修复平台策略撮合限价与回补语义

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/platform_expr_strategy.rs

@@ -1127,6 +1127,21 @@ impl PlatformExprStrategy {
             Some(market) => market,
             None => return 0,
         };
+        let stock = match self.stock_state(ctx, date, symbol) {
+            Ok(stock) => stock,
+            Err(BacktestError::Data(crate::data::DataSetError::MissingSnapshot { .. })) => {
+                return 0;
+            }
+            Err(_) => return 0,
+        };
+        if self
+            .buy_rejection_reason(ctx, date, symbol, &stock)
+            .ok()
+            .flatten()
+            .is_some()
+        {
+            return 0;
+        }
         let execution_price = self.projected_execution_price(market, OrderSide::Buy);
         let sizing_price = execution_price;
         if !sizing_price.is_finite() || sizing_price <= 0.0 {
@@ -4872,6 +4887,7 @@ impl Strategy for PlatformExprStrategy {
         let mut projected_execution_state = ProjectedExecutionState::default();
         let mut order_intents = Vec::new();
         let mut exit_symbols = BTreeSet::new();
+        let mut same_day_sold_symbols = BTreeSet::<String>::new();
         let mut intraday_attempted_buys = BTreeSet::<String>::new();
         let mut delayed_sold_symbols = BTreeSet::<String>::new();
         let mut unresolved_stop_loss_symbols = BTreeSet::<String>::new();
@@ -4952,13 +4968,18 @@ impl Strategy for PlatformExprStrategy {
                 end_time: Some(NaiveTime::from_hms_opt(9, 31, 0).expect("valid time")),
                 reason: "delayed_limit_open_sell".to_string(),
             });
-            self.project_target_zero(
+            if self
+                .project_target_zero(
                     ctx,
                     &mut projected,
                     execution_date,
                     &symbol,
                     &mut projected_execution_state,
-            );
+                )
+                .is_some()
+            {
+                same_day_sold_symbols.insert(symbol.clone());
+            }
             delayed_sold_symbols.insert(symbol.clone());
             self.pending_highlimit_holdings.remove(&symbol);
         }
@@ -4992,13 +5013,18 @@ impl Strategy for PlatformExprStrategy {
                     reason: sell_reason.to_string(),
                 });
                 if can_sell {
-                    self.project_target_zero(
+                    if self
+                        .project_target_zero(
                             ctx,
                             &mut projected,
                             execution_date,
                             &position.symbol,
                             &mut projected_execution_state,
-                    );
+                        )
+                        .is_some()
+                    {
+                        same_day_sold_symbols.insert(position.symbol.clone());
+                    }
                 } else if stop_hit {
                     unresolved_stop_loss_symbols.insert(position.symbol.clone());
                 }
@@ -5030,10 +5056,18 @@ impl Strategy for PlatformExprStrategy {
                     for symbol in &stock_list {
                         if symbol == &position.symbol
                             || projected.positions().contains_key(symbol)
+                            || same_day_sold_symbols.contains(symbol)
                             || intraday_attempted_buys.contains(symbol)
                         {
                             continue;
                         }
+                        let execution_stock = self.stock_state(ctx, execution_date, symbol)?;
+                        if self
+                            .buy_rejection_reason(ctx, execution_date, symbol, &execution_stock)?
+                            .is_some()
+                        {
+                            continue;
+                        }
                         let decision_stock = self.stock_state_with_factor_date(
                             ctx,
                             decision_date,
@@ -5088,13 +5122,18 @@ impl Strategy for PlatformExprStrategy {
                     target_value: 0.0,
                     reason: "periodic_rebalance_sell".to_string(),
                 });
-                self.project_target_zero(
+                if self
+                    .project_target_zero(
                         ctx,
                         &mut projected,
                         execution_date,
                         symbol,
                         &mut projected_execution_state,
-                );
+                    )
+                    .is_some()
+                {
+                    same_day_sold_symbols.insert(symbol.clone());
+                }
             }
 
             let fixed_buy_cash = aiquant_total_value * trading_ratio / selection_limit as f64;
@@ -5108,6 +5147,7 @@ impl Strategy for PlatformExprStrategy {
                 }
                 if pre_rebalance_symbols.contains(symbol)
                     || projected.positions().contains_key(symbol)
+                    || same_day_sold_symbols.contains(symbol)
                 {
                     continue;
                 }
@@ -7118,6 +7158,186 @@ mod tests {
         );
     }
 
