Reinforcement learning is one of the promising approaches for algorithmic trading in financial markets. However, in certain situations, buy or sell orders issued by an algorithmic trading program may not be fulfilled entirely. By considering the actual scenarios from the financial markets, in this paper, we propose a novel framework named Supervised Actor-Critic Reinforcement Learning with Action Feedback (SACRL-AF) for solving this problem. The action feedback mechanism of SACRL-AF notifies the actor about the dealt positions and corrects the transitions of the replay buffer. Meanwhile, the dealt positions are used as the labels for the supervised learning. Recent studies have shown that Deep Deterministic Policy Gradient (DDPG) and Twin Delayed Deep Deterministic Policy Gradient (TD3) are more stable and superior to other actor-critic algorithms. Against this background, based on the proposed SACRL-AF framework, two reinforcement learning algorithms henceforth referred to as Supervised Deep Deterministic Policy Gradient with Action Feedback (SDDPG-AF) and Supervised Twin Delayed Deep Deterministic Policy Gradient with Action Feedback (STD3-AF) are proposed in this paper. Experimental results show that SDDPG-AF and STD3-AF achieve the state-of-art performance in profitability.