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Merge remote-tracking branch 'origin/main'

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boris
2026-09-14 09:15:58 +08:00
parent 9a54156df9 5e11f3da22
commit 4c96d0c31f
17 changed files with 4973 additions and 403 deletions
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crates/fidc-core/src/broker.rs
+510 -72
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@@ -216,6 +216,9 @@ struct OpenOrder {
commission_remaining: Option<f64>, commission_remaining: Option<f64>,
execution_cursor: Option<NaiveDateTime>, execution_cursor: Option<NaiveDateTime>,
reason: String, reason: String,
algo_request: Option<AlgoExecutionRequest>,
value_budget: Option<f64>,
reserved_cash: Option<f64>,
} }
#[derive(Debug, Clone, Copy)] #[derive(Debug, Clone, Copy)]
@@ -225,6 +228,13 @@ struct RestingOrderOrigin {
accepted_date: NaiveDate, accepted_date: NaiveDate,
} }
#[derive(Clone, Copy, PartialEq, Eq)]
enum BrokerCallbackPhase {
Normal,
ControlsOnly,
BeforeStrategy,
}
#[derive(Debug, Default)] #[derive(Debug, Default)]
struct BrokerExecutionSession { struct BrokerExecutionSession {
date: Option<NaiveDate>, date: Option<NaiveDate>,
@@ -420,6 +430,15 @@ struct AlgoExecutionRequest {
style: AlgoExecutionStyle, style: AlgoExecutionStyle,
start_time: Option<NaiveTime>, start_time: Option<NaiveTime>,
end_time: Option<NaiveTime>, end_time: Option<NaiveTime>,
total_quantity: Option<u32>,
filled_quantity: u32,
commission_remaining: Option<f64>,
order_id: Option<u64>,
}
struct RestoreCell<'a, T: Copy>(&'a Cell<T>, T);
impl<T: Copy> Drop for RestoreCell<'_, T> {
fn drop(&mut self) { self.0.set(self.1); }
} }
pub struct BrokerSimulator<C, R> { pub struct BrokerSimulator<C, R> {
@@ -450,6 +469,10 @@ pub struct BrokerSimulator<C, R> {
intraday_execution_start_time: Option<NaiveTime>, intraday_execution_start_time: Option<NaiveTime>,
runtime_intraday_start_time: Cell<Option<NaiveTime>>, runtime_intraday_start_time: Cell<Option<NaiveTime>>,
runtime_intraday_end_time: Cell<Option<NaiveTime>>, runtime_intraday_end_time: Cell<Option<NaiveTime>>,
runtime_execution_clock: Cell<Option<NaiveTime>>,
runtime_callback_phase: Cell<BrokerCallbackPhase>,
runtime_algo_schedule: Cell<Option<AlgoExecutionRequest>>,
runtime_unprocessed_algorithm_cash: Cell<FixedMoney>,
runtime_decision_date: Cell<Option<NaiveDate>>, runtime_decision_date: Cell<Option<NaiveDate>>,
runtime_buy_denials: RefCell<BTreeMap<String, String>>, runtime_buy_denials: RefCell<BTreeMap<String, String>>,
runtime_auto_buy_denials: RefCell<BTreeMap<String, String>>, runtime_auto_buy_denials: RefCell<BTreeMap<String, String>>,
@@ -494,6 +517,10 @@ impl<C, R> BrokerSimulator<C, R> {
intraday_execution_start_time: None, intraday_execution_start_time: None,
runtime_intraday_start_time: Cell::new(None), runtime_intraday_start_time: Cell::new(None),
runtime_intraday_end_time: Cell::new(None), runtime_intraday_end_time: Cell::new(None),
runtime_execution_clock: Cell::new(None),
runtime_callback_phase: Cell::new(BrokerCallbackPhase::Normal),
runtime_algo_schedule: Cell::new(None),
runtime_unprocessed_algorithm_cash: Cell::new(FixedMoney::ZERO),
runtime_decision_date: Cell::new(None), runtime_decision_date: Cell::new(None),
runtime_buy_denials: RefCell::new(BTreeMap::new()), runtime_buy_denials: RefCell::new(BTreeMap::new()),
runtime_auto_buy_denials: RefCell::new(BTreeMap::new()), runtime_auto_buy_denials: RefCell::new(BTreeMap::new()),
@@ -542,6 +569,10 @@ impl<C, R> BrokerSimulator<C, R> {
intraday_execution_start_time: None, intraday_execution_start_time: None,
runtime_intraday_start_time: Cell::new(None), runtime_intraday_start_time: Cell::new(None),
runtime_intraday_end_time: Cell::new(None), runtime_intraday_end_time: Cell::new(None),
runtime_execution_clock: Cell::new(None),
