Add rqalpha-style order reject lifecycle events

crates/fidc-core/src/broker.rs

@@ -950,6 +950,15 @@ where
         };
         if let Some(order) = canceled {
             self.emit_user_canceled_open_order(date, order, reason, report);
+        } else {
+            report.process_events.push(ProcessEvent {
+                date,
+                kind: ProcessEventKind::OrderCancellationReject,
+                order_id: Some(order_id),
+                symbol: None,
+                side: None,
+                detail: format!("reason={reason} status=not_found"),
+            });
         }
     }
 
@@ -974,6 +983,16 @@ where
             *open_orders = retained;
             canceled
         };
+        if canceled.is_empty() {
+            report.process_events.push(ProcessEvent {
+                date,
+                kind: ProcessEventKind::OrderCancellationReject,
+                order_id: None,
+                symbol: Some(symbol.to_string()),
+                side: None,
+                detail: format!("reason={reason} status=no_open_orders_for_symbol"),
+            });
+        }
         for order in canceled {
             self.emit_user_canceled_open_order(date, order, reason, report);
         }
@@ -989,6 +1008,16 @@ where
             let mut open_orders = self.open_orders.borrow_mut();
             std::mem::take(&mut *open_orders)
         };
+        if canceled.is_empty() {
+            report.process_events.push(ProcessEvent {
+                date,
+                kind: ProcessEventKind::OrderCancellationReject,
+                order_id: None,
+                symbol: None,
+                side: None,
+                detail: format!("reason={reason} status=no_open_orders"),
+            });
+        }
         for order in canceled {
             self.emit_user_canceled_open_order(date, order, reason, report);
         }
@@ -1090,6 +1119,14 @@ where
         });
     }
 
+    fn creation_reject_kind(emit_creation_events: bool) -> ProcessEventKind {
+        if emit_creation_events {
+            ProcessEventKind::OrderCreationReject
+        } else {
+            ProcessEventKind::OrderUnsolicitedUpdate
+        }
+    }
+
     fn target_quantities(
         &self,
         date: NaiveDate,
@@ -1578,7 +1615,7 @@ where
             Self::emit_order_process_event(
                 report,
                 date,
-                ProcessEventKind::OrderUnsolicitedUpdate,
+                Self::creation_reject_kind(emit_creation_events),
                 order_id,
                 symbol,
                 OrderSide::Sell,
@@ -1674,7 +1711,7 @@ where
                 Self::emit_order_process_event(
                     report,
                     date,
-                    ProcessEventKind::OrderUnsolicitedUpdate,
+                    Self::creation_reject_kind(emit_creation_events),
                     order_id,
                     symbol,
                     OrderSide::Sell,
@@ -1735,7 +1772,7 @@ where
             Self::emit_order_process_event(
                 report,
                 date,
-                ProcessEventKind::OrderUnsolicitedUpdate,
+                Self::creation_reject_kind(emit_creation_events),
                 order_id,
                 symbol,
                 OrderSide::Sell,
@@ -1843,7 +1880,7 @@ where
             Self::emit_order_process_event(
                 report,
                 date,
-                ProcessEventKind::OrderUnsolicitedUpdate,
+                Self::creation_reject_kind(emit_creation_events),
                 order_id,
                 symbol,
                 OrderSide::Sell,
@@ -2653,7 +2690,7 @@ where
             Self::emit_order_process_event(
                 report,
                 date,
-                ProcessEventKind::OrderUnsolicitedUpdate,
+                Self::creation_reject_kind(emit_creation_events),
                 order_id,
                 symbol,
                 OrderSide::Buy,
@@ -2738,7 +2775,7 @@ where
                 Self::emit_order_process_event(
                     report,
                     date,
-                    ProcessEventKind::OrderUnsolicitedUpdate,
+                    Self::creation_reject_kind(emit_creation_events),
                     order_id,
                     symbol,
                     OrderSide::Buy,
@@ -2871,7 +2908,7 @@ where
             Self::emit_order_process_event(
                 report,
                 date,
-                ProcessEventKind::OrderUnsolicitedUpdate,
+                Self::creation_reject_kind(emit_creation_events),
                 order_id,
                 symbol,
                 OrderSide::Buy,

crates/fidc-core/src/events.rs

@@ -110,8 +110,10 @@ pub enum ProcessEventKind {
     PostSettlement,
     OrderPendingNew,
     OrderCreationPass,
+    OrderCreationReject,
     OrderPendingCancel,
     OrderCancellationPass,
+    OrderCancellationReject,
     OrderUnsolicitedUpdate,
     Trade,
 }

crates/fidc-core/tests/explicit_order_flow.rs

@@ -648,7 +648,7 @@ fn broker_cancels_buy_when_open_hits_upper_limit() {
             .contains("open at or above upper limit")
     );
     assert!(report.process_events.iter().any(|event| {
-        event.kind == ProcessEventKind::OrderUnsolicitedUpdate
+        event.kind == ProcessEventKind::OrderCreationReject
             && event.symbol.as_deref() == Some("000002.SZ")
             && event.side == Some(fidc_core::OrderSide::Buy)
     }));
@@ -2974,6 +2974,43 @@ fn broker_cancels_open_order_by_order_id() {
     assert!(portfolio.position("000002.SZ").is_none());
 }
 
+#[test]
+fn broker_emits_cancellation_reject_for_unknown_order() {
+    let day1 = NaiveDate::from_ymd_opt(2024, 1, 10).unwrap();
+    let data = two_day_limit_order_data(10.0, 10.1);
+    let broker = BrokerSimulator::new_with_execution_price(
+        ChinaAShareCostModel::default(),
+        ChinaEquityRuleHooks::default(),
+        PriceField::Open,
+    );
+    let mut portfolio = PortfolioState::new(1_000_000.0);
+
+    let report = broker
+        .execute(
+            day1,
+            &mut portfolio,
+            &data,
+            &StrategyDecision {
+                rebalance: false,
+                target_weights: BTreeMap::new(),
+                exit_symbols: BTreeSet::new(),
+                order_intents: vec![OrderIntent::CancelOrder {
+                    order_id: 999_999,
+                    reason: "user_cancel".to_string(),
+                }],
+                notes: Vec::new(),
+                diagnostics: Vec::new(),
+            },
+        )
+        .expect("cancel reject execution");
+
+    assert!(report.order_events.is_empty());
+    assert!(report.fill_events.is_empty());
+    assert!(report.process_events.iter().any(|event| {
+        event.kind == ProcessEventKind::OrderCancellationReject && event.order_id == Some(999_999)
+    }));
+}
+
 #[test]
 fn broker_reserves_sellable_quantity_for_open_limit_sells() {
     let date = NaiveDate::from_ymd_opt(2024, 1, 10).unwrap();