修复 AiQuant 微盘回测撮合语义

crates/fidc-core/src/broker.rs

@@ -2918,8 +2918,9 @@ 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(
+                value.abs(),
+                price,
                 minimum_order_quantity,
                 order_step_size,
             );
@@ -3012,8 +3013,9 @@ 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(
+                value.abs(),
+                price,
                 minimum_order_quantity,
                 order_step_size,
             );
@@ -3178,8 +3180,9 @@ 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(
+                value.abs(),
+                price,
                 minimum_order_quantity,
                 order_step_size,
             );
@@ -3396,10 +3399,15 @@ where
         requested_qty
     }
 
-    fn value_budget_gross_limit(&self, value_budget: Option<f64>) -> Option<f64> {
+    fn value_buy_gross_limit(
+        &self,
+        value_budget: Option<f64>,
+        requested_qty: u32,
+        reference_price: f64,
+    ) -> Option<f64> {
         value_budget.map(|budget| {
             if self.strict_value_budget {
-                budget
+                budget.max(reference_price * requested_qty as f64)
             } else {
                 budget + 400.0
             }
@@ -3562,6 +3570,8 @@ 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 +3587,7 @@ where
             execution_cursors,
             None,
             Some(portfolio.cash()),
-            self.value_budget_gross_limit(value_budget),
+            value_gross_limit,
             algo_request,
             limit_price,
         );
@@ -3608,7 +3618,7 @@ 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 +3629,7 @@ 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,
@@ -4054,6 +4064,26 @@ where
         }
     }
 
+    fn value_buy_quantity(
+        &self,
+        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 step = order_step_size.max(1);
+        if price * minimum as f64 > value_budget + 1e-6 {
+            return 0;
+        }
+        let raw_steps = (value_budget / price / step as f64).round();
+        let requested = ((raw_steps.max(1.0) as u32) * step).max(minimum);
+        self.round_buy_quantity(requested, minimum_order_quantity, order_step_size)
+    }
+
     fn decrement_order_quantity(
         &self,
         quantity: u32,
@@ -4340,7 +4370,7 @@ where
             .filter(|quote| {
                 !start_cursor.is_some_and(|cursor| quote.timestamp < cursor)
                     && !end_cursor.is_some_and(|cursor| quote.timestamp > cursor)
-                    && quote.volume_delta != 0
+                    && self.quote_has_executable_liquidity(quote, side, matching_type)
             })
             .collect();
         let mut filled_qty = 0_u32;
@@ -4466,6 +4496,24 @@ 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 uses_serial_execution_cursor(&self, reason: &str) -> bool {
         let _ = reason;
         false