修复回测撮合与AiQuant兼容语义

crates/fidc-core/src/broker.rs

@@ -111,6 +111,7 @@ pub struct BrokerSimulator<C, R> {
     inactive_limit: bool,
     liquidity_limit: bool,
     strict_value_budget: bool,
+    same_day_buy_close_mark_at_fill: bool,
     intraday_execution_start_time: Option<NaiveTime>,
     runtime_intraday_start_time: Cell<Option<NaiveTime>>,
     runtime_intraday_end_time: Cell<Option<NaiveTime>>,
@@ -132,6 +133,7 @@ impl<C, R> BrokerSimulator<C, R> {
             inactive_limit: true,
             liquidity_limit: true,
             strict_value_budget: false,
+            same_day_buy_close_mark_at_fill: false,
             intraday_execution_start_time: None,
             runtime_intraday_start_time: Cell::new(None),
             runtime_intraday_end_time: Cell::new(None),
@@ -157,6 +159,7 @@ impl<C, R> BrokerSimulator<C, R> {
             inactive_limit: true,
             liquidity_limit: true,
             strict_value_budget: false,
+            same_day_buy_close_mark_at_fill: false,
             intraday_execution_start_time: None,
             runtime_intraday_start_time: Cell::new(None),
             runtime_intraday_end_time: Cell::new(None),
@@ -185,6 +188,15 @@ impl<C, R> BrokerSimulator<C, R> {
         self
     }
 
+    pub fn with_same_day_buy_close_mark_at_fill(mut self, enabled: bool) -> Self {
+        self.same_day_buy_close_mark_at_fill = enabled;
+        self
+    }
+
+    pub fn same_day_buy_close_mark_at_fill(&self) -> bool {
+        self.same_day_buy_close_mark_at_fill
+    }
+
     pub fn with_volume_percent(mut self, volume_percent: f64) -> Self {
         self.volume_percent = volume_percent;
         self
@@ -252,6 +264,34 @@ where
         snapshot.price(self.execution_price_field)
     }
 
+    fn value_buy_sizing_price(
+        &self,
+        date: NaiveDate,
+        data: &DataSet,
+        symbol: &str,
+        snapshot: &crate::data::DailyMarketSnapshot,
+    ) -> f64 {
+        let start_cursor = self
+            .runtime_intraday_start_time
+            .get()
+            .or(self.intraday_execution_start_time)
+            .map(|start_time| date.and_time(start_time));
+        data.execution_quotes_on(date, symbol)
+            .iter()
+            .filter(|quote| {
+                start_cursor
+                    .map(|cursor| quote.timestamp >= cursor)
+                    .unwrap_or(true)
+            })
+            .next()
+            .and_then(|quote| match self.execution_price_field {
+                PriceField::Last => (quote.last_price.is_finite() && quote.last_price > 0.0)
+                    .then_some(quote.last_price),
+                _ => quote.buy_price(),
+            })
+            .unwrap_or_else(|| self.sizing_price(snapshot))
+    }
+
     fn snapshot_execution_price(
         &self,
         snapshot: &crate::data::DailyMarketSnapshot,
@@ -2237,7 +2277,12 @@ where
             (fill.quantity, fill.legs)
         } else {
             let execution_price = self.snapshot_execution_price(snapshot, OrderSide::Sell);
-            if !self.price_satisfies_limit(
+            if let Some(reason) =
+                self.execution_limit_rejection_reason(snapshot, OrderSide::Sell, execution_price)
+            {
+                partial_fill_reason = merge_partial_fill_reason(partial_fill_reason, Some(reason));
+                (0, Vec::new())
+            } else if !self.price_satisfies_limit(
                 OrderSide::Sell,
                 execution_price,
                 limit_price,
@@ -2917,7 +2962,7 @@ where
             let round_lot = self.round_lot(data, symbol);
             let minimum_order_quantity = self.minimum_order_quantity(data, symbol);
             let order_step_size = self.order_step_size(data, symbol);
-            let price = self.sizing_price(snapshot);
+            let price = self.value_buy_sizing_price(date, data, symbol, snapshot);
             let snapshot_requested_qty = self.value_buy_quantity(
                 date,
                 value.abs(),
@@ -3408,13 +3453,10 @@ where
         requested_qty: u32,
         reference_price: f64,
     ) -> Option<f64> {
-        value_budget.map(|budget| {
-            if self.strict_value_budget {
-                budget.max(reference_price * requested_qty as f64)
-            } else {
-                budget + 400.0
-            }
-        })
+        if !self.strict_value_budget {
+            return None;
+        }
+        value_budget.map(|budget| budget.max(reference_price * requested_qty as f64))
     }
 
     fn process_buy(
@@ -3604,7 +3646,12 @@ where
             (fill.quantity, fill.legs)
         } else {
             let execution_price = self.snapshot_execution_price(snapshot, OrderSide::Buy);
-            if !self.price_satisfies_limit(
+            if let Some(reason) =
+                self.execution_limit_rejection_reason(snapshot, OrderSide::Buy, execution_price)
+            {
+                partial_fill_reason = merge_partial_fill_reason(partial_fill_reason, Some(reason));
+                (0, Vec::new())
+            } else if !self.price_satisfies_limit(
                 OrderSide::Buy,
                 execution_price,
                 limit_price,
@@ -3733,7 +3780,7 @@ where
                 .position_mut(symbol)
                 .buy(date, leg.quantity, leg.price);
             if let Some(position) = portfolio.position_mut_if_exists(symbol) {
-                position.record_trade_cost(cost.total());
+                position.record_buy_trade_cost(leg.quantity, cost.total());
             }
 
             report.fill_events.push(FillEvent {
@@ -4238,6 +4285,26 @@ where
         }
     }
 
