修复回测撮合与AiQuant兼容语义

crates/fidc-core/src/broker.rs

@@ -2277,7 +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,
@@ -3641,7 +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,
@@ -4275,6 +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,
@@ -4288,7 +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")
         })
     }
 
@@ -4426,6 +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() {
@@ -4437,6 +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,
@@ -4523,6 +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;
         }
 
@@ -4619,7 +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,
     }
 }
@@ -4629,7 +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
         }
@@ -4658,8 +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)
@@ -4706,4 +4811,78 @@ mod tests {
             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> {
@@ -3385,6 +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/portfolio.rs

@@ -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;
@@ -230,13 +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;
@@ -258,6 +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;
@@ -280,6 +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<_>>();
@@ -759,6 +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<_>>();
@@ -855,6 +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();

crates/fidc-core/src/strategy.rs

@@ -2388,11 +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()));
         }
@@ -2744,8 +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 {