runtime_callback_phase: Cell::new(BrokerCallbackPhase::Normal),
runtime_algo_schedule: Cell::new(None),
runtime_unprocessed_algorithm_cash: Cell::new(FixedMoney::ZERO),
runtime_decision_date: Cell::new(None), runtime_decision_date: Cell::new(None),
runtime_buy_denials: RefCell::new(BTreeMap::new()), runtime_buy_denials: RefCell::new(BTreeMap::new()),
runtime_auto_buy_denials: RefCell::new(BTreeMap::new()), runtime_auto_buy_denials: RefCell::new(BTreeMap::new()),
@@ -726,6 +757,10 @@ impl<C, R> BrokerSimulator<C, R> {
.or(self.intraday_execution_start_time) .or(self.intraday_execution_start_time)
} }
fn execution_clock(&self) -> Option<NaiveTime> {
self.runtime_execution_clock.get().or(self.runtime_intraday_start_time.get())
}
fn order_origin(&self) -> (Option<NaiveDate>, Option<NaiveTime>) { fn order_origin(&self) -> (Option<NaiveDate>, Option<NaiveTime>) {
self.runtime_resting_order_origin.get().map_or( self.runtime_resting_order_origin.get().map_or(
(self.runtime_order_created_date.get(), self.submission_time()), (self.runtime_order_created_date.get(), self.submission_time()),
@@ -898,6 +933,7 @@ impl<C, R> BrokerSimulator<C, R> {
avg_price: 0.0, avg_price: 0.0,
transaction_cost: 0.0, transaction_cost: 0.0,
limit_price: order.limit_price, limit_price: order.limit_price,
reserved_cash: order.reserved_cash,
reason: order.reason.clone(), reason: order.reason.clone(),
}) })
.collect() .collect()
@@ -916,11 +952,12 @@ impl<C, R> BrokerSimulator<C, R> {
fn resting_order_session_close(&self, date: NaiveDate, order: &OpenOrder) -> NaiveTime { fn resting_order_session_close(&self, date: NaiveDate, order: &OpenOrder) -> NaiveTime {
let post_close = self.execution_phase_for_submission(date, order.order_created_date, order.submission_time) let post_close = self.execution_phase_for_submission(date, order.order_created_date, order.submission_time)
== EquityExecutionPhase::PostCloseFixedPrice; == EquityExecutionPhase::PostCloseFixedPrice;
NaiveTime::from_hms_opt(15, if post_close { 30 } else { 0 }, 0).expect("session end") let close=NaiveTime::from_hms_opt(15, if post_close { 30 } else { 0 }, 0).expect("session end");
order.algo_request.and_then(|request|request.end_time).map_or(close,|end|end.min(close))
} }
pub(crate) fn next_day_order_expiry(&self, date: NaiveDate) -> Option<NaiveTime> { pub(crate) fn next_day_order_expiry(&self, date: NaiveDate) -> Option<NaiveTime> {
self.open_orders.borrow().iter().filter(|order| order.time_in_force == OrderTimeInForce::Day) self.open_orders.borrow().iter().filter(|order| order.time_in_force == OrderTimeInForce::Day || order.algo_request.is_some())
.map(|order| self.resting_order_session_close(date, order)).min() .map(|order| self.resting_order_session_close(date, order)).min()
} }
} }
@@ -1616,17 +1653,21 @@ where
self.deferred_stock_pools.borrow_mut().remove(&contract.pool_id); self.deferred_stock_pools.borrow_mut().remove(&contract.pool_id);
} }
} }
self.process_open_orders( if self.runtime_callback_phase.get() != BrokerCallbackPhase::ControlsOnly {
date, self.process_open_orders(
portfolio, date,
data, portfolio,
&mut session.intraday_turnover, data,
&mut session.execution_cursors, &mut session.intraday_turnover,
&mut session.global_execution_cursor, &mut session.execution_cursors,
&mut session.commission_state, &mut session.global_execution_cursor,
&mut report, &mut session.commission_state,
)?; &mut report,
self.resume_stock_pool_executions(date, portfolio, data, session, &mut report)?; )?;
if self.runtime_callback_phase.get() == BrokerCallbackPhase::Normal {
self.resume_stock_pool_executions(date, portfolio, data, session, &mut report)?;
}
}
if !decision.order_intents.is_empty() { if !decision.order_intents.is_empty() {
let mut ordered_intents = decision.order_intents.iter().collect::<Vec<_>>(); let mut ordered_intents = decision.order_intents.iter().collect::<Vec<_>>();
