修正跨调度撮合流动性重复消费
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boris
+395
-89
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@@ -77,6 +77,117 @@ fn order_value_rounding_data(date: NaiveDate, symbol: &str, price: f64) -> DataS
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.expect("dataset")
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}
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fn intraday_liquidity_data(date: NaiveDate, symbol: &str) -> DataSet {
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DataSet::from_components_with_actions_and_quotes(
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vec![Instrument {
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symbol: symbol.to_string(),
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name: "Test".to_string(),
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board: "SZ".to_string(),
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round_lot: 100,
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listed_at: None,
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delisted_at: None,
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status: "active".to_string(),
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}],
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vec![DailyMarketSnapshot {
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date,
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symbol: symbol.to_string(),
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timestamp: Some(format!("{date} 10:19:00")),
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day_open: 10.0,
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open: 10.0,
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high: 10.2,
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low: 9.8,
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close: 10.0,
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last_price: 10.0,
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bid1: 9.99,
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ask1: 10.0,
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prev_close: 10.0,
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volume: 100_000,
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minute_volume: 1_000,
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bid1_volume: 5,
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ask1_volume: 5,
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trading_phase: Some("continuous".to_string()),
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paused: false,
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upper_limit: 11.0,
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lower_limit: 9.0,
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price_tick: 0.01,
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}],
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vec![DailyFactorSnapshot {
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date,
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symbol: symbol.to_string(),
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market_cap_bn: 50.0,
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free_float_cap_bn: 45.0,
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pe_ttm: 15.0,
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turnover_ratio: Some(2.0),
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effective_turnover_ratio: Some(1.8),
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extra_factors: BTreeMap::new(),
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}],
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vec![CandidateEligibility {
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date,
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symbol: symbol.to_string(),
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is_st: false,
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is_star_st: false,
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is_new_listing: false,
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is_paused: false,
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allow_buy: true,
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allow_sell: true,
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is_kcb: false,
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is_one_yuan: false,
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risk_level_code: None,
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}],
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vec![BenchmarkSnapshot {
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date,
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benchmark: "000300.SH".to_string(),
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open: 100.0,
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close: 100.0,
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prev_close: 99.0,
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volume: 1_000_000,
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}],
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Vec::new(),
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vec![
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IntradayExecutionQuote {
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date,
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symbol: symbol.to_string(),
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timestamp: date.and_hms_opt(10, 18, 0).unwrap(),
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last_price: 10.0,
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bid1: 9.99,
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ask1: 10.0,
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bid1_volume: 4,
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ask1_volume: 4,
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volume_delta: 1_000,
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amount_delta: 10_000.0,
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trading_phase: Some("continuous".to_string()),
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},
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IntradayExecutionQuote {
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date,
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symbol: symbol.to_string(),
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timestamp: date.and_hms_opt(10, 19, 0).unwrap(),
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last_price: 10.0,
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bid1: 9.99,
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ask1: 10.0,
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bid1_volume: 4,
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ask1_volume: 4,
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volume_delta: 1_000,
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amount_delta: 10_000.0,
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trading_phase: Some("continuous".to_string()),
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},
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IntradayExecutionQuote {
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date,
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symbol: symbol.to_string(),
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timestamp: date.and_hms_opt(10, 20, 0).unwrap(),
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last_price: 10.0,
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bid1: 9.99,
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ask1: 10.0,
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bid1_volume: 5,
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ask1_volume: 5,
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volume_delta: 1_000,
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amount_delta: 10_000.0,
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trading_phase: Some("continuous".to_string()),
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},
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],
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)
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.expect("dataset")
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}
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fn execute_single_value_order(
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date: NaiveDate,
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data: &DataSet,
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@@ -4830,6 +4941,251 @@ fn broker_ioc_limit_order_fills_available_quantity_and_cancels_remainder() {
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assert_eq!(portfolio.position("000002.SZ").unwrap().quantity, 100);
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}
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#[test]
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fn broker_persists_daily_volume_consumption_across_execute_calls() {
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let day1 = NaiveDate::from_ymd_opt(2024, 1, 10).unwrap();
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let day2 = NaiveDate::from_ymd_opt(2024, 1, 11).unwrap();