+    fn execution_limit_rejection_reason(
+        &self,
+        snapshot: &crate::data::DailyMarketSnapshot,
+        side: OrderSide,
+        execution_price: f64,
+    ) -> Option<&'static str> {
+        if !execution_price.is_finite() || execution_price <= 0.0 {
+            return None;
+        }
+        match side {
+            OrderSide::Buy if snapshot.is_at_upper_limit_price(execution_price) => {
+                Some("open at or above upper limit")
+            }
+            OrderSide::Sell if snapshot.is_at_lower_limit_price(execution_price) => {
+                Some("open at or below lower limit")
+            }
+            _ => None,
+        }
+    }
+
     fn execution_price_with_limit_slippage(
         &self,
         execution_price: f64,
@@ -4251,7 +4318,10 @@ where
 
     fn limit_order_can_remain_open(partial_reason: Option<&str>) -> bool {
         !partial_reason.is_some_and(|reason| {
-            reason.contains("insufficient cash") || reason.contains("value budget")
+            reason.contains("insufficient cash")
+                || reason.contains("value budget")
+                || reason.contains("open at or above upper limit")
+                || reason.contains("open at or below lower limit")
         })
     }
 
@@ -4372,7 +4442,8 @@ where
             return None;
         }
 
-        let quote_quantity_limited = self.quote_quantity_limited(matching_type);
+        let quote_quantity_limited =
+            self.quote_quantity_limited_for_window(matching_type, start_cursor, end_cursor);
         let lot = round_lot.max(1);
         let eligible_quotes: Vec<&IntradayExecutionQuote> = quotes
             .iter()
@@ -4388,6 +4459,9 @@ where
         let mut last_timestamp = None;
         let mut legs = Vec::new();
         let mut budget_block_reason = None;
+        let mut execution_block_reason = None;
+        let mut execution_block_timestamp = None;
+        let mut saw_non_blocked_execution_price = false;
         let saw_quote_after_cursor = !eligible_quotes.is_empty();
 
         for (quote_index, quote) in eligible_quotes.iter().enumerate() {
@@ -4399,6 +4473,13 @@ where
             else {
                 continue;
             };
+            if let Some(reason) = self.execution_limit_rejection_reason(snapshot, side, quote_price)
+            {
+                execution_block_reason.get_or_insert(reason);
+                execution_block_timestamp = Some(quote.timestamp);
+                continue;
+            }
+            saw_non_blocked_execution_price = true;
             if !self.price_satisfies_limit(
                 side,
                 quote_price,
@@ -4485,6 +4566,18 @@ where
         }
 
         if filled_qty == 0 {
+            if let Some(reason) = execution_block_reason
+                && !saw_non_blocked_execution_price
+            {
+                return Some(ExecutionFill {
+                    quantity: 0,
+                    next_cursor: execution_block_timestamp
+                        .expect("blocked execution quote timestamp")
+                        + Duration::seconds(1),
+                    legs: Vec::new(),
+                    unfilled_reason: Some(reason),
+                });
+            }
             return None;
         }
 
@@ -4533,6 +4626,23 @@ where
         self.volume_limit || self.liquidity_limit || matching_type != MatchingType::NextTickLast
     }
 
+    fn quote_quantity_limited_for_window(
+        &self,
+        matching_type: MatchingType,
+        start_cursor: Option<NaiveDateTime>,
+        end_cursor: Option<NaiveDateTime>,
+    ) -> bool {
+        if matching_type == MatchingType::Twap
+            && !self.volume_limit
+            && !self.liquidity_limit
+            && start_cursor.is_some()
+            && start_cursor == end_cursor
+        {
+            return false;
+        }
+        self.quote_quantity_limited(matching_type)
+    }
+
     fn uses_serial_execution_cursor(&self, reason: &str) -> bool {
         let _ = reason;
         false
@@ -4564,7 +4674,9 @@ fn zero_fill_status_for_reason(reason: &str) -> OrderStatus {
         "tick no volume"
         | "tick volume limit"
         | "intraday quote liquidity exhausted"
-        | "no execution quotes after start" => OrderStatus::Canceled,
+        | "no execution quotes after start"
+        | "open at or above upper limit"
+        | "open at or below lower limit" => OrderStatus::Canceled,
         _ => OrderStatus::Rejected,
     }
 }
@@ -4574,7 +4686,9 @@ fn final_partial_fill_status(partial_reason: Option<&str>) -> OrderStatus {
         Some(reason)
             if reason.contains("market liquidity or volume limit")
                 || reason.contains("intraday quote liquidity exhausted")
-                || reason.contains("no execution quotes after start") =>
+                || reason.contains("no execution quotes after start")
+                || reason.contains("open at or above upper limit")
+                || reason.contains("open at or below lower limit") =>
         {
             OrderStatus::Canceled
         }
@@ -4603,8 +4717,54 @@ fn sell_reason(decision: &StrategyDecision, symbol: &str) -> &'static str {
 mod tests {
     use super::{BrokerSimulator, MatchingType};
     use crate::cost::ChinaAShareCostModel;
+    use crate::data::{DailyMarketSnapshot, IntradayExecutionQuote, PriceField};
+    use crate::events::OrderSide;
     use crate::rules::ChinaEquityRuleHooks;
 