if self.effective_rebalance_cash_mode() != RebalanceCashMode::PreOpenCash if self.effective_rebalance_cash_mode() != RebalanceCashMode::PreOpenCash
@@ -1803,6 +1844,110 @@ where
) )
} }
#[allow(clippy::too_many_arguments)]
pub(crate) fn execute_controls_without_matching(
&self,
date: NaiveDate,
decision_date: NaiveDate,
portfolio: &mut PortfolioState,
data: &DataSet,
decision: &StrategyDecision,
clock: Option<NaiveTime>,
) -> Result<BrokerExecutionReport, BacktestError> {
if decision.rebalance
|| !decision.target_weights.is_empty()
|| !decision.exit_symbols.is_empty()
|| decision.order_intents.iter().any(|intent| {
!matches!(
intent.unwrapped(),
OrderIntent::CancelOrder { .. }
| OrderIntent::CancelSymbol { .. }
| OrderIntent::CancelAll { .. }
| OrderIntent::ModifyOrder { .. }
)
})
{
return Err(BacktestError::Execution(
"non-matching control phase only accepts cancel or modify requests".into(),
));
}
let _guard = RestoreCell(
&self.runtime_callback_phase,
self.runtime_callback_phase
.replace(BrokerCallbackPhase::ControlsOnly),
);
self.execute_between_with_event_dates(
date,
decision_date,
decision_date,
portfolio,
data,
decision,
clock,
clock,
)
}
#[allow(clippy::too_many_arguments)]
pub(crate) fn execute_coarse_at_clock(
&self,
date: NaiveDate,
decision_date: NaiveDate,
order_created_date: NaiveDate,
decision_total_equity: Option<f64>,
portfolio: &mut PortfolioState,
data: &DataSet,
decision: &StrategyDecision,
clock: Option<NaiveTime>,
) -> Result<BrokerExecutionReport, BacktestError> {
// Advancing the engine clock must not turn a daily closing-bar order
// into an explicitly submitted post-close order.
let _clock_guard = RestoreCell(
&self.runtime_execution_clock,
self.runtime_execution_clock.replace(clock),
);
self.execute_between_with_event_dates_and_decision_equity(
date,
decision_date,
order_created_date,
decision_total_equity,
portfolio,
data,
decision,
None,
clock,
)
}
#[allow(clippy::too_many_arguments)]
pub(crate) fn execute_before_strategy_at_clock(
&self,
date: NaiveDate,
decision_date: NaiveDate,
order_created_date: NaiveDate,
decision_total_equity: Option<f64>,
portfolio: &mut PortfolioState,
data: &DataSet,
decision: &StrategyDecision,
clock: Option<NaiveTime>,
) -> Result<BrokerExecutionReport, BacktestError> {
let _guard = RestoreCell(
&self.runtime_callback_phase,
self.runtime_callback_phase
.replace(BrokerCallbackPhase::BeforeStrategy),
);
self.execute_coarse_at_clock(
date,
decision_date,
order_created_date,
decision_total_equity,
portfolio,
data,
decision,
clock,
)
}
pub fn execute_between_with_event_dates( pub fn execute_between_with_event_dates(
&self, &self,
date: NaiveDate, date: NaiveDate,
@@ -2682,18 +2827,26 @@ where
let mut open_orders = self.open_orders.borrow_mut(); let mut open_orders = self.open_orders.borrow_mut();
std::mem::take(&mut *open_orders) std::mem::take(&mut *open_orders)
}; };
let reserved=FixedMoney::checked_sum_f64(pending_orders.iter().filter_map(|order|order.reserved_cash))
.ok_or_else(||BacktestError::Execution("working order cash reservation is invalid".into()))?;
let _reservation_guard=RestoreCell(&self.runtime_unprocessed_algorithm_cash,
self.runtime_unprocessed_algorithm_cash.replace(reserved));
for order in pending_orders { for order in pending_orders {
if let Some(reserved)=order.reserved_cash {
self.runtime_unprocessed_algorithm_cash.set(self.runtime_unprocessed_algorithm_cash.get()
.checked_sub(FixedMoney::from_f64(reserved).expect("validated reservation")).expect("reserved cash subset"));
}
if self.matching_type == MatchingType::NextBarOpen && self.runtime_intraday_start_time.get().is_none() if self.matching_type == MatchingType::NextBarOpen && self.runtime_intraday_start_time.get().is_none()