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let data = two_day_limit_order_data(10.0, 10.0);
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let broker = BrokerSimulator::new_with_execution_price(
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ChinaAShareCostModel::default(),
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ChinaEquityRuleHooks::default(),
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PriceField::Open,
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)
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.with_volume_limit(true)
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.with_volume_percent(0.001)
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.with_liquidity_limit(false);
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let mut portfolio = PortfolioState::new(1_000_000.0);
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let decision = || StrategyDecision {
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order_intents: vec![OrderIntent::Shares {
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symbol: "000002.SZ".to_string(),
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quantity: 100,
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reason: "daily_volume_session_buy".to_string(),
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}],
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..StrategyDecision::default()
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};
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let first = broker
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.execute(day1, &mut portfolio, &data, &decision())
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.expect("first same-day execution");
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assert_eq!(first.fill_events.len(), 1);
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assert_eq!(first.fill_events[0].quantity, 100);
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let second = broker
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.execute(day1, &mut portfolio, &data, &decision())
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.expect("second same-day execution");
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assert!(second.fill_events.is_empty());
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assert_eq!(second.order_events.len(), 1);
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assert_eq!(second.order_events[0].status, OrderStatus::Canceled);
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assert_eq!(second.order_events[0].filled_quantity, 0);
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assert!(second.order_events[0].reason.contains("daily volume limit"));
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assert_eq!(portfolio.position("000002.SZ").unwrap().quantity, 100);
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let next_day = broker
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.execute(day2, &mut portfolio, &data, &decision())
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.expect("next-day execution resets daily liquidity");
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assert_eq!(next_day.fill_events.len(), 1);
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assert_eq!(next_day.fill_events[0].quantity, 100);
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assert_eq!(portfolio.position("000002.SZ").unwrap().quantity, 200);
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}
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#[test]
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fn broker_persists_quote_depth_until_fresh_level_data_arrives() {
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let date = NaiveDate::from_ymd_opt(2024, 1, 10).unwrap();
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let symbol = "000002.SZ";
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let data = intraday_liquidity_data(date, symbol);
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let broker = BrokerSimulator::new_with_execution_price(
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ChinaAShareCostModel::default(),
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ChinaEquityRuleHooks::default(),
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PriceField::Last,
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)
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.with_matching_type(MatchingType::MinuteLast)
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.with_volume_limit(false)
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.with_liquidity_limit(true);
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let mut portfolio = PortfolioState::new(1_000_000.0);
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let decision = |quantity| StrategyDecision {
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order_intents: vec![OrderIntent::Shares {
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symbol: symbol.to_string(),
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quantity,
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reason: "quote_depth_session_buy".to_string(),
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}],
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..StrategyDecision::default()
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};
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let at_1018 = NaiveTime::from_hms_opt(10, 18, 0).unwrap();
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let at_1019 = NaiveTime::from_hms_opt(10, 19, 0).unwrap();
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let at_1020 = NaiveTime::from_hms_opt(10, 20, 0).unwrap();
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let atomic_reject = broker
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.execute_between(
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date,
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&mut portfolio,
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&data,
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&StrategyDecision {
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order_intents: vec![
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OrderIntent::Shares {
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symbol: symbol.to_string(),
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quantity: 500,
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reason: "quote_depth_fok_buy".to_string(),
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}
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.with_time_in_force(OrderTimeInForce::Fok),
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],
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..StrategyDecision::default()
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},
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Some(at_1018),
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Some(at_1018),
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)
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.expect("FOK rejection must not consume quote depth");
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assert!(atomic_reject.fill_events.is_empty());
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assert_eq!(atomic_reject.order_events[0].status, OrderStatus::Canceled);
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assert!(portfolio.position(symbol).is_none());
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let first = broker
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.execute_between(
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date,
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&mut portfolio,
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&data,
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&decision(300),
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Some(at_1018),
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Some(at_1018),
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)
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.expect("first quote-depth execution");
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assert_eq!(first.fill_events.len(), 1);
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assert_eq!(first.fill_events[0].quantity, 300);
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let second = broker
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.execute_between(
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date,
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&mut portfolio,
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&data,
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&decision(200),
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Some(at_1018),
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Some(at_1018),
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)
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.expect("second quote-depth execution");
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assert_eq!(second.fill_events.len(), 1);
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assert_eq!(second.fill_events[0].quantity, 100);