+    fn limit_test_snapshot() -> DailyMarketSnapshot {
+        let date = chrono::NaiveDate::from_ymd_opt(2025, 1, 2).expect("valid date");
+        DailyMarketSnapshot {
+            date,
+            symbol: "000001.SZ".to_string(),
+            timestamp: Some("2025-01-02 09:33:00".to_string()),
+            day_open: 10.0,
+            open: 10.0,
+            high: 10.5,
+            low: 9.5,
+            close: 10.0,
+            last_price: 10.0,
+            bid1: 10.0,
+            ask1: 10.0,
+            prev_close: 10.0,
+            volume: 1_000_000,
+            tick_volume: 10_000,
+            bid1_volume: 1_000,
+            ask1_volume: 1_000,
+            trading_phase: Some("continuous".to_string()),
+            paused: false,
+            upper_limit: 11.0,
+            lower_limit: 9.0,
+            price_tick: 0.01,
+        }
+    }
+
+    fn limit_test_quote(last_price: f64, bid1: f64, ask1: f64) -> IntradayExecutionQuote {
+        let date = chrono::NaiveDate::from_ymd_opt(2025, 1, 2).expect("valid date");
+        IntradayExecutionQuote {
+            date,
+            symbol: "000001.SZ".to_string(),
+            timestamp: date.and_hms_opt(9, 33, 0).expect("valid timestamp"),
+            last_price,
+            bid1,
+            ask1,
+            bid1_volume: 1_000,
+            ask1_volume: 1_000,
+            volume_delta: 1_000,
+            amount_delta: last_price * 1_000.0,
+            trading_phase: Some("continuous".to_string()),
+        }
+    }
+
     #[test]
     fn next_tick_last_without_volume_or_liquidity_limit_does_not_cap_quote_quantity() {
         let broker = BrokerSimulator::new(ChinaAShareCostModel::default(), ChinaEquityRuleHooks)
@@ -4629,4 +4789,100 @@ mod tests {
         assert!(volume_limited.quote_quantity_limited(MatchingType::NextTickLast));
         assert!(liquidity_limited.quote_quantity_limited(MatchingType::NextTickLast));
     }
+
+    #[test]
+    fn instantaneous_twap_without_limits_does_not_cap_quote_quantity() {
+        let broker = BrokerSimulator::new(ChinaAShareCostModel::default(), ChinaEquityRuleHooks)
+            .with_volume_limit(false)
+            .with_liquidity_limit(false);
+        let cursor = chrono::NaiveDate::from_ymd_opt(2025, 11, 3)
+            .unwrap()
+            .and_hms_opt(9, 31, 0)
+            .unwrap();
+
+        assert!(!broker.quote_quantity_limited_for_window(
+            MatchingType::Twap,
+            Some(cursor),
+            Some(cursor)
+        ));
+        assert!(broker.quote_quantity_limited_for_window(
+            MatchingType::Twap,
+            Some(cursor),
+            Some(cursor + chrono::Duration::minutes(1))
+        ));
+    }
+
+    #[test]
+    fn intraday_execution_rejects_buy_at_upper_limit_price() {
+        let broker = BrokerSimulator::new_with_execution_price(
+            ChinaAShareCostModel::default(),
+            ChinaEquityRuleHooks,
+            PriceField::Last,
+        )
+        .with_volume_limit(false)
+        .with_liquidity_limit(false)
+        .with_inactive_limit(false);
+        let snapshot = limit_test_snapshot();
+        let quote = limit_test_quote(11.0, 10.99, 11.0);
+        let start = quote.timestamp;
+
+        let fill = broker
+            .select_execution_fill(
+                &snapshot,
+                &[quote],
+                OrderSide::Buy,
+                MatchingType::NextTickLast,
+                Some(start),
+                None,
+                100,
+                100,
+                100,
+                100,
+                false,
+                None,
+                None,
+                None,
+            )
+            .expect("zero fill with rejection reason");
+
+        assert_eq!(fill.quantity, 0);
+        assert_eq!(fill.unfilled_reason, Some("open at or above upper limit"));
+    }
+
+    #[test]
+    fn intraday_execution_rejects_sell_at_lower_limit_price() {
+        let broker = BrokerSimulator::new_with_execution_price(
+            ChinaAShareCostModel::default(),
+            ChinaEquityRuleHooks,
+            PriceField::Last,
+        )
+        .with_volume_limit(false)
+        .with_liquidity_limit(false)
+        .with_inactive_limit(false);
+        let snapshot = limit_test_snapshot();
+        let quote = limit_test_quote(9.0, 9.0, 9.01);
+        let start = quote.timestamp;
+
+        let fill = broker
+            .select_execution_fill(
+                &snapshot,
+                &[quote],
+                OrderSide::Sell,
+                MatchingType::NextTickLast,
+                Some(start),
+                None,
+                100,
+                100,
+                100,
+                100,
+                false,
+                None,
+                None,
+                None,
+            )
+            .expect("zero fill with rejection reason");
+
+        assert_eq!(fill.quantity, 0);
+        assert_eq!(fill.unfilled_reason, Some("open at or below lower limit"));
+    }
 }

