Quote-quantity MARKET BUY rounding can exceed requested notional in backtest — intended behavior?

[kevinthaniel]

I reproduced this with NautilusTrader 2.0.0rc5 using a local backtest with synthetic quotes. No live exchange orders were involved.
Before filing a bug, I would like to clarify whether this behavior is intentional.
Observed behavior
For a spot instrument with:

• Size precision: 6
• Size increment: 0.000001
• Ask price: 110000.00 USDT
• MARKET BUY with quote_quantity=True
• Requested quote amount: 399.600000 USDT

The backtest converted the order to 0.003633 BTC, producing:
Requested quote amount: 399.600000 USDT
Updated base quantity: 0.003633 BTC
Fill price: 110000.00 USDT
Executed notional: 399.63000000 USDT
Commission: 0.39963000 USDT
Total debit: 400.02963000 USDT

The executed notional exceeds the requested quote amount by 0.03 USDT, before commission.
Source-code observation
In the v2.0.0rc5 source, OrderMatchingEngine::convert_quote_to_base_quantity calls Instrument::calculate_base_quantity.
The underlying try_calculate_base_quantity uses RoundingStrategy::MidpointNearestEven, which appears consistent with the observed result:
399.60 / 110000 = 0.003632727...
Nearest rounding: 0.003633
Rounding down: 0.003632

Questions

1. Is a quote-quantity MARKET BUY intended to constrain executed notional, excluding fees, or is the quote amount only an approximate sizing reference in backtests?
2. Is rounding upward intentional in this conversion?
3. If exceeding the requested notional is not intended, should this be filed as a bug at the backtest conversion boundary?
4. Is there an existing supported configuration for this behavior?
   I have not tested a development wheel or live Binance execution, and I am not claiming equivalent live behavior.

[mkzung]

1. In a backtest it is a sizing reference, not a cap. The matching engine turns the quote amount into a base quantity once, at the best ask, and from then on fills it as a normal base order.

2. Yes, that is how the code works. try_calculate_base_quantity rounds to the nearest size step, so it can round up. The most it can go over is half a step times the price, 0.055 USDT in your case:

   nautilus_trader/crates/model/src/instruments/mod.rs

   Lines 588 to 604 in f95360d

   	fn try_calculate_base_quantity(
   	&self,
   	quantity: Quantity,
   	last_price: Price,
   	) -> anyhow::Result<Quantity> {
   	let last_px = last_price.as_decimal();
   	if last_px.is_zero() {
   	anyhow::bail!("`last_price` was zero when calculating base quantity");
   	}
   	let precision = u32::from(self.min_size_increment_precision());
   	let value = quantity
   	.as_decimal()
   	.checked_div(last_px)
   	.ok_or_else(|| anyhow::anyhow!("Base quantity exceeds Decimal bounds"))?
   	.round_dp_with_strategy(precision, RoundingStrategy::MidpointNearestEven);
   	Quantity::from_decimal_dp(value, self.size_precision()).map_err(Into::into)
   	}

3. That is for the maintainers to say. The risk engine and the Hyperliquid adapter call the same function, so a fix in the matching engine would touch less.

4. I found no setting. To never go over, size it in base yourself with make_qty and round_down=True (0.003632, which is 399.52 USDT) and send a normal market order.

On live Binance spot the adapter sends the amount as quoteOrderQty, so Binance does the conversion, not this code.