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fix: keep decision estimates independent and use timed capacity in fill fixtures

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boris
2026-09-12 06:46:49 +08:00
parent 053f880e34
commit 24cb4805a7
7 changed files with 89 additions and 53 deletions
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crates/fidc-core/src/broker.rs
+4 -1
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@@ -7725,7 +7725,7 @@ where
} else {
remaining_qty.min(available_qty)
};
if !(side == OrderSide::Sell && allow_odd_lot_sell && take_qty == remaining_qty) {
if !(side == OrderSide::Sell && allow_odd_lot_sell) {
take_qty =
self.round_buy_quantity(take_qty, minimum_order_quantity, order_step_size);
}
@@ -8397,6 +8397,7 @@ mod tests {
vec![dated_limit_test_benchmark(first), dated_limit_test_benchmark(second)],
).unwrap();
let broker = BrokerSimulator::new(ChinaAShareCostModel::default(), ChinaEquityRuleHooks)
.with_volume_capacity_mode(crate::execution_capacity::VolumeCapacityMode::SessionCapacityAudit)
.with_matching_type(MatchingType::CurrentBarClose);
let mut portfolio = PortfolioState::new(100_000.0);
broker.execute(first, &mut portfolio, &data, &next_open_buy_decision()).unwrap();
@@ -8423,6 +8424,7 @@ mod tests {
let data = DataSet::from_components(vec![limit_test_instrument()], vec![limit_test_snapshot()],
Vec::new(), vec![limit_test_candidate(true, true)], vec![limit_test_benchmark()]).unwrap();
let broker = BrokerSimulator::new(ChinaAShareCostModel::default(), ChinaEquityRuleHooks)
.with_volume_capacity_mode(crate::execution_capacity::VolumeCapacityMode::SessionCapacityAudit)
.with_matching_type(MatchingType::CurrentBarClose);
broker.upsert_open_order(test_open_order(99));
let mut decision = StrategyDecision::default();
@@ -8450,6 +8452,7 @@ mod tests {
dated_limit_test_candidate(second, false, false, true, true)],
vec![dated_limit_test_benchmark(first), dated_limit_test_benchmark(second)]).unwrap();
let broker = BrokerSimulator::new(ChinaAShareCostModel::default(), ChinaEquityRuleHooks)
.with_volume_capacity_mode(crate::execution_capacity::VolumeCapacityMode::SessionCapacityAudit)
.with_matching_type(MatchingType::NextBarOpen);
let mut portfolio = PortfolioState::new(1_000_000.0);
let mut initial = StrategyDecision::default();