crates/fidc-core/src/data.rs

@@ -452,11 +452,11 @@ struct SymbolPriceSeries {
     closes: Vec<f64>,
     prev_closes: Vec<f64>,
     last_prices: Vec<f64>,
+    paused: Vec<bool>,
     open_prefix: Vec<f64>,
     close_prefix: Vec<f64>,
     prev_close_prefix: Vec<f64>,
     last_prefix: Vec<f64>,
-    volume_prefix: Vec<f64>,
 }
 
 impl SymbolPriceSeries {
@@ -469,15 +469,11 @@ impl SymbolPriceSeries {
         let closes = sorted.iter().map(|row| row.close).collect::<Vec<_>>();
         let prev_closes = sorted.iter().map(|row| row.prev_close).collect::<Vec<_>>();
         let last_prices = sorted.iter().map(|row| row.last_price).collect::<Vec<_>>();
-        let volumes = sorted
-            .iter()
-            .map(|row| row.volume as f64)
-            .collect::<Vec<_>>();
+        let paused = sorted.iter().map(|row| row.paused).collect::<Vec<_>>();
         let open_prefix = prefix_sums(&opens);
         let close_prefix = prefix_sums(&closes);
         let prev_close_prefix = prefix_sums(&prev_closes);
         let last_prefix = prefix_sums(&last_prices);
-        let volume_prefix = prefix_sums(&volumes);
 
         Self {
             snapshots: sorted,
@@ -486,11 +482,11 @@ impl SymbolPriceSeries {
             closes,
             prev_closes,
             last_prices,
+            paused,
             open_prefix,
             close_prefix,
             prev_close_prefix,
             last_prefix,
-            volume_prefix,
         }
     }
 
@@ -587,15 +583,11 @@ impl SymbolPriceSeries {
     }
 
     fn decision_volume_moving_average(&self, date: NaiveDate, lookback: usize) -> Option<f64> {
-        if lookback == 0 {
+        let values = self.decision_volume_values(date, lookback)?;
+        if values.len() < lookback {
             return None;
         }
-        let end = self.previous_completed_end_index(date)?;
-        if end < lookback {
-            return None;
-        }
-        let start = end - lookback;
-        let sum = self.volume_prefix[end] - self.volume_prefix[start];
+        let sum = values.iter().sum::<f64>();
         Some(sum / lookback as f64)
     }
 
@@ -604,11 +596,11 @@ impl SymbolPriceSeries {
             return None;
         }
         let end = self.end_index(date)?;
-        if end < lookback {
+        let values = self.trailing_unpaused_volumes(end, lookback)?;
+        if values.len() < lookback {
             return None;
         }
-        let start = end - lookback;
-        let sum = self.volume_prefix[end] - self.volume_prefix[start];
+        let sum = values.iter().sum::<f64>();
         Some(sum / lookback as f64)
     }
 
@@ -617,16 +609,33 @@ impl SymbolPriceSeries {
             return None;
         }
         let end = self.previous_completed_end_index(date)?;
-        if end < lookback {
+        let values = self.trailing_unpaused_volumes(end, lookback)?;
+        if values.len() < lookback {
             return None;
         }
-        let start = end - lookback;
-        Some(
-            self.snapshots[start..end]
-                .iter()
-                .map(|snapshot| snapshot.volume as f64)
-                .collect(),
-        )
+        Some(values)
+    }
+
+    fn trailing_unpaused_volumes(&self, end: usize, lookback: usize) -> Option<Vec<f64>> {
+        if lookback == 0 || end == 0 {
+            return None;
+        }
+        let mut values = Vec::with_capacity(lookback);
+        for idx in (0..end).rev() {
+            if self.paused.get(idx).copied().unwrap_or(false) {
+                continue;
+            }
+            values.push(self.snapshots[idx].volume as f64);
+            if values.len() == lookback {
+                break;
+            }
+        }
+        if values.len() < lookback {
+            None
+        } else {
+            values.reverse();
+            Some(values)
+        }
     }
 
     fn end_index(&self, date: NaiveDate) -> Option<usize> {
@@ -654,6 +663,14 @@ impl SymbolPriceSeries {
         self.values_for(field).get(end - 1).copied()
     }
 
+    fn snapshot_before(&self, date: NaiveDate) -> Option<&DailyMarketSnapshot> {
+        let end = self.previous_completed_end_index(date)?;
+        if end == 0 {
+            return None;
+        }
+        self.snapshots.get(end - 1)
+    }
+
     fn prefix_for(&self, field: PriceField) -> &[f64] {
         match field {
             PriceField::DayOpen => &self.open_prefix,
@@ -1828,6 +1845,12 @@ impl DataSet {
             .and_then(|series| series.price_on_or_before(date, field))
     }
 
