修复平台策略撮合限价与回补语义

- 修改trading_ratio()返回5个值，包含prev_level
- 使用prev_level计算市值区间，符合实盘决策逻辑
- 调整默认参数对齐AiQuant实际运行版本(xs=0.008, cap_span=10)
- 增强MA过滤调试日志，输出首个决策日所有股票的过滤详情
- 添加市值区间计算调试日志

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,
@@ -2917,9 +2962,11 @@ 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 snapshot_requested_qty = self.round_buy_quantity(
-                ((value.abs()) / price).floor() as u32,
+            let price = self.value_buy_sizing_price(date, data, symbol, snapshot);
+            let snapshot_requested_qty = self.value_buy_quantity(
+                date,
+                value.abs(),
+                price,
                 minimum_order_quantity,
                 order_step_size,
             );
@@ -3012,8 +3059,10 @@ where
             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 snapshot_requested_qty = self.round_buy_quantity(
-                ((value.abs()) / price).floor() as u32,
+            let snapshot_requested_qty = self.value_buy_quantity(
+                date,
+                value.abs(),
+                price,
                 minimum_order_quantity,
                 order_step_size,
             );
@@ -3178,8 +3227,10 @@ where
             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 snapshot_requested_qty = self.round_buy_quantity(
-                (value.abs() / price).floor() as u32,
+            let snapshot_requested_qty = self.value_buy_quantity(
+                date,
+                value.abs(),
+                price,
                 minimum_order_quantity,
                 order_step_size,
             );
@@ -3396,14 +3447,16 @@ where
         requested_qty
     }
 
-    fn value_budget_gross_limit(&self, value_budget: Option<f64>) -> Option<f64> {
-        value_budget.map(|budget| {
-            if self.strict_value_budget {
-                budget
-            } else {
-                budget + 400.0
-            }
-        })
+    fn value_buy_gross_limit(
+        &self,
+        value_budget: Option<f64>,
+        requested_qty: u32,
+        reference_price: f64,
+    ) -> Option<f64> {
+        if !self.strict_value_budget {
+            return None;
+        }
+        value_budget.map(|budget| budget.max(reference_price * requested_qty as f64))
     }
 
     fn process_buy(
@@ -3562,6 +3615,8 @@ where
                 return Ok(());
             }
         };
+        let value_gross_limit =
+            self.value_buy_gross_limit(value_budget, constrained_qty, self.sizing_price(snapshot));
 
         let fill = self.resolve_execution_fill(
             date,
@@ -3577,7 +3632,7 @@ where
             execution_cursors,
             None,
             Some(portfolio.cash()),
-            self.value_budget_gross_limit(value_budget),
+            value_gross_limit,
             algo_request,
             limit_price,
         );
@@ -3591,7 +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,
@@ -3608,7 +3668,7 @@ where
                 let filled_qty = self.affordable_buy_quantity(
                     date,
                     portfolio.cash(),
-                    self.value_budget_gross_limit(value_budget),
+                    value_gross_limit,
                     execution_price,
                     constrained_qty,
                     self.minimum_order_quantity(data, symbol),
@@ -3619,7 +3679,7 @@ where
                         partial_fill_reason,
                         self.buy_reduction_reason(
                             portfolio.cash(),
-                            self.value_budget_gross_limit(value_budget),
+                            value_gross_limit,
                             execution_price,
                             constrained_qty,
                             filled_qty,
@@ -3720,7 +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 {
@@ -4054,6 +4114,31 @@ where
         }
     }
 
+    fn value_buy_quantity(
+        &self,
+        date: NaiveDate,
+        value_budget: f64,
+        price: f64,
+        minimum_order_quantity: u32,
+        order_step_size: u32,
+    ) -> u32 {
+        if !value_budget.is_finite() || value_budget <= 0.0 || !price.is_finite() || price <= 0.0 {
+            return 0;
+        }
+        let minimum = minimum_order_quantity.max(1);
+        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);
+        }
+        0
+    }
+
     fn decrement_order_quantity(
         &self,
         quantity: u32,
@@ -4200,6 +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,
@@ -4213,7 +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")
         })
     }
 