&& order.accepted_date == date { && order.accepted_date == date && order.algo_request.is_none() {
self.open_orders.borrow_mut().push(order); self.open_orders.borrow_mut().push(order);
continue; continue;
} }
let close = self.resting_order_session_close(date, &order); let close = self.resting_order_session_close(date, &order);
let clock = self.submission_time(); let clock = self.execution_clock().or(self.submission_time());
let past_day = order.time_in_force == OrderTimeInForce::Day let past_day = (order.time_in_force == OrderTimeInForce::Day || order.algo_request.is_some())
&& order.accepted_date < date; && order.accepted_date < date;
if past_day || clock.is_some_and(|time| time > close) { if past_day || clock.is_some_and(|time| time > close) {
if order.time_in_force == OrderTimeInForce::Day { if order.time_in_force == OrderTimeInForce::Day || order.algo_request.is_some() {
Self::emit_resting_day_expiry(report, date, &order, order.filled_quantity); Self::emit_resting_day_expiry(report, date, &order, order.filled_quantity);
} else { } else {
self.open_orders.borrow_mut().push(order); self.open_orders.borrow_mut().push(order);
@@ -2730,7 +2883,18 @@ where
accepted_date: order.accepted_date, accepted_date: order.accepted_date,
})); }));
let previous_decision_date = self.runtime_decision_date.replace(order.decision_date); let previous_decision_date = self.runtime_decision_date.replace(order.decision_date);
let execution_result = self.process_limit_shares_internal( let execution_result = if let Some(mut algorithm)=order.algo_request {
algorithm.total_quantity=Some(order.requested_quantity);
algorithm.filled_quantity=order.filled_quantity;
algorithm.commission_remaining=order.commission_remaining;
if order.side==OrderSide::Buy {
self.process_buy(date,portfolio,data,&order.symbol,order.remaining_quantity,order.order_id,&order.reason,
intraday_turnover,execution_cursors,global_execution_cursor,commission_state,order.value_budget,None,false,false,Some(&algorithm),report)
} else {
self.process_sell(date,portfolio,data,&order.symbol,order.remaining_quantity,order.order_id,&order.reason,
intraday_turnover,execution_cursors,global_execution_cursor,commission_state,None,false,false,Some(&algorithm),report)
}
} else { self.process_limit_shares_internal(
date, date,
portfolio, portfolio,
data, data,
@@ -2745,7 +2909,7 @@ where
global_execution_cursor, global_execution_cursor,
commission_state, commission_state,
report, report,
); ) };
self.runtime_time_in_force.set(previous_time_in_force); self.runtime_time_in_force.set(previous_time_in_force);
self.runtime_resting_order_origin.set(previous_origin); self.runtime_resting_order_origin.set(previous_origin);
self.runtime_decision_date.set(previous_decision_date); self.runtime_decision_date.set(previous_decision_date);
@@ -2843,7 +3007,8 @@ where
} }
fn emit_resting_day_expiry(report: &mut BrokerExecutionReport, date: NaiveDate, order: &OpenOrder, filled: u32) { fn emit_resting_day_expiry(report: &mut BrokerExecutionReport, date: NaiveDate, order: &OpenOrder, filled: u32) {
let detail = format!("DAY order expired at market close: {} remaining_quantity={}", order.symbol, order.requested_quantity.saturating_sub(filled)); let label=if order.algo_request.is_some() {"algorithm execution window expired"} else {"DAY order expired at market close"};
let detail = format!("{label}: {} remaining_quantity={}", order.symbol, order.requested_quantity.saturating_sub(filled));
report.order_events.push(OrderEvent { report.order_events.push(OrderEvent {
date, decision_date: order.decision_date, order_created_date: order.order_created_date, date, decision_date: order.decision_date, order_created_date: order.order_created_date,
execution_date: Some(date), order_id: Some(order.order_id), symbol: order.symbol.clone(), execution_date: Some(date), order_id: Some(order.order_id), symbol: order.symbol.clone(),