+    pub fn market_before(&self, date: NaiveDate, symbol: &str) -> Option<&DailyMarketSnapshot> {
+        self.market_series_by_symbol
+            .get(symbol)
+            .and_then(|series| series.snapshot_before(date))
+    }
+
     pub fn factor_snapshots_on(&self, date: NaiveDate) -> Vec<&DailyFactorSnapshot> {
         self.factor_by_date
             .get(&date)
@@ -3371,6 +3394,33 @@ mod tests {
         );
     }
 
+    #[test]
+    fn decision_volume_average_skips_paused_days_before_counting_window() {
+        let mut paused = market_row("2025-01-03", 11.0, 0);
+        paused.paused = true;
+        let series = SymbolPriceSeries::new(&[
+            market_row("2025-01-02", 10.0, 100),
+            paused,
+            market_row("2025-01-06", 12.0, 300),
+            market_row("2025-01-07", 13.0, 10_000),
+        ]);
+
+        assert_eq!(
+            series.decision_volume_moving_average(
+                NaiveDate::parse_from_str("2025-01-07", "%Y-%m-%d").unwrap(),
+                2
+            ),
+            Some(200.0)
+        );
+        assert_eq!(
+            series.decision_volume_moving_average(
+                NaiveDate::parse_from_str("2025-01-07", "%Y-%m-%d").unwrap(),
+                3
+            ),
+            None
+        );
+    }
+
     #[test]
     fn reads_mixed_numeric_and_text_extra_factors_from_quoted_csv_json() {
         let path = temp_csv_path("mixed_factor_maps");

crates/fidc-core/src/engine.rs

@@ -2127,7 +2127,12 @@ where
                 }
             }
 
-            portfolio.update_prices(execution_date, &self.data, PriceField::Close)?;
+            portfolio.update_prices_with_options(
+                execution_date,
+                &self.data,
+                PriceField::Close,
+                self.broker.same_day_buy_close_mark_at_fill(),
+            )?;
 
             let post_trade_open_orders = self.open_order_views();
             let visible_order_events = result

crates/fidc-core/src/portfolio.rs

@@ -1,7 +1,7 @@
 use chrono::NaiveDate;
 use indexmap::IndexMap;
 use serde::Serialize;
-use std::collections::BTreeMap;
+use std::collections::{BTreeMap, BTreeSet};
 
 use crate::data::{DataSet, DataSetError, PriceField};
 
@@ -9,6 +9,7 @@ use crate::data::{DataSet, DataSetError, PriceField};
 pub struct PositionLot {
     pub acquired_date: NaiveDate,
     pub quantity: u32,
+    pub entry_price: f64,
     pub price: f64,
 }
 
@@ -72,6 +73,7 @@ impl Position {
         self.lots.push(PositionLot {
             acquired_date: date,
             quantity,
+            entry_price: price,
             price,
         });
         self.quantity += quantity;
@@ -205,6 +207,22 @@ impl Position {
         }
     }
 
+    pub fn record_buy_trade_cost(&mut self, quantity: u32, value: f64) {
+        if quantity == 0 || !value.is_finite() {
+            return;
+        }
+        let cost = value.max(0.0);
+        if cost <= 0.0 {
+            return;
+        }
+        if let Some(lot) = self.lots.last_mut() {
+            lot.price += cost / quantity as f64;
+            self.recalculate_average_cost();
+        }
+        self.day_trade_cost += cost;
+        self.refresh_day_pnl();
+    }
+
     pub fn set_dividend_receivable(&mut self, value: f64) {
         self.dividend_receivable = if value.is_finite() {
             value.max(0.0)
@@ -214,13 +232,28 @@ impl Position {
     }
 
     pub fn holding_return(&self, price: f64) -> Option<f64> {
-        if self.quantity == 0 || self.average_cost <= 0.0 {
+        let Some(avg_price) = self.average_entry_price() else {
+            return None;
+        };
+        if avg_price <= 0.0 {
             None
         } else {
-            Some((price / self.average_cost) - 1.0)
+            Some((price / avg_price) - 1.0)
         }
     }
 
+    pub fn average_entry_price(&self) -> Option<f64> {
+        if self.quantity == 0 {
+            return None;
+        }
+        let total = self
+            .lots
+            .iter()
+            .map(|lot| lot.entry_price * lot.quantity as f64)
+            .sum::<f64>();
+        Some(total / self.quantity as f64)
+    }
+
     fn recalculate_average_cost(&mut self) {
         if self.quantity == 0 {
             self.average_cost = 0.0;
@@ -242,6 +275,7 @@ impl Position {
         }
 
         for lot in &mut self.lots {
+            lot.entry_price -= dividend_per_share;
             lot.price -= dividend_per_share;
         }
         self.average_cost -= dividend_per_share;
@@ -264,6 +298,7 @@ impl Position {
             .map(|lot| PositionLot {
                 acquired_date: lot.acquired_date,
                 quantity: round_half_up_u32(lot.quantity as f64 * ratio),
+                entry_price: lot.entry_price / ratio,
                 price: lot.price / ratio,
             })
             .collect::<Vec<_>>();
@@ -316,6 +351,7 @@ pub struct PortfolioState {
     positions: IndexMap<String, Position>,
     cash_receivables: Vec<CashReceivable>,
     pending_cash_flows: Vec<PendingCashFlow>,
+    day_sold_symbols: BTreeSet<String>,
 }
 