@@ -4334,13 +4442,16 @@ where
             return None;
         }
 
+        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()
             .filter(|quote| {
                 !start_cursor.is_some_and(|cursor| quote.timestamp < cursor)
                     && !end_cursor.is_some_and(|cursor| quote.timestamp > cursor)
-                    && quote.volume_delta != 0
+                    && (!quote_quantity_limited
+                        || self.quote_has_executable_liquidity(quote, side, matching_type))
             })
             .collect();
         let mut filled_qty = 0_u32;
@@ -4348,6 +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() {
@@ -4359,6 +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,
@@ -4368,21 +4489,26 @@ 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 =
@@ -4440,6 +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;
         }
 
@@ -4466,6 +4604,45 @@ where
         })
     }
 
+    fn quote_has_executable_liquidity(
+        &self,
+        quote: &IntradayExecutionQuote,
+        side: OrderSide,
+        matching_type: MatchingType,
+    ) -> bool {
+        if quote.volume_delta != 0 {
+            return true;
+        }
+        if matches!(matching_type, MatchingType::Vwap | MatchingType::Twap) {
+            return false;
+        }
+        match side {
+            OrderSide::Buy => quote.ask1_volume > 0,
+            OrderSide::Sell => quote.bid1_volume > 0,
+        }
+    }
+
+    fn quote_quantity_limited(&self, matching_type: MatchingType) -> bool {
+        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
@@ -4497,7 +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,
     }
 }
@@ -4507,7 +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
         }
@@ -4531,3 +4712,177 @@ 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::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)
+            .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));
+    }
+
+    #[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/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/data.rs

@@ -599,6 +599,19 @@ impl SymbolPriceSeries {
         Some(sum / lookback as f64)
     }
 
+    fn current_volume_moving_average(&self, date: NaiveDate, lookback: usize) -> Option<f64> {
+        if lookback == 0 {
+            return None;
+        }
+        let end = self.end_index(date)?;
+        if end < lookback {
+            return None;
+        }
+        let start = end - lookback;
+        let sum = self.volume_prefix[end] - self.volume_prefix[start];
+        Some(sum / lookback as f64)
+    }
+
     fn decision_volume_values(&self, date: NaiveDate, lookback: usize) -> Option<Vec<f64>> {
         if lookback == 0 {
             return None;
@@ -641,6 +654,14 @@ 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,
@@ -1815,6 +1836,12 @@ 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)
@@ -2065,6 +2092,36 @@ impl DataSet {
         }
     }
 
+    pub fn market_current_numeric_moving_average(
+        &self,
+        date: NaiveDate,
+        symbol: &str,
+        field: &str,
+        lookback: usize,
+    ) -> Option<f64> {
+        let field = normalize_field(field);
+        match field.as_str() {
+            "close" | "prev_close" | "stock_close" | "price" => {
+                self.market_moving_average(date, symbol, lookback, PriceField::Close)
+            }
+            "volume" | "stock_volume" => self
+                .factor_moving_average(date, symbol, "daily_volume", lookback)
+                .or_else(|| {
+                    self.market_series_by_symbol
+                        .get(symbol)
+                        .and_then(|series| series.current_volume_moving_average(date, lookback))
+                }),
+            "day_open" | "dayopen" => {
+                self.market_moving_average(date, symbol, lookback, PriceField::DayOpen)
+            }
+            "open" => self.market_moving_average(date, symbol, lookback, PriceField::Open),
+            "last" | "last_price" => {
+                self.market_moving_average(date, symbol, lookback, PriceField::Last)
+            }
+            other => self.factor_moving_average(date, symbol, other, lookback),
+        }
+    }
+
     pub fn market_decision_numeric_values(
         &self,
         date: NaiveDate,