@@ -2929,6 +3094,11 @@ where
let target_total_quantity = new_total_quantity.unwrap_or(existing.requested_quantity); let target_total_quantity = new_total_quantity.unwrap_or(existing.requested_quantity);
let target_limit_price = new_limit_price.unwrap_or(existing.limit_price); let target_limit_price = new_limit_price.unwrap_or(existing.limit_price);
if existing.algo_request.is_some() {
Self::emit_open_order_update_rejected(report,date,order_id,Some(&existing.symbol),Some(existing.side),reason,
"algorithm schedule is immutable; cancel it before submitting a different schedule");
return;
}
if target_total_quantity == existing.requested_quantity if target_total_quantity == existing.requested_quantity
&& target_limit_price.to_bits() == existing.limit_price.to_bits() && target_limit_price.to_bits() == existing.limit_price.to_bits()
{ {
@@ -3898,6 +4068,10 @@ where
}, },
start_time: *start_time, start_time: *start_time,
end_time: *end_time, end_time: *end_time,
total_quantity: None,
filled_quantity: 0,
commission_remaining: None,
order_id: None,
}), }),
_ => None, _ => None,
}; };
@@ -4173,9 +4347,8 @@ where
return self.execution_limit_check_price(snapshot, side); return self.execution_limit_check_price(snapshot, side);
} }
let matching_type = self.matching_type_for_algo_request(algo_request); let matching_type = self.matching_type_for_algo_request(algo_request);
let start_cursor = algo_request let start_cursor = self.execution_clock()
.and_then(|request| request.start_time) .or_else(||algo_request.and_then(|request| request.start_time))
.or(self.runtime_intraday_start_time.get())
.or(self.intraday_execution_start_time) .or(self.intraday_execution_start_time)
.map(|start_time| date.and_time(start_time)); .map(|start_time| date.and_time(start_time));
self.latest_known_quote_at_or_before( self.latest_known_quote_at_or_before(
@@ -4187,7 +4360,9 @@ where
false, false,
) )
.and_then(|quote| self.select_quote_reference_price(snapshot, quote, side, matching_type)) .and_then(|quote| self.select_quote_reference_price(snapshot, quote, side, matching_type))
.unwrap_or_else(|| self.execution_limit_check_price(snapshot, side)) .unwrap_or_else(|| if algo_request.is_some() && self.execution_clock().is_some() {
f64::NAN
} else {self.execution_limit_check_price(snapshot, side)})
} }
#[cfg(test)] #[cfg(test)]
@@ -4534,6 +4709,8 @@ where
algo_request: Option<&AlgoExecutionRequest>, algo_request: Option<&AlgoExecutionRequest>,
report: &mut BrokerExecutionReport, report: &mut BrokerExecutionReport,
) -> Result<(), BacktestError> { ) -> Result<(), BacktestError> {
let algorithm = self.normalized_algorithm(date, requested_qty, order_id, commission_state.get(&order_id).copied(), algo_request);
let algo_request = algorithm.as_ref();
// Existing accepted orders are not canceled by a subsequently enabled lock. // Existing accepted orders are not canceled by a subsequently enabled lock.
if emit_creation_events && self.runtime_auto_sell_denials.borrow().contains_key(symbol) { if emit_creation_events && self.runtime_auto_sell_denials.borrow().contains_key(symbol) {
return Ok(()); return Ok(());
@@ -4768,6 +4945,9 @@ where
time_in_force: Self::pending_time_in_force(remainder_policy), time_in_force: Self::pending_time_in_force(remainder_policy),
commission_remaining: commission_state.get(&order_id).copied(), commission_remaining: commission_state.get(&order_id).copied(),
execution_cursor: execution_cursors.get(symbol).copied(), execution_cursor: execution_cursors.get(symbol).copied(),
algo_request: None,
value_budget: None,
reserved_cash: None,
reason: reason.to_string(), reason: reason.to_string(),
}); });
// Waiting without a fill is not a new order-state transition. // Waiting without a fill is not a new order-state transition.