 #[derive(Debug, Clone)]
@@ -348,6 +384,7 @@ impl PortfolioState {
             positions: IndexMap::new(),
             cash_receivables: Vec::new(),
             pending_cash_flows: Vec::new(),
+            day_sold_symbols: BTreeSet::new(),
         }
     }
 
@@ -402,7 +439,18 @@ impl PortfolioState {
     }
 
     pub fn prune_flat_positions(&mut self) {
-        self.positions.retain(|_, position| !position.is_flat());
+        let mut sold_symbols = Vec::new();
+        self.positions.retain(|symbol, position| {
+            if position.is_flat() {
+                if position.sold_quantity() > 0 {
+                    sold_symbols.push(symbol.clone());
+                }
+                false
+            } else {
+                true
+            }
+        });
+        self.day_sold_symbols.extend(sold_symbols);
     }
 
     pub fn add_cash_receivable(&mut self, receivable: CashReceivable) {
@@ -538,6 +586,7 @@ impl PortfolioState {
     }
 
     pub fn begin_trading_day(&mut self) {
+        self.day_sold_symbols.clear();
         for position in self.positions.values_mut() {
             position.begin_trading_day();
         }
@@ -550,9 +599,24 @@ impl PortfolioState {
         data: &DataSet,
         field: PriceField,
     ) -> Result<(), DataSetError> {
+        self.update_prices_with_options(date, data, field, false)
+    }
+
+    pub fn update_prices_with_options(
+        &mut self,
+        date: NaiveDate,
+        data: &DataSet,
+        field: PriceField,
+        same_day_buy_close_mark_at_fill: bool,
+    ) -> Result<(), DataSetError> {
+        let day_sold_symbols = self.day_sold_symbols.clone();
         for position in self.positions.values_mut() {
-            if field == PriceField::Close
+            let sold_today =
+                position.sold_quantity() > 0 || day_sold_symbols.contains(&position.symbol);
+            if same_day_buy_close_mark_at_fill
+                && field == PriceField::Close
                 && position.day_buy_quantity > 0
+                && !sold_today
                 && position.sellable_qty(date) == 0
                 && position.last_price.is_finite()
                 && position.last_price > 0.0
@@ -714,6 +778,7 @@ impl PortfolioState {
             .map(|lot| PositionLot {
                 acquired_date: lot.acquired_date,
                 quantity: round_half_up_u32(lot.quantity as f64 * ratio),
+                entry_price: lot.entry_price / ratio,
                 price: lot.price / ratio,
             })
             .collect::<Vec<_>>();
@@ -810,6 +875,18 @@ mod tests {
         );
     }
 
+    #[test]
+    fn strategy_entry_price_excludes_buy_commission_cost_basis() {
+        let date = NaiveDate::from_ymd_opt(2025, 1, 2).unwrap();
+        let mut position = Position::new("600561.SH");
+        position.buy(date, 22_200, 5.66);
+        position.record_buy_trade_cost(22_200, 100.0);
+
+        assert!(position.average_cost > 5.66);
+        assert!((position.average_entry_price().unwrap() - 5.66).abs() < 1e-12);
+        assert!((position.holding_return(6.06).unwrap() - (6.06 / 5.66 - 1.0)).abs() < 1e-12);
+    }
+
     #[test]
     fn portfolio_tracks_dividend_receivable_and_day_pnl() {
         let prev_date = NaiveDate::from_ymd_opt(2025, 1, 2).unwrap();
@@ -1165,7 +1242,7 @@ mod tests {
         .expect("dataset");
 
         portfolio
-            .update_prices(buy_date, &dataset, PriceField::Close)
+            .update_prices_with_options(buy_date, &dataset, PriceField::Close, true)
             .expect("same day close");
         let position = portfolio.position(symbol).expect("position");
         assert!((position.last_price - 3.01).abs() < 1e-9);
@@ -1178,6 +1255,27 @@ mod tests {
         let position = portfolio.position(symbol).expect("position");
         assert!((position.last_price - 3.07).abs() < 1e-9);
         assert!((position.market_value() - 3991.0).abs() < 1e-6);
+
+        let prev_date = NaiveDate::from_ymd_opt(2025, 2, 7).unwrap();
+        let mut roundtrip_portfolio = PortfolioState::new(20_000.0);
+        roundtrip_portfolio
+            .position_mut(symbol)
+            .buy(prev_date, 2000, 2.90);
+        roundtrip_portfolio.begin_trading_day();
+        roundtrip_portfolio
+            .position_mut(symbol)
+            .sell(2000, 3.01)
+            .expect("same day sell");
+        roundtrip_portfolio.prune_flat_positions();
+        roundtrip_portfolio
+            .position_mut(symbol)
+            .buy(buy_date, 1800, 3.01);
+        roundtrip_portfolio
+            .update_prices(buy_date, &dataset, PriceField::Close)
+            .expect("same day roundtrip close");
+        let position = roundtrip_portfolio.position(symbol).expect("position");
+        assert!((position.last_price - 3.06).abs() < 1e-9);
+        assert!((position.market_value() - 5508.0).abs() < 1e-6);
     }
 