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assert_eq!(second.order_events[0].status, OrderStatus::Canceled);
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assert_eq!(second.order_events[0].filled_quantity, 100);
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assert!(
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second.order_events[0]
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.reason
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.contains("intraday quote liquidity exhausted")
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);
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let unchanged_level = broker
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.execute_between(
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date,
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&mut portfolio,
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&data,
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&decision(100),
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Some(at_1019),
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Some(at_1019),
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)
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.expect("unchanged level must remain depleted");
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assert!(unchanged_level.fill_events.is_empty());
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assert_eq!(
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unchanged_level.order_events[0].status,
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OrderStatus::Canceled
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);
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assert!(
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unchanged_level.order_events[0]
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.reason
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.contains("intraday quote liquidity exhausted")
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);
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let fresh_level = broker
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.execute_between(
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date,
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&mut portfolio,
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&data,
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&decision(200),
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Some(at_1020),
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Some(at_1020),
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)
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.expect("fresh quote level resets depth consumption");
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assert_eq!(fresh_level.fill_events.len(), 1);
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assert_eq!(fresh_level.fill_events[0].quantity, 200);
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assert_eq!(fresh_level.order_events[0].status, OrderStatus::Filled);
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assert_eq!(portfolio.position(symbol).unwrap().quantity, 600);
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}
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#[test]
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fn broker_persists_quote_volume_participation_until_next_quote() {
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let date = NaiveDate::from_ymd_opt(2024, 1, 10).unwrap();
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let symbol = "000002.SZ";
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let data = intraday_liquidity_data(date, symbol);
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let broker = BrokerSimulator::new_with_execution_price(
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ChinaAShareCostModel::default(),
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ChinaEquityRuleHooks::default(),
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PriceField::Last,
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)
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.with_matching_type(MatchingType::MinuteLast)
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.with_volume_limit(true)
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.with_volume_percent(0.25)
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.with_liquidity_limit(false);
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let mut portfolio = PortfolioState::new(1_000_000.0);
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let decision = |quantity| StrategyDecision {
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order_intents: vec![OrderIntent::Shares {
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symbol: symbol.to_string(),
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quantity,
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reason: "quote_volume_session_buy".to_string(),
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}],
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..StrategyDecision::default()
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};
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let at_1018 = NaiveTime::from_hms_opt(10, 18, 0).unwrap();
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let at_1019 = NaiveTime::from_hms_opt(10, 19, 0).unwrap();
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let first = broker
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.execute_between(
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date,
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&mut portfolio,
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&data,
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&decision(100),
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Some(at_1018),
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Some(at_1018),
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)
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.expect("first quote-volume execution");
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assert_eq!(first.fill_events[0].quantity, 100);
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let second = broker
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.execute_between(
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date,
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&mut portfolio,
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&data,
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&decision(200),
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Some(at_1018),
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Some(at_1018),
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)
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.expect("second quote-volume execution");
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assert_eq!(second.fill_events[0].quantity, 100);
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assert_eq!(second.order_events[0].status, OrderStatus::Canceled);
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let exhausted = broker
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.execute_between(
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date,
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&mut portfolio,
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&data,
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&decision(100),
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Some(at_1018),
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Some(at_1018),
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)
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.expect("quote volume must remain exhausted");
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assert!(exhausted.fill_events.is_empty());
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assert_eq!(exhausted.order_events[0].status, OrderStatus::Canceled);
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let next_quote = broker
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.execute_between(
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date,
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&mut portfolio,
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&data,
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&decision(200),
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Some(at_1019),
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Some(at_1019),
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)
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.expect("next quote receives a fresh participation bucket");
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assert_eq!(next_quote.fill_events[0].quantity, 200);
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assert_eq!(portfolio.position(symbol).unwrap().quantity, 400);
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}
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#[test]
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fn broker_day_market_order_cancels_remainder_without_creating_invalid_open_order() {
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let date = NaiveDate::from_ymd_opt(2024, 1, 10).unwrap();
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