修正回测指标和成交时间口径

This commit is contained in:
boris
2026-06-14 01:08:29 +08:00
parent 4c3653e009
commit 0cfb7625bf
4 changed files with 313 additions and 94 deletions
@@ -1658,7 +1658,7 @@ fn broker_applies_tick_size_slippage_on_intraday_last_fills() {
vec![IntradayExecutionQuote {
date,
symbol: "000002.SZ".to_string(),
timestamp: date.and_hms_opt(10, 18, 3).unwrap(),
timestamp: date.and_hms_opt(10, 18, 0).unwrap(),
last_price: 10.0,
bid1: 9.99,
ask1: 10.01,
@@ -1804,7 +1804,7 @@ fn broker_rejects_intraday_last_order_without_execution_quotes() {
assert!(
report.order_events[0]
.reason
.contains("no execution quotes after start")
.contains("no execution quotes at or before start")
);
assert!(portfolio.position("000002.SZ").is_none());
}
@@ -1993,7 +1993,7 @@ fn broker_cancels_market_order_remainder_when_intraday_quote_liquidity_exhausted
vec![IntradayExecutionQuote {
date,
symbol: "000002.SZ".to_string(),
timestamp: date.and_hms_opt(10, 18, 3).unwrap(),
timestamp: date.and_hms_opt(10, 18, 0).unwrap(),
last_price: 10.02,
bid1: 10.01,
ask1: 10.03,