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/platform_runtime_schema.rs

@@ -223,6 +223,7 @@ const RUNTIME_HELPER_FUNCTIONS: &[&str] = &[
     "factor",
     "day_factor",
     "rolling_mean",
+    "rolling_mean_current",
     "ma",
     "sma",
     "vma",

crates/fidc-core/src/platform_strategy_spec.rs

@@ -156,6 +156,8 @@ pub struct IndexThrottleConfig {
 #[derive(Debug, Clone, Default, Deserialize, Serialize)]
 #[serde(rename_all = "camelCase")]
 pub struct SkipWindowConfig {
+    #[serde(default)]
+    pub year: Option<u32>,
     #[serde(default)]
     pub month: Option<u32>,
     #[serde(default)]
@@ -391,7 +393,14 @@ pub fn platform_expr_config_from_spec(
             cfg.skip_month_day_ranges = engine
                 .skip_windows
                 .iter()
-                .filter_map(|window| Some((window.month?, window.start_day?, window.end_day?)))
+                .filter_map(|window| {
+                    Some((
+                        window.year,
+                        window.month?,
+                        window.start_day?,
+                        window.end_day?,
+                    ))
+                })
                 .collect();
         }
         if let Some(spec_signal_symbol) = engine

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};
 
@@ -205,6 +205,22 @@ 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)
@@ -316,6 +332,7 @@ 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 +365,7 @@ impl PortfolioState {
             positions: IndexMap::new(),
             cash_receivables: Vec::new(),
             pending_cash_flows: Vec::new(),
+            day_sold_symbols: BTreeSet::new(),
         }
     }
 
@@ -402,7 +420,18 @@ 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 +567,7 @@ 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();
         }
@@ -550,7 +580,31 @@ 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() {
+            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
+            {
+                position.refresh_day_pnl();
+                continue;
+            }
             let price = data
                 .price(date, &position.symbol, field)
                 .or_else(|| data.price_on_or_before(date, &position.symbol, field))
@@ -1066,6 +1120,132 @@ mod tests {
         assert!(position.position_pnl.abs() < 1e-6);
     }
 
+    #[test]
+    fn portfolio_marks_same_day_buy_at_fill_until_next_trading_day() {
+        let buy_date = NaiveDate::from_ymd_opt(2025, 2, 10).unwrap();
+        let next_date = NaiveDate::from_ymd_opt(2025, 2, 11).unwrap();
+        let symbol = "002652.SZ";
+        let mut portfolio = PortfolioState::new(20_000.0);
+        portfolio.position_mut(symbol).buy(buy_date, 1300, 3.01);
+
+        let dataset = DataSet::from_components(
+            vec![Instrument {
+                symbol: symbol.to_string(),
+                name: "Same Day Buy Test".to_string(),
+                board: "SZ".to_string(),
+                round_lot: 100,
+                listed_at: None,
+                delisted_at: None,
+                status: "active".to_string(),
+            }],
+            vec![
+                DailyMarketSnapshot {
+                    date: buy_date,
+                    symbol: symbol.to_string(),
+                    timestamp: None,
+                    day_open: 2.99,
+                    open: 2.99,
+                    high: 3.06,
+                    low: 2.98,
+                    close: 3.06,
+                    last_price: 3.06,
+                    bid1: 3.01,
+                    ask1: 3.02,
+                    prev_close: 2.98,
+                    volume: 152_975,
+                    tick_volume: 152_975,
+                    bid1_volume: 338,
+                    ask1_volume: 2476,
+                    trading_phase: None,
+                    paused: false,
+                    upper_limit: 3.28,
+                    lower_limit: 2.68,
+                    price_tick: 0.01,
+                },
+                DailyMarketSnapshot {
+                    date: next_date,
+                    symbol: symbol.to_string(),
+                    timestamp: None,
+                    day_open: 3.03,
+                    open: 3.03,
+                    high: 3.08,
+                    low: 3.00,
+                    close: 3.07,
+                    last_price: 3.07,
+                    bid1: 3.06,
+                    ask1: 3.07,
+                    prev_close: 3.06,
+                    volume: 160_000,
+                    tick_volume: 160_000,
+                    bid1_volume: 1000,
+                    ask1_volume: 1000,
+                    trading_phase: None,
+                    paused: false,
+                    upper_limit: 3.37,
+                    lower_limit: 2.75,
+                    price_tick: 0.01,
+                },
+            ],
+            Vec::new(),
+            Vec::new(),
+            vec![
+                BenchmarkSnapshot {
+                    date: buy_date,
+                    benchmark: "000852.SH".to_string(),
+                    open: 1000.0,
+                    close: 1000.0,
+                    prev_close: 999.0,
+                    volume: 1000,
+                },
+                BenchmarkSnapshot {
+                    date: next_date,
+                    benchmark: "000852.SH".to_string(),
+                    open: 1001.0,
+                    close: 1001.0,
+                    prev_close: 1000.0,
+                    volume: 1000,
+                },
+            ],
+        )
+        .expect("dataset");
+
+        portfolio
+            .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);
+        assert!((position.market_value() - 3913.0).abs() < 1e-6);
+
+        portfolio.begin_trading_day();
+        portfolio
+            .update_prices(next_date, &dataset, PriceField::Close)
+            .expect("next day close");
+        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]
     fn position_tracks_day_lifecycle_fields() {
         let prev_date = NaiveDate::from_ymd_opt(2025, 1, 2).unwrap();

