 2026-05-13

crates/fidc-core/src/broker.rs

@@ -2919,6 +2919,7 @@ where
             let order_step_size = self.order_step_size(data, symbol);
             let price = self.sizing_price(snapshot);
             let snapshot_requested_qty = self.value_buy_quantity(
+                date,
                 value.abs(),
                 price,
                 minimum_order_quantity,
@@ -3014,6 +3015,7 @@ where
             let order_step_size = self.order_step_size(data, symbol);
             let price = self.sizing_price(snapshot);
             let snapshot_requested_qty = self.value_buy_quantity(
+                date,
                 value.abs(),
                 price,
                 minimum_order_quantity,
@@ -3181,6 +3183,7 @@ where
             let order_step_size = self.order_step_size(data, symbol);
             let price = self.sizing_price(snapshot);
             let snapshot_requested_qty = self.value_buy_quantity(
+                date,
                 value.abs(),
                 price,
                 minimum_order_quantity,
@@ -4066,6 +4069,7 @@ where
 
     fn value_buy_quantity(
         &self,
+        date: NaiveDate,
         value_budget: f64,
         price: f64,
         minimum_order_quantity: u32,
@@ -4075,13 +4079,17 @@ where
             return 0;
         }
         let minimum = minimum_order_quantity.max(1);
-        let step = order_step_size.max(1);
-        if price * minimum as f64 > value_budget + 1e-6 {
-            return 0;
+        let raw_quantity = (value_budget / price).floor() as u32;
+        let mut quantity =
+            self.round_buy_quantity(raw_quantity, minimum_order_quantity, order_step_size);
+        while quantity >= minimum {
+            if self.estimated_buy_cash_out(date, price, quantity) <= value_budget + 1e-6 {
+                return quantity;
+            }
+            quantity =
+                self.decrement_order_quantity(quantity, minimum_order_quantity, order_step_size);
         }
-        let raw_steps = (value_budget / price / step as f64).round();
-        let requested = ((raw_steps.max(1.0) as u32) * step).max(minimum);
-        self.round_buy_quantity(requested, minimum_order_quantity, order_step_size)
+        0
     }
 
     fn decrement_order_quantity(
@@ -4364,13 +4372,15 @@ where
             return None;
         }
 
+        let quote_quantity_limited = self.quote_quantity_limited(matching_type);
         let lot = round_lot.max(1);
         let eligible_quotes: Vec<&IntradayExecutionQuote> = quotes
             .iter()
             .filter(|quote| {
                 !start_cursor.is_some_and(|cursor| quote.timestamp < cursor)
                     && !end_cursor.is_some_and(|cursor| quote.timestamp > cursor)
-                    && self.quote_has_executable_liquidity(quote, side, matching_type)
+                    && (!quote_quantity_limited
+                        || self.quote_has_executable_liquidity(quote, side, matching_type))
             })
             .collect();
         let mut filled_qty = 0_u32;
@@ -4398,21 +4408,26 @@ where
                 continue;
             }
             let quote_price = self.execution_price_with_limit_slippage(quote_price, limit_price);
-            let top_level_liquidity = match side {
-                OrderSide::Buy => quote.ask1_volume,
-                OrderSide::Sell => quote.bid1_volume,
-            };
-            let available_qty = top_level_liquidity
-                .saturating_mul(lot as u64)
-                .min(u32::MAX as u64) as u32;
-            if available_qty == 0 {
-                continue;
-            }
 
             let remaining_qty = requested_qty.saturating_sub(filled_qty);
             if remaining_qty == 0 {
                 break;
             }
+            let available_qty = if quote_quantity_limited {
+                let top_level_liquidity = match side {
+                    OrderSide::Buy => quote.ask1_volume,
+                    OrderSide::Sell => quote.bid1_volume,
+                };
+                top_level_liquidity
+                    .saturating_mul(lot as u64)
+                    .min(u32::MAX as u64) as u32
+            } else {
+                remaining_qty
+            };
+            if available_qty == 0 {
+                continue;
+            }
+
             let mut take_qty = if matching_type == MatchingType::Twap {
                 let remaining_quotes = (eligible_quotes.len() - quote_index) as u32;
                 let scheduled_qty =
@@ -4514,6 +4529,10 @@ where
         }
     }
 
