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Emit futures order process events

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This commit is contained in:
boris
2026-04-23 20:41:37 -07:00
parent dfd39fd8a3
commit 4755a59a5b
4 changed files with 101 additions and 1 deletions
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77
crates/fidc-core/src/futures.rs
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@@ -2,7 +2,10 @@ use std::collections::BTreeMap;
use chrono::NaiveDate;
use crate::events::{AccountEvent, FillEvent, OrderEvent, OrderSide, OrderStatus, PositionEvent};
use crate::events::{
AccountEvent, FillEvent, OrderEvent, OrderSide, OrderStatus, PositionEvent, ProcessEvent,
ProcessEventKind,
};
#[derive(Debug, Clone, Copy, PartialEq, Eq, PartialOrd, Ord)]
pub enum FuturesDirection {
@@ -137,6 +140,7 @@ pub struct FuturesExecutionReport {
pub fill_events: Vec<FillEvent>,
pub position_events: Vec<PositionEvent>,
pub account_events: Vec<AccountEvent>,
pub process_events: Vec<ProcessEvent>,
pub diagnostics: Vec<String>,
}
@@ -514,8 +518,32 @@ impl FuturesAccountState {
) -> FuturesExecutionReport {
let mut report = FuturesExecutionReport::default();
let side = intent.side();
push_futures_process_event(
&mut report,
date,
ProcessEventKind::OrderPendingNew,
order_id,
&intent.symbol,
side,
format!(
"requested_quantity={} direction={} effect={} reason={}",
intent.quantity,
intent.direction.as_str(),
intent.effect.as_str(),
intent.reason
),
);
if intent.quantity == 0 || !intent.price.is_finite() || intent.price <= 0.0 {
push_futures_process_event(
&mut report,
date,
ProcessEventKind::OrderCreationReject,
order_id,
&intent.symbol,
side,
"invalid futures order",
);
report.order_events.push(OrderEvent {
date,
order_id,
@@ -611,6 +639,24 @@ impl FuturesAccountState {
intent.effect.as_str()
),
});
push_futures_process_event(
&mut report,
date,
ProcessEventKind::OrderCreationPass,
order_id,
&intent.symbol,
side,
"futures order passed account checks",
);
push_futures_process_event(
&mut report,
date,
ProcessEventKind::Trade,
order_id,
&intent.symbol,
side,
format!("filled_quantity={} price={}", intent.quantity, intent.price),
);
report.position_events.push(PositionEvent {
date,
symbol: intent.symbol.clone(),
@@ -658,6 +704,15 @@ impl FuturesAccountState {
});
}
Err(reason) => {
push_futures_process_event(
&mut report,
date,
ProcessEventKind::OrderCreationReject,
order_id,
&intent.symbol,
side,
reason.clone(),
);
report.order_events.push(OrderEvent {
date,
order_id,
@@ -725,6 +780,7 @@ impl FuturesAccountState {
combined.fill_events.extend(report.fill_events);
combined.position_events.extend(report.position_events);
combined.account_events.extend(report.account_events);
combined.process_events.extend(report.process_events);
combined.diagnostics.extend(report.diagnostics);
}
combined.diagnostics.push(format!(
@@ -759,3 +815,22 @@ impl FuturesAccountState {
cash_delta
}
}
fn push_futures_process_event(
report: &mut FuturesExecutionReport,
date: NaiveDate,
kind: ProcessEventKind,
order_id: Option<u64>,
symbol: &str,
side: OrderSide,
detail: impl Into<String>,
) {
report.process_events.push(ProcessEvent {
date,
kind,
order_id,
symbol: Some(symbol.to_string()),
side: Some(side),
detail: detail.into(),
});
}