crates/fidc-core/src/strategy.rs

@@ -1104,7 +1104,7 @@ pub struct CnSmallCapRotationConfig {
     pub take_profit_pct: f64,
     pub signal_symbol: Option<String>,
     pub skip_months: Vec<u32>,
-    pub skip_month_day_ranges: Vec<(u32, u32, u32)>,
+    pub skip_month_day_ranges: Vec<(Option<u32>, u32, u32, u32)>,
 }
 
 impl CnSmallCapRotationConfig {
@@ -1159,23 +1159,29 @@ impl CnSmallCapRotationConfig {
             signal_symbol: Some("000852.SH".to_string()),
             skip_months: vec![],
             skip_month_day_ranges: vec![
-                (1, 15, 30),
-                (4, 15, 29),
-                (8, 15, 31),
-                (10, 20, 30),
-                (12, 20, 30),
+                (None, 1, 15, 30),
+                (None, 4, 15, 29),
+                (None, 8, 15, 31),
+                (None, 10, 20, 30),
+                (None, 12, 20, 30),
             ],
         }
     }
 
     fn in_skip_window(&self, date: NaiveDate) -> bool {
+        let year = date.year() as u32;
         let month = date.month();
         let day = date.day();
         self.skip_months.contains(&month)
             || self
                 .skip_month_day_ranges
                 .iter()
-                .any(|(m, start_day, end_day)| month == *m && day >= *start_day && day <= *end_day)
+                .any(|(window_year, m, start_day, end_day)| {
+                    window_year.map(|value| value == year).unwrap_or(true)
+                        && month == *m
+                        && day >= *start_day
+                        && day <= *end_day
+                })
     }
 }
 
@@ -1533,7 +1539,7 @@ pub struct OmniMicroCapConfig {
     pub trade_rate: f64,
     pub stop_loss_ratio: f64,
     pub take_profit_ratio: f64,
-    pub skip_month_day_ranges: Vec<(u32, u32, u32)>,
+    pub skip_month_day_ranges: Vec<(Option<u32>, u32, u32, u32)>,
 }
 