+    fn quote_quantity_limited(&self, matching_type: MatchingType) -> bool {
+        self.volume_limit || self.liquidity_limit || matching_type != MatchingType::NextTickLast
+    }
+
     fn uses_serial_execution_cursor(&self, reason: &str) -> bool {
         let _ = reason;
         false
@@ -4579,3 +4598,35 @@ fn sell_reason(decision: &StrategyDecision, symbol: &str) -> &'static str {
         "rebalance_sell"
     }
 }
+
+#[cfg(test)]
+mod tests {
+    use super::{BrokerSimulator, MatchingType};
+    use crate::cost::ChinaAShareCostModel;
+    use crate::rules::ChinaEquityRuleHooks;
+
+    #[test]
+    fn next_tick_last_without_volume_or_liquidity_limit_does_not_cap_quote_quantity() {
+        let broker = BrokerSimulator::new(ChinaAShareCostModel::default(), ChinaEquityRuleHooks)
+            .with_volume_limit(false)
+            .with_liquidity_limit(false);
+
+        assert!(!broker.quote_quantity_limited(MatchingType::NextTickLast));
+        assert!(broker.quote_quantity_limited(MatchingType::CounterpartyOffer));
+    }
+
+    #[test]
+    fn next_tick_last_keeps_quote_quantity_cap_when_limits_enabled() {
+        let volume_limited =
+            BrokerSimulator::new(ChinaAShareCostModel::default(), ChinaEquityRuleHooks)
+                .with_volume_limit(true)
+                .with_liquidity_limit(false);
+        let liquidity_limited =
+            BrokerSimulator::new(ChinaAShareCostModel::default(), ChinaEquityRuleHooks)
+                .with_volume_limit(false)
+                .with_liquidity_limit(true);
+
+        assert!(volume_limited.quote_quantity_limited(MatchingType::NextTickLast));
+        assert!(liquidity_limited.quote_quantity_limited(MatchingType::NextTickLast));
+    }
+}

crates/fidc-core/src/cost.rs

@@ -44,7 +44,7 @@ pub struct ChinaAShareCostModel {
 impl Default for ChinaAShareCostModel {
     fn default() -> Self {
         Self {
-            commission_rate: 0.0003,
+            commission_rate: 0.0008,
             stamp_tax_rate_before_change: 0.001,
             stamp_tax_rate_after_change: 0.0005,
             minimum_commission: 5.0,

crates/fidc-core/src/platform_expr_strategy.rs

@@ -822,13 +822,18 @@ impl PlatformExprStrategy {
             return 0;
         }
         let minimum = minimum_order_quantity.max(1);
-        let step = order_step_size.max(1);
-        if price * minimum as f64 > value_budget + 1e-6 {
-            return 0;
+        let raw_quantity = (value_budget / price).floor() as u32;
+        let mut quantity =
+            self.round_lot_quantity(raw_quantity, minimum_order_quantity, order_step_size);
+        while quantity >= minimum {
+            let gross_amount = price * quantity as f64;
+            if gross_amount + self.buy_commission(gross_amount) <= value_budget + 1e-6 {
+                return quantity;
+            }
+            quantity =
+                self.decrement_order_quantity(quantity, minimum_order_quantity, order_step_size);
         }
-        let raw_steps = (value_budget / price / step as f64).round();
-        let requested = ((raw_steps.max(1.0) as u32) * step).max(minimum);
-        self.round_lot_quantity(requested, minimum_order_quantity, order_step_size)
+        0
     }
 
     fn decrement_order_quantity(
@@ -5093,6 +5098,16 @@ mod tests {
         assert!(!rewritten.contains('?'));
     }
 
+    #[test]
+    fn platform_order_value_quantity_includes_buy_commission_budget() {
+        let strategy = PlatformExprStrategy::new(PlatformExprStrategyConfig::microcap_rotation());
+
+        assert_eq!(strategy.value_buy_quantity(4_000.0, 20.38, 100, 100), 100);
+        assert_eq!(strategy.value_buy_quantity(4_000.0, 15.20, 100, 100), 200);
+        assert_eq!(strategy.value_buy_quantity(4_000.0, 28.85, 100, 100), 100);
+        assert_eq!(strategy.value_buy_quantity(4_000.0, 37.40, 100, 100), 100);
+    }
+
     fn sample_calendar() -> TradingCalendar {
         TradingCalendar::new(vec![
             d(2025, 1, 30),

crates/fidc-core/tests/core_rules.rs

@@ -61,7 +61,7 @@ fn china_cost_model_applies_minimum_commission_and_stamp_tax() {
     assert_eq!(buy.stamp_tax, 0.0);
 
     let sell = model.calculate(d(2023, 8, 25), OrderSide::Sell, 100_000.0);
-    assert!((sell.commission - 30.0).abs() < 1e-9);
+    assert!((sell.commission - 80.0).abs() < 1e-9);
     assert!((sell.stamp_tax - 100.0).abs() < 1e-9);
 }
 
@@ -112,7 +112,7 @@ fn china_cost_model_tracks_minimum_commission_per_order_id() {
 
     assert!((first.commission - 5.0).abs() < 1e-9);
     assert!(second.commission.abs() < 1e-9);
-    assert!((third.commission - 1.6).abs() < 1e-9);
+    assert!((third.commission - 12.6).abs() < 1e-9);
     assert!((another_order.commission - 5.0).abs() < 1e-9);
 }