@@ -4859,6 +5039,9 @@ where
time_in_force: Self::pending_time_in_force(remainder_policy), time_in_force: Self::pending_time_in_force(remainder_policy),
commission_remaining: commission_state.get(&order_id).copied(), commission_remaining: commission_state.get(&order_id).copied(),
execution_cursor: execution_cursors.get(symbol).copied(), execution_cursor: execution_cursors.get(symbol).copied(),
algo_request: None,
value_budget: None,
reserved_cash: None,
reason: reason.to_string(), reason: reason.to_string(),
}); });
// Waiting without a fill is not a new order-state transition. // Waiting without a fill is not a new order-state transition.
@@ -4976,8 +5159,8 @@ where
price: execution_price, price: execution_price,
mark_price: self.snapshot_mark_price(snapshot, OrderSide::Sell), mark_price: self.snapshot_mark_price(snapshot, OrderSide::Sell),
quantity: fillable_qty, quantity: fillable_qty,
execution_start_timestamp: None, execution_start_timestamp: self.runtime_execution_clock.get().map(|time|date.and_time(time)),
execution_timestamp: None, execution_timestamp: self.runtime_execution_clock.get().map(|time|date.and_time(time)),
}], }],
None, None,
Vec::new(), Vec::new(),
@@ -5014,8 +5197,9 @@ where
let detail = partial_fill_reason let detail = partial_fill_reason
.as_deref() .as_deref()
.unwrap_or("limit price not marketable yet"); .unwrap_or("limit price not marketable yet");
if Self::keeps_remainder_open(remainder_policy) if (Self::keeps_remainder_open(remainder_policy)
&& Self::limit_order_can_remain_open(Some(detail)) && Self::limit_order_can_remain_open(Some(detail)))
|| self.algorithm_still_working(algo_request, Some(detail))
{ {
self.upsert_open_order(OpenOrder { self.upsert_open_order(OpenOrder {
order_id, order_id,
@@ -5028,10 +5212,13 @@ where
requested_quantity: requested_qty, requested_quantity: requested_qty,
filled_quantity: 0, filled_quantity: 0,
remaining_quantity: requested_qty, remaining_quantity: requested_qty,
limit_price: limit_price.expect("limit price for pending limit sell"), limit_price: if algo_request.is_some() {limit_price.unwrap_or(0.0)} else {limit_price.expect("limit price for pending limit sell")},
time_in_force: Self::pending_time_in_force(remainder_policy), time_in_force: if algo_request.is_some() {self.runtime_time_in_force.get().unwrap_or(OrderTimeInForce::Day)} else {Self::pending_time_in_force(remainder_policy)},
commission_remaining: commission_state.get(&order_id).copied(), commission_remaining: commission_state.get(&order_id).copied(),
execution_cursor: execution_cursors.get(symbol).copied(), execution_cursor: execution_cursors.get(symbol).copied(),
algo_request: Self::progressed_algorithm(algo_request, 0, commission_state.get(&order_id).copied()),
value_budget: None,
reserved_cash: None,
reason: reason.to_string(), reason: reason.to_string(),
}); });
// Waiting without a fill is not a new order-state transition. // Waiting without a fill is not a new order-state transition.