+    #[test]
+    fn platform_daily_top_up_does_not_buy_back_same_day_exit() {
+        let prev_date = d(2025, 2, 25);
+        let date = d(2025, 2, 26);
+        let symbols = ["000001.SZ", "000002.SZ", "000003.SZ"];
+        let data = DataSet::from_components_with_actions_and_quotes(
+            symbols
+                .iter()
+                .map(|symbol| Instrument {
+                    symbol: (*symbol).to_string(),
+                    name: (*symbol).to_string(),
+                    board: "SZ".to_string(),
+                    round_lot: 100,
+                    listed_at: Some(d(2020, 1, 1)),
+                    delisted_at: None,
+                    status: "active".to_string(),
+                })
+                .collect(),
+            symbols
+                .iter()
+                .map(|symbol| DailyMarketSnapshot {
+                    date,
+                    symbol: (*symbol).to_string(),
+                    timestamp: Some("2025-02-26 09:33:00".to_string()),
+                    day_open: 10.0,
+                    open: 10.0,
+                    high: 10.5,
+                    low: 9.8,
+                    close: 10.0,
+                    last_price: 10.0,
+                    bid1: 10.0,
+                    ask1: 10.0,
+                    prev_close: 9.9,
+                    volume: 1_000_000,
+                    tick_volume: 10_000,
+                    bid1_volume: 2_000,
+                    ask1_volume: 2_000,
+                    trading_phase: Some("continuous".to_string()),
+                    paused: false,
+                    upper_limit: 11.0,
+                    lower_limit: 9.0,
+                    price_tick: 0.01,
+                })
+                .collect(),
+            symbols
+                .iter()
+                .map(|symbol| DailyFactorSnapshot {
+                    date,
+                    symbol: (*symbol).to_string(),
+                    market_cap_bn: match *symbol {
+                        "000001.SZ" => 8.0,
+                        "000003.SZ" => 9.0,
+                        _ => 10.0,
+                    },
+                    free_float_cap_bn: 10.0,
+                    pe_ttm: 8.0,
+                    turnover_ratio: Some(1.0),
+                    effective_turnover_ratio: Some(1.0),
+                    extra_factors: BTreeMap::new(),
+                })
+                .collect(),
+            symbols
+                .iter()
+                .map(|symbol| 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,
+                })
+                .collect(),
+            vec![BenchmarkSnapshot {
+                date,
+                benchmark: "000852.SH".to_string(),
+                open: 1000.0,
+                close: 1002.0,
+                prev_close: 998.0,
+                volume: 1_000_000,
+            }],
+            Vec::new(),
+            symbols
+                .iter()
+                .map(|symbol| IntradayExecutionQuote {
+                    date,
+                    symbol: (*symbol).to_string(),
+                    timestamp: date.and_hms_opt(9, 33, 0).expect("valid timestamp"),
+                    last_price: 10.0,
+                    bid1: 10.0,
+                    ask1: 10.0,
+                    bid1_volume: 10_000,
+                    ask1_volume: 10_000,
+                    volume_delta: 10_000,
+                    amount_delta: 100_000.0,
+                    trading_phase: Some("continuous".to_string()),
+                })
+                .collect(),
+        )
+        .expect("dataset");
+
+        let mut portfolio = PortfolioState::new(20_000.0);
+        portfolio.position_mut("000001.SZ").buy(prev_date, 100, 8.0);
+        portfolio
+            .position_mut("000002.SZ")
+            .buy(prev_date, 100, 10.0);
+        let subscriptions = BTreeSet::new();
+        let ctx = StrategyContext {
+            execution_date: date,
+            decision_date: date,
+            decision_index: 20,
+            data: &data,
+            portfolio: &portfolio,
+            futures_account: None,
+            open_orders: &[],
+            dynamic_universe: None,
+            subscriptions: &subscriptions,
+            process_events: &[],
+            active_process_event: None,
+            active_datetime: None,
+            order_events: &[],
+            fills: &[],
+        };
+        let mut cfg = PlatformExprStrategyConfig::microcap_rotation();
+        cfg.signal_symbol = "000001.SZ".to_string();
+        cfg.refresh_rate = 99;
+        cfg.max_positions = 3;
+        cfg.benchmark_short_ma_days = 1;
+        cfg.benchmark_long_ma_days = 1;
+        cfg.market_cap_lower_expr = "0".to_string();
+        cfg.market_cap_upper_expr = "100".to_string();
+        cfg.selection_limit_expr = "3".to_string();
+        cfg.stock_filter_expr = "close > 0".to_string();
+        cfg.take_profit_expr = "1.1".to_string();
+        cfg.daily_top_up_enabled = true;
+        let mut strategy = PlatformExprStrategy::new(cfg);
+        strategy.rebalance_day_counter = 2;
+
+        let decision = strategy.on_day(&ctx).expect("platform decision");
+
+        assert!(
+            decision.order_intents.iter().any(|intent| matches!(
+                intent,
+                OrderIntent::TargetValue {
+                    symbol,
+                    target_value,
+                    ..
+                } if symbol == "000001.SZ" && *target_value == 0.0
+            )),
+            "{:?}",
+            decision.order_intents
+        );
+        assert!(
+            decision.order_intents.iter().any(|intent| matches!(
+                intent,
+                OrderIntent::Value {
+                    symbol,
+                    reason,
+                    ..
+                } if symbol == "000003.SZ" && reason == "daily_top_up_buy"
+            )),
+            "{:?}",
+            decision.order_intents
+        );
+        assert!(
+            !decision.order_intents.iter().any(|intent| matches!(
+                intent,
+                OrderIntent::Value {
+                    symbol,
+                    reason,
+                    ..
+                } if symbol == "000001.SZ" && reason == "daily_top_up_buy"
+            )),
+            "{:?}",
+            decision.order_intents
+        );
+    }
+
     #[test]
     fn platform_daily_top_up_excludes_unsellable_stop_loss_from_target_count() {
         let prev_date = d(2026, 3, 31);