     #[test]

crates/fidc-core/src/strategy.rs

@@ -1780,11 +1780,23 @@ impl OmniMicroCapStrategy {
         if !sizing_price.is_finite() || sizing_price <= 0.0 {
             return 0;
         }
-        let snapshot_requested_qty = self.round_lot_quantity(
+        let mut snapshot_requested_qty = self.round_lot_quantity(
             ((projected.cash().min(order_value)) / sizing_price).floor() as u32,
             minimum_order_quantity,
             order_step_size,
         );
+        while snapshot_requested_qty > 0 {
+            let gross_amount = sizing_price * snapshot_requested_qty as f64;
+            let cash_out = gross_amount + self.buy_commission(gross_amount);
+            if cash_out <= order_value + 1e-6 && cash_out <= projected.cash() + 1e-6 {
+                break;
+            }
+            snapshot_requested_qty = self.decrement_order_quantity(
+                snapshot_requested_qty,
+                minimum_order_quantity,
+                order_step_size,
+            );
+        }
         let projected_execution_price = self.projected_execution_price(market, OrderSide::Buy);
         let projected_fill = self.projected_select_execution_fill(
             ctx,
@@ -1796,14 +1808,15 @@ impl OmniMicroCapStrategy {
             minimum_order_quantity,
             order_step_size,
             false,
-            Some(projected.cash()),
-            Some(order_value + 400.0),
+            Some(projected.cash().min(order_value)),
+            Some(order_value),
             execution_state,
         );
         let mut quantity = snapshot_requested_qty;
         while quantity > 0 {
             let gross_amount = projected_execution_price * quantity as f64;
-            if gross_amount <= order_value + 400.0 && gross_amount <= projected.cash() + 1e-6 {
+            let cash_out = gross_amount + self.buy_commission(gross_amount);
+            if cash_out <= order_value + 1e-6 && cash_out <= projected.cash() + 1e-6 {
                 break;
             }
             quantity =
@@ -1818,7 +1831,8 @@ impl OmniMicroCapStrategy {
             .unwrap_or(projected_execution_price);
         while quantity > 0 {
             let gross_amount = execution_price * quantity as f64;
-            if gross_amount <= projected.cash() + 1e-6 {
+            let cash_out = gross_amount + self.buy_commission(gross_amount);
+            if cash_out <= order_value + 1e-6 && cash_out <= projected.cash() + 1e-6 {
                 break;
             }
             quantity =
@@ -1834,7 +1848,7 @@ impl OmniMicroCapStrategy {
         };
         let gross_amount = fill.price * fill.quantity as f64;
         let cash_out = gross_amount + self.buy_commission(gross_amount);
-        if gross_amount > projected.cash() + 1e-6 {
+        if cash_out > projected.cash() + 1e-6 || cash_out > order_value + 1e-6 {
             return 0;
         }
         projected.apply_cash_delta(-cash_out);
@@ -2374,11 +2388,6 @@ impl OmniMicroCapStrategy {
         {
             return Ok(Some("upper_limit".to_string()));
         }
-        if market.is_at_lower_limit_price(market.day_open)
-            || market.is_at_lower_limit_price(market.sell_price(PriceField::Last))
-        {
-            return Ok(Some("lower_limit".to_string()));
-        }
         if market.day_open <= 1.0 {
             return Ok(Some("one_yuan".to_string()));
         }
@@ -2730,8 +2739,7 @@ impl Strategy for OmniMicroCapStrategy {
             let stop_hit = current_price
                 <= position.average_cost * self.config.stop_loss_ratio
                     + self.stop_loss_tolerance(market);
-            let profit_hit = !market.is_at_upper_limit_price(current_price)
-                && current_price / position.average_cost > self.config.take_profit_ratio;
+            let profit_hit = current_price / position.average_cost > self.config.take_profit_ratio;
             let can_sell = self.can_sell_position(ctx, date, &position.symbol);
             if stop_hit || profit_hit {
                 let sell_reason = if stop_hit {

crates/fidc-core/tests/explicit_order_flow.rs

@@ -233,8 +233,148 @@ fn broker_order_value_rounds_to_nearest_lot_when_min_lot_is_affordable() {
     let (portfolio, report) = execute_single_value_order(date, &data, symbol, 3_938.13);
 
