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Add share and percent order intents

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boris
2026-04-23 02:03:24 -07:00
parent 23ba74909d
commit 0bc224f703
3 changed files with 482 additions and 0 deletions
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231
crates/fidc-core/tests/explicit_order_flow.rs
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@@ -108,6 +108,237 @@ fn broker_executes_explicit_order_value_buy() {
assert!(portfolio.cash() < 1_000_000.0);
}
#[test]
fn broker_executes_order_shares_and_order_lots() {
let date = NaiveDate::from_ymd_opt(2024, 1, 10).unwrap();
let data = DataSet::from_components(
vec![Instrument {
symbol: "000002.SZ".to_string(),
name: "Test".to_string(),
board: "SZ".to_string(),
round_lot: 100,
listed_at: None,
delisted_at: None,
status: "active".to_string(),
}],
vec![DailyMarketSnapshot {
date,
symbol: "000002.SZ".to_string(),
timestamp: Some("2024-01-10 10:18:00".to_string()),
day_open: 10.0,
open: 10.0,
high: 10.1,
low: 9.9,
close: 10.0,
last_price: 10.0,
bid1: 9.99,
ask1: 10.01,
prev_close: 10.0,
volume: 100_000,
tick_volume: 100_000,
bid1_volume: 80_000,
ask1_volume: 80_000,
trading_phase: Some("continuous".to_string()),
paused: false,
upper_limit: 11.0,
lower_limit: 9.0,
price_tick: 0.01,
}],
vec![DailyFactorSnapshot {
date,
symbol: "000002.SZ".to_string(),
market_cap_bn: 50.0,
free_float_cap_bn: 45.0,
pe_ttm: 15.0,
turnover_ratio: Some(2.0),
effective_turnover_ratio: Some(1.8),
extra_factors: BTreeMap::new(),
}],
vec![CandidateEligibility {
date,
symbol: "000002.SZ".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,
}],
vec![BenchmarkSnapshot {
date,
benchmark: "000300.SH".to_string(),
open: 100.0,
close: 100.0,
prev_close: 99.0,
volume: 1_000_000,
}],
)
.expect("dataset");
let mut portfolio = PortfolioState::new(1_000_000.0);
let broker = BrokerSimulator::new_with_execution_price(
ChinaAShareCostModel::default(),
ChinaEquityRuleHooks::default(),
PriceField::Open,
);
let report = broker
.execute(
date,
&mut portfolio,
&data,
&StrategyDecision {
rebalance: false,
target_weights: BTreeMap::new(),
exit_symbols: BTreeSet::new(),
order_intents: vec![
OrderIntent::Shares {
symbol: "000002.SZ".to_string(),
quantity: 250,
reason: "shares_buy".to_string(),
},
OrderIntent::Lots {
symbol: "000002.SZ".to_string(),
lots: 3,
reason: "lots_buy".to_string(),
},
],
notes: Vec::new(),
diagnostics: Vec::new(),
},
)
.expect("broker execution");
assert_eq!(report.order_events.len(), 2);
assert_eq!(report.fill_events.len(), 2);
assert_eq!(report.fill_events[0].quantity, 200);
assert_eq!(report.fill_events[1].quantity, 300);
assert_eq!(
portfolio.position("000002.SZ").expect("position").quantity,
500
);
}
#[test]
fn broker_executes_order_percent_and_target_percent() {
let date = NaiveDate::from_ymd_opt(2024, 1, 10).unwrap();
let data = DataSet::from_components(
vec![Instrument {
symbol: "000002.SZ".to_string(),
name: "Test".to_string(),
board: "SZ".to_string(),
round_lot: 100,
listed_at: None,
delisted_at: None,
status: "active".to_string(),
}],
vec![DailyMarketSnapshot {
date,
symbol: "000002.SZ".to_string(),
timestamp: Some("2024-01-10 10:18:00".to_string()),
day_open: 10.0,
open: 10.0,
high: 10.1,
low: 9.9,
close: 10.0,
last_price: 10.0,
bid1: 9.99,
ask1: 10.01,
prev_close: 10.0,
volume: 100_000,
tick_volume: 100_000,
bid1_volume: 80_000,
ask1_volume: 80_000,
trading_phase: Some("continuous".to_string()),
paused: false,
upper_limit: 11.0,
lower_limit: 9.0,
price_tick: 0.01,
}],
vec![DailyFactorSnapshot {
date,
symbol: "000002.SZ".to_string(),
market_cap_bn: 50.0,
free_float_cap_bn: 45.0,
pe_ttm: 15.0,
turnover_ratio: Some(2.0),
effective_turnover_ratio: Some(1.8),
extra_factors: BTreeMap::new(),
}],
vec![CandidateEligibility {
date,
symbol: "000002.SZ".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,
}],
vec![BenchmarkSnapshot {
date,
benchmark: "000300.SH".to_string(),
open: 100.0,
close: 100.0,
prev_close: 99.0,
volume: 1_000_000,
}],
)
.expect("dataset");
let broker = BrokerSimulator::new_with_execution_price(
ChinaAShareCostModel::default(),
ChinaEquityRuleHooks::default(),
PriceField::Open,
);
let mut percent_portfolio = PortfolioState::new(1_000_000.0);
let percent_report = broker
.execute(
date,
&mut percent_portfolio,
&data,
&StrategyDecision {
rebalance: false,
target_weights: BTreeMap::new(),
exit_symbols: BTreeSet::new(),
order_intents: vec![OrderIntent::Percent {
symbol: "000002.SZ".to_string(),
percent: 0.10,
reason: "percent_buy".to_string(),
}],
notes: Vec::new(),
diagnostics: Vec::new(),
},
)
.expect("percent execution");
assert_eq!(percent_report.fill_events.len(), 1);
assert_eq!(percent_report.fill_events[0].quantity, 10_000);
let mut target_percent_portfolio = PortfolioState::new(1_000_000.0);
let target_percent_report = broker
.execute(
date,
&mut target_percent_portfolio,
&data,
&StrategyDecision {
rebalance: false,
target_weights: BTreeMap::new(),
exit_symbols: BTreeSet::new(),
order_intents: vec![OrderIntent::TargetPercent {
symbol: "000002.SZ".to_string(),
target_percent: 0.0505,
reason: "target_percent_buy".to_string(),
}],
notes: Vec::new(),
diagnostics: Vec::new(),
},
)
.expect("target percent execution");
assert_eq!(target_percent_report.fill_events.len(), 1);
assert_eq!(target_percent_report.fill_events[0].quantity, 5_000);
}
#[test]
fn broker_uses_day_open_price_for_open_auction_matching() {
let date = NaiveDate::from_ymd_opt(2024, 1, 10).unwrap();