 impl OmniMicroCapConfig {
@@ -1570,13 +1576,13 @@ impl OmniMicroCapConfig {
             strategy_name: "aiquant-v1.0.4".to_string(),
             refresh_rate: 120,
             stocknum: 5,
-            xs: 3.0 / 500.0,
+            xs: 4.0 / 500.0,
             base_index_level: 2000.0,
             base_cap_floor: 7.0,
-            cap_span: 25.0,
-            padding_ratio: 0.5,
-            min_padding: 12.5,
-            max_padding: 30.0,
+            cap_span: 10.0,
+            padding_ratio: 1.2,
+            min_padding: 29.5,
+            max_padding: 50.0,
             benchmark_signal_symbol: "000852.SH".to_string(),
             benchmark_short_ma_days: 5,
             benchmark_long_ma_days: 20,
@@ -1592,11 +1598,17 @@ impl OmniMicroCapConfig {
     }
 
     fn in_skip_window(&self, date: NaiveDate) -> bool {
+        let year = date.year() as u32;
         let month = date.month();
         let day = date.day();
         self.skip_month_day_ranges
             .iter()
-            .any(|(m, start_day, end_day)| month == *m && day >= *start_day && day <= *end_day)
+            .any(|(window_year, m, start_day, end_day)| {
+                window_year.map(|value| value == year).unwrap_or(true)
+                    && month == *m
+                    && day >= *start_day
+                    && day <= *end_day
+            })
     }
 }
 
@@ -1768,11 +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,
@@ -1784,14 +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 =
@@ -1806,7 +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 =
@@ -1822,7 +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);
@@ -2141,7 +2167,8 @@ impl OmniMicroCapStrategy {
         &self,
         ctx: &StrategyContext<'_>,
         date: NaiveDate,
-    ) -> Result<(f64, f64, f64, f64), BacktestError> {
+    ) -> Result<(f64, f64, f64, f64, f64), BacktestError> {
+        // 当前交易日的指数价格（用于MA计算和仓位控制）
         let current_level = ctx
             .data
             .market_decision_close(date, &self.config.benchmark_signal_symbol)
@@ -2150,6 +2177,16 @@ impl OmniMicroCapStrategy {
                 symbol: self.config.benchmark_signal_symbol.clone(),
                 field: "decision_close",
             })?;
+
+        // 前一交易日的指数价格（用于市值区间计算，模拟实盘场景）
+        let prev_level = if let Some(prev_date) = ctx.data.previous_trading_date(date, 1) {
+            ctx.data
+                .market_decision_close(prev_date, &self.config.benchmark_signal_symbol)
+                .unwrap_or(current_level)
+        } else {
+            current_level
+        };
+
         let ma_short = ctx
             .data
             .market_decision_close_moving_average(
@@ -2181,7 +2218,7 @@ impl OmniMicroCapStrategy {
         } else {
             1.0
         };
-        Ok((current_level, ma_short, ma_long, trading_ratio))
+        Ok((current_level, prev_level, ma_short, ma_long, trading_ratio))
     }
 
     fn market_cap_band(&self, index_level: f64) -> (f64, f64) {
@@ -2189,16 +2226,16 @@ impl OmniMicroCapStrategy {
             + self.config.base_cap_floor;
         let start = y.round();
         let end = start + self.config.cap_span;
-        
+
         // Apply padding to expand the range
         let span = end - start;
         let padding = (span * self.config.padding_ratio)
             .max(self.config.min_padding)
             .min(self.config.max_padding);
-        
+
         let lower_bound = (start - padding).max(0.0);
         let upper_bound = end + padding;
-        
+
         (lower_bound, upper_bound)
     }
 
@@ -2231,39 +2268,60 @@ impl OmniMicroCapStrategy {
         };
 