     assert_eq!(report.fill_events.len(), 1);
-    assert_eq!(report.fill_events[0].quantity, 200);
-    assert_eq!(portfolio.position(symbol).expect("position").quantity, 200);
+    assert_eq!(report.fill_events[0].quantity, 100);
+    assert_eq!(portfolio.position(symbol).expect("position").quantity, 100);
+}
+
+#[test]
+fn broker_order_value_budget_includes_buy_commission() {
+    let date = NaiveDate::from_ymd_opt(2025, 6, 23).unwrap();
+    let symbol = "605303.SH";
+    let data = order_value_rounding_data(date, symbol, 11.93);
+
+    let (portfolio, report) = execute_single_value_order(date, &data, symbol, 4_776.0);
+
+    assert_eq!(report.fill_events.len(), 1);
+    assert_eq!(report.fill_events[0].quantity, 300);
+    assert_eq!(portfolio.position(symbol).expect("position").quantity, 300);
+
+    let (portfolio, report) = execute_single_value_order(date, &data, symbol, 4_848.0);
+
+    assert_eq!(report.fill_events.len(), 1);
+    assert_eq!(report.fill_events[0].quantity, 400);
+    assert_eq!(portfolio.position(symbol).expect("position").quantity, 400);
+}
+
+#[test]
+fn broker_delayed_limit_open_sell_uses_tick_price() {
+    let date = NaiveDate::from_ymd_opt(2025, 6, 27).unwrap();
+    let prev_date = NaiveDate::from_ymd_opt(2025, 6, 26).unwrap();
+    let symbol = "300635.SZ";
+    let data = DataSet::from_components_with_actions_and_quotes(
+        vec![Instrument {
+            symbol: symbol.to_string(),
+            name: "Test".to_string(),
+            board: "SZ".to_string(),
+            round_lot: 100,
+            listed_at: None,
+            delisted_at: None,
+            status: "active".to_string(),
+        }],
+        vec![DailyMarketSnapshot {
+            date,
+            symbol: symbol.to_string(),
+            timestamp: Some("2025-06-27 09:31:00".to_string()),
+            day_open: 12.55,
+            open: 12.55,
+            high: 13.16,
+            low: 12.26,
+            close: 12.36,
+            last_price: 12.39,
+            bid1: 12.39,
+            ask1: 12.40,
+            prev_close: 13.24,
+            volume: 329_575,
+            tick_volume: 10_000,
+            bid1_volume: 10_000,
+            ask1_volume: 10_000,
+            trading_phase: Some("continuous".to_string()),
+            paused: false,
+            upper_limit: 14.56,
+            lower_limit: 11.92,
+            price_tick: 0.01,
+        }],
+        vec![DailyFactorSnapshot {
+            date,
+            symbol: symbol.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(),
+        }],
+        vec![CandidateEligibility {
+            date,
+            symbol: symbol.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,
+        }],
+        Vec::new(),
+        vec![IntradayExecutionQuote {
+            date,
+            symbol: symbol.to_string(),
+            timestamp: date.and_hms_opt(9, 31, 0).unwrap(),
+            last_price: 12.39,
+            bid1: 12.39,
+            ask1: 12.40,
+            bid1_volume: 10_000,
+            ask1_volume: 10_000,
+            volume_delta: 10_000,
+            amount_delta: 123_900.0,
+            trading_phase: Some("continuous".to_string()),
+        }],
+    )
+    .expect("dataset");
+    let mut portfolio = PortfolioState::new(1_000.0);
+    portfolio.position_mut(symbol).buy(prev_date, 800, 10.92);
+    let broker = BrokerSimulator::new_with_execution_price(
+        ChinaAShareCostModel::default(),
+        ChinaEquityRuleHooks::default(),
+        PriceField::Last,
+    )
+    .with_matching_type(MatchingType::NextTickLast)
+    .with_intraday_execution_start_time(NaiveTime::from_hms_opt(9, 31, 0).unwrap())
+    .with_volume_limit(false)
+    .with_liquidity_limit(false);
+
+    let report = broker
+        .execute(
+            date,
+            &mut portfolio,
+            &data,
+            &StrategyDecision {
+                rebalance: false,
+                target_weights: BTreeMap::new(),
+                exit_symbols: BTreeSet::new(),
+                order_intents: vec![OrderIntent::TargetValue {
+                    symbol: symbol.to_string(),
+                    target_value: 0.0,
+                    reason: "delayed_limit_open_sell".to_string(),
+                }],
+                notes: Vec::new(),
+                diagnostics: Vec::new(),
+            },
+        )
+        .expect("broker execution");
+
+    assert_eq!(report.fill_events.len(), 1);
+    assert_eq!(report.fill_events[0].quantity, 800);
+    assert_eq!(report.fill_events[0].price, 12.39);
+    assert!(portfolio.position(symbol).is_none());
 }
 
 #[test]
@@ -905,7 +1045,7 @@ fn broker_executes_order_percent_and_target_percent() {
         )
         .expect("percent execution");
     assert_eq!(percent_report.fill_events.len(), 1);
-    assert_eq!(percent_report.fill_events[0].quantity, 10_000);
+    assert_eq!(percent_report.fill_events[0].quantity, 9_900);
 
     let mut target_percent_portfolio = PortfolioState::new(1_000_000.0);
     let target_percent_report = broker
@@ -2498,7 +2638,7 @@ fn broker_executes_algo_twap_percent_across_window_quotes() {
                 exit_symbols: BTreeSet::new(),
                 order_intents: vec![OrderIntent::AlgoPercent {
                     symbol: "000002.SZ".to_string(),
-                    percent: 0.0036,
+                    percent: 0.0037,
                     style: AlgoOrderStyle::Twap,
                     start_time: Some(NaiveTime::from_hms_opt(10, 0, 0).unwrap()),
                     end_time: Some(NaiveTime::from_hms_opt(10, 30, 0).unwrap()),