对齐 AiQuant RQAlpha 回测语义

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()),