@@ -5072,7 +5259,7 @@ where
side: OrderSide::Sell, side: OrderSide::Sell,
requested_quantity: requested_qty, requested_quantity: requested_qty,
filled_quantity: 0, filled_quantity: 0,
status: zero_fill_status_for_reason(detail), status: self.unfilled_algorithm_status(algo_request, detail),
reason: format!("{reason}: {detail}"), reason: format!("{reason}: {detail}"),
}); });
Self::emit_order_process_event( Self::emit_order_process_event(
@@ -5084,7 +5271,7 @@ where
OrderSide::Sell, OrderSide::Sell,
format!( format!(
"status={:?} reason={detail}", "status={:?} reason={detail}",
zero_fill_status_for_reason(detail) self.unfilled_algorithm_status(algo_request, detail)
), ),
); );
self.clear_open_order(order_id); self.clear_open_order(order_id);
@@ -5185,9 +5372,10 @@ where
*intraday_turnover.entry(symbol.to_string()).or_default() += filled_qty; *intraday_turnover.entry(symbol.to_string()).or_default() += filled_qty;
let remaining_qty = requested_qty.saturating_sub(filled_qty); let remaining_qty = requested_qty.saturating_sub(filled_qty);
let keep_open = Self::keeps_remainder_open(remainder_policy) let keep_open = (Self::keeps_remainder_open(remainder_policy)
&& remaining_qty > 0 && remaining_qty > 0
&& Self::limit_order_can_remain_open(partial_fill_reason.as_deref()); && Self::limit_order_can_remain_open(partial_fill_reason.as_deref()))
|| (remaining_qty > 0 && self.algorithm_still_working(algo_request,partial_fill_reason.as_deref()));
if keep_open { if keep_open {
self.upsert_open_order(OpenOrder { self.upsert_open_order(OpenOrder {
order_id, order_id,
@@ -5200,10 +5388,13 @@ where
requested_quantity: requested_qty, requested_quantity: requested_qty,
filled_quantity: filled_qty, filled_quantity: filled_qty,
remaining_quantity: remaining_qty, remaining_quantity: remaining_qty,
limit_price: limit_price.expect("limit price for pending limit sell"), limit_price: if algo_request.is_some() {limit_price.unwrap_or(0.0)} else {limit_price.expect("limit price for pending limit sell")},
time_in_force: Self::pending_time_in_force(remainder_policy), time_in_force: if algo_request.is_some() {self.runtime_time_in_force.get().unwrap_or(OrderTimeInForce::Day)} else {Self::pending_time_in_force(remainder_policy)},
commission_remaining: commission_state.get(&order_id).copied(), commission_remaining: commission_state.get(&order_id).copied(),
execution_cursor: execution_cursors.get(symbol).copied(), execution_cursor: execution_cursors.get(symbol).copied(),
algo_request: Self::progressed_algorithm(algo_request, filled_qty, commission_state.get(&order_id).copied()),
value_budget: None,
reserved_cash: None,
reason: reason.to_string(), reason: reason.to_string(),
}); });
} else { } else {
@@ -5213,7 +5404,7 @@ where
let status = if keep_open { let status = if keep_open {
OrderStatus::PartiallyFilled OrderStatus::PartiallyFilled
} else if filled_qty < requested_qty { } else if filled_qty < requested_qty {
OrderStatus::Canceled if self.algorithm_window_expired(algo_request, partial_fill_reason.as_deref().unwrap_or("")) {OrderStatus::Expired} else {OrderStatus::Canceled}
} else { } else {
OrderStatus::Filled OrderStatus::Filled
}; };
@@ -5250,7 +5441,7 @@ where
status, status,
reason: order_reason, reason: order_reason,
}); });
if matches!(status, OrderStatus::Canceled | OrderStatus::Rejected) { if matches!(status, OrderStatus::Canceled | OrderStatus::Rejected | OrderStatus::Expired) {
Self::emit_order_process_event( Self::emit_order_process_event(
report, report,
date, date,
@@ -5399,6 +5590,10 @@ where
}, },
start_time, start_time,
end_time, end_time,
total_quantity: None,
filled_quantity: 0,
commission_remaining: None,
order_id: None,
}; };
if target_value <= f64::EPSILON { if target_value <= f64::EPSILON {
@@ -6080,12 +6275,19 @@ where
}, },
start_time, start_time,
end_time, end_time,
total_quantity: None,
filled_quantity: 0,
commission_remaining: None,
order_id: None,
}; };
if value > 0.0 { if value > 0.0 {
let round_lot = self.round_lot(data, symbol); let round_lot = self.round_lot(data, symbol);
let minimum_order_quantity = self.minimum_order_quantity(data, symbol); let minimum_order_quantity = self.minimum_order_quantity(data, symbol);
let order_step_size = self.order_step_size(data, symbol); let order_step_size = self.order_step_size(data, symbol);
let price = self