         // MA filter: ma_short > ma_mid * rsi_rate && ma_mid * rsi_rate > ma_long
-        let ma_pass = ma_short > ma_mid * self.config.rsi_rate && ma_mid * self.config.rsi_rate > ma_long;
-        
-        // Debug logging for first few stocks
-        static DEBUG_COUNT: std::sync::atomic::AtomicUsize = std::sync::atomic::AtomicUsize::new(0);
-        let count = DEBUG_COUNT.fetch_add(1, std::sync::atomic::Ordering::Relaxed);
-        if count < 10 {
-            eprintln!("[DEBUG MA] {} date={} ma5={:.4} ma10={:.4} ma30={:.4} rsi_rate={:.6} pass={} (ma5 > ma10*rsi={:.4}? {} && ma10*rsi > ma30={:.4}? {})",
-                symbol, date, ma_short, ma_mid, ma_long, self.config.rsi_rate, ma_pass,
-                ma_mid * self.config.rsi_rate, ma_short > ma_mid * self.config.rsi_rate,
-                ma_long, ma_mid * self.config.rsi_rate > ma_long);
+        let ma_pass =
+            ma_short > ma_mid * self.config.rsi_rate && ma_mid * self.config.rsi_rate > ma_long;
+
+        // Debug logging for ALL stocks on first decision date
+        static DEBUG_DATE: std::sync::Mutex<Option<NaiveDate>> = std::sync::Mutex::new(None);
+        let mut debug_date = DEBUG_DATE.lock().unwrap();
+        let should_debug = if let Some(d) = *debug_date {
+            d == date
+        } else {
+            *debug_date = Some(date);
+            true
+        };
+
+        if should_debug {
+            eprintln!(
+                "[MA_FILTER] {} cap={:.2} ma5={:.4} ma10={:.4} ma30={:.4} ma10*rsi={:.4} pass={} ({}>{:.4}? {} && {:.4}>{}? {})",
+                symbol,
+                ctx.data.market_decision_close(date, symbol).unwrap_or(0.0),
+                ma_short,
+                ma_mid,
+                ma_long,
+                ma_mid * self.config.rsi_rate,
+                ma_pass,
+                ma_short,
+                ma_mid * self.config.rsi_rate,
+                ma_short > ma_mid * self.config.rsi_rate,
+                ma_mid * self.config.rsi_rate,
+                ma_long,
+                ma_mid * self.config.rsi_rate > ma_long
+            );
         }
-        
+
         if !ma_pass {
             return false;
         }
 
         // Volume filter: V5 < V60 (applied for omni_microcap strategies)
-        if self.config.strategy_name.contains("aiquant") || self.config.strategy_name.contains("AiQuant") || self.config.strategy_name.contains("omni") {
-            let Some(volume_ma5) = ctx.data.market_decision_volume_moving_average(
-                date,
-                symbol,
-                5,
-            ) else {
+        if self.config.strategy_name.contains("aiquant")
+            || self.config.strategy_name.contains("AiQuant")
+            || self.config.strategy_name.contains("omni")
+        {
+            let Some(volume_ma5) = ctx
+                .data
+                .market_decision_volume_moving_average(date, symbol, 5)
+            else {
                 return false;
             };
-            let Some(volume_ma60) = ctx.data.market_decision_volume_moving_average(
-                date,
-                symbol,
-                60,
-            ) else {
+            let Some(volume_ma60) = ctx
+                .data
+                .market_decision_volume_moving_average(date, symbol, 60)
+            else {
                 return false;
             };
-            
+
             if volume_ma5 >= volume_ma60 {
                 return false;
             }
@@ -2640,25 +2698,31 @@ impl Strategy for OmniMicroCapStrategy {
             });
         }
 
-        let (index_level, ma_short, ma_long, trading_ratio) = match self.trading_ratio(ctx, date) {
-            Ok(value) => value,
-            Err(BacktestError::Execution(message))
-                if message.contains("insufficient benchmark") =>
-            {
-                return Ok(StrategyDecision {
-                    rebalance: false,
-                    target_weights: BTreeMap::new(),
-                    exit_symbols: BTreeSet::new(),
-                    order_intents: Vec::new(),
-                    notes: vec![format!("warmup: {}", message)],
-                    diagnostics: vec![
-                        "insufficient history; skip trading on warmup dates".to_string(),
-                    ],
-                });
-            }
-            Err(err) => return Err(err),
-        };
-        let (band_low, band_high) = self.market_cap_band(index_level);
+        let (index_level, prev_index_level, ma_short, ma_long, trading_ratio) =
+            match self.trading_ratio(ctx, date) {
+                Ok(value) => value,
+                Err(BacktestError::Execution(message))
+                    if message.contains("insufficient benchmark") =>
+                {
+                    return Ok(StrategyDecision {
+                        rebalance: false,
+                        target_weights: BTreeMap::new(),
+                        exit_symbols: BTreeSet::new(),
+                        order_intents: Vec::new(),
+                        notes: vec![format!("warmup: {}", message)],
+                        diagnostics: vec![
+                            "insufficient history; skip trading on warmup dates".to_string(),
+                        ],
+                    });
+                }
+                Err(err) => return Err(err),
+            };
+        // 使用前一交易日的指数价格计算市值区间（模拟实盘场景）
+        let (band_low, band_high) = self.market_cap_band(prev_index_level);
+        eprintln!(
+            "[DEBUG] date={} current_index={:.2} prev_index={:.2} band=[{:.0}, {:.0}]",
+            date, index_level, prev_index_level, band_low, band_high
+        );
         let (stock_list, selection_notes) = self.select_symbols(ctx, date, band_low, band_high)?;
         let periodic_rebalance = ctx.decision_index % self.config.refresh_rate == 0;
         let mut projected = ctx.portfolio.clone();

crates/fidc-core/src/universe.rs

@@ -124,16 +124,16 @@ impl DynamicMarketCapBandSelector {
         let start = ((benchmark_level - self.base_index_level) * self.xs) + self.base_cap_floor;
         let low = start.round();
         let high = low + self.cap_span;
-        
+
         // Apply padding to expand the range
         let span = high - low;
         let padding = (span * self.padding_ratio)
             .max(self.min_padding)
             .min(self.max_padding);
-        
+
         let lower_bound = (low - padding).max(0.0);
         let upper_bound = high + padding;
-        
+
         (lower_bound, upper_bound)
     }
 }

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);
 }
 

crates/fidc-core/tests/explicit_order_flow.rs

@@ -7,6 +7,108 @@ use fidc_core::{
 };
 use std::collections::{BTreeMap, BTreeSet};
 
+fn order_value_rounding_data(date: NaiveDate, symbol: &str, price: f64) -> DataSet {
+    DataSet::from_components(
+        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(format!("{date} 09:33:00")),
+            day_open: price,
+            open: price,
+            high: price,
+            low: price,
+            close: price,
+            last_price: price,
+            bid1: price,
+            ask1: price,
+            prev_close: price,
+            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: price * 1.1,
+            lower_limit: price * 0.9,
+            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,
+        }],
+    )
+    .expect("dataset")
+}
+
+fn execute_single_value_order(
+    date: NaiveDate,
+    data: &DataSet,
+    symbol: &str,
+    value: f64,
+) -> (PortfolioState, fidc_core::BrokerExecutionReport) {
+    let mut portfolio = PortfolioState::new(20_000.0);
+    let broker = BrokerSimulator::new_with_execution_price(
+        ChinaAShareCostModel::default(),
+        ChinaEquityRuleHooks::default(),
+        PriceField::Open,
+    )
+    .with_strict_value_budget(true);
+    let report = broker
+        .execute(
+            date,
+            &mut portfolio,
+            data,
+            &StrategyDecision {
+                rebalance: false,
+                target_weights: BTreeMap::new(),
+                exit_symbols: BTreeSet::new(),
+                order_intents: vec![OrderIntent::Value {
+                    symbol: symbol.to_string(),
+                    value,
+                    reason: "test_order_value_rounding".to_string(),
+                }],
+                notes: Vec::new(),
+                diagnostics: Vec::new(),
+            },
+        )
+        .expect("broker execution");
+    (portfolio, report)
+}
+
 #[test]
 fn broker_executes_explicit_order_value_buy() {
     let date = NaiveDate::from_ymd_opt(2024, 1, 10).unwrap();
@@ -122,6 +224,171 @@ fn broker_executes_explicit_order_value_buy() {
     assert!(portfolio.cash() < 1_000_000.0);
 }
 
+#[test]
+fn broker_order_value_rounds_to_nearest_lot_when_min_lot_is_affordable() {
+    let date = NaiveDate::from_ymd_opt(2025, 1, 24).unwrap();
+    let symbol = "003017.SZ";
+    let data = order_value_rounding_data(date, symbol, 19.97);
+
+    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, 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]
+fn broker_order_value_skips_when_one_lot_exceeds_budget() {
+    let date = NaiveDate::from_ymd_opt(2025, 1, 2).unwrap();
+    let symbol = "300321.SZ";
+    let data = order_value_rounding_data(date, symbol, 20.38);
+
+    let (portfolio, report) = execute_single_value_order(date, &data, symbol, 2_000.0);
+
+    assert!(report.fill_events.is_empty());
+    assert!(portfolio.position(symbol).is_none());
+}
+
 #[test]
 fn broker_executes_order_shares_and_order_lots() {
     let date = NaiveDate::from_ymd_opt(2024, 1, 10).unwrap();
@@ -778,7 +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
@@ -1438,6 +1705,121 @@ fn broker_rejects_intraday_last_order_without_execution_quotes() {
     assert!(portfolio.position("000002.SZ").is_none());
 }
 
+#[test]
+fn broker_executes_intraday_last_on_start_quote_without_trade_delta() {
+    let date = NaiveDate::from_ymd_opt(2024, 1, 10).unwrap();
+    let data = DataSet::from_components_with_actions_and_quotes(
+        vec![Instrument {
+            symbol: "000002.SZ".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: "000002.SZ".to_string(),
+            timestamp: Some("2024-01-10 09:33:00".to_string()),
+            day_open: 15.0,
+            open: 15.0,
+            high: 15.5,
+            low: 14.8,
+            close: 15.2,
+            last_price: 15.2,
+            bid1: 15.19,
+            ask1: 15.21,
+            prev_close: 15.0,
+            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: 16.5,
+            lower_limit: 13.5,
+            price_tick: 0.01,
+        }],
+        vec![DailyFactorSnapshot {
+            date,
+            symbol: "000002.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(),
+        }],
+        vec![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,
+        }],
+        Vec::new(),
+        vec![IntradayExecutionQuote {
+            date,
+            symbol: "000002.SZ".to_string(),
+            timestamp: date.and_hms_opt(9, 33, 0).unwrap(),
+            last_price: 15.2,
+            bid1: 15.19,
+            ask1: 15.21,
+            bid1_volume: 8,
+            ask1_volume: 8,
+            volume_delta: 0,
+            amount_delta: 0.0,
+            trading_phase: Some("continuous".to_string()),
+        }],
+    )
+    .expect("dataset");
+    let mut portfolio = PortfolioState::new(1_000_000.0);
+    let broker = BrokerSimulator::new_with_execution_price(
+        ChinaAShareCostModel::default(),
+        ChinaEquityRuleHooks::default(),
+        PriceField::Last,
+    )
+    .with_intraday_execution_start_time(chrono::NaiveTime::from_hms_opt(9, 33, 0).unwrap());
+
+    let report = broker
+        .execute(
+            date,
+            &mut portfolio,
+            &data,
+            &StrategyDecision {
+                rebalance: false,
+                target_weights: BTreeMap::new(),
+                exit_symbols: BTreeSet::new(),
+                order_intents: vec![OrderIntent::Value {
+                    symbol: "000002.SZ".to_string(),
+                    value: 4_000.0,
+                    reason: "start_quote".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, 200);
+    assert!((report.fill_events[0].price - 15.2).abs() < 1e-9);
+    assert_eq!(report.order_events[0].status, OrderStatus::Filled);
+}
+
 #[test]
 fn broker_cancels_market_order_remainder_when_intraday_quote_liquidity_exhausted() {
     let date = NaiveDate::from_ymd_opt(2024, 1, 10).unwrap();
@@ -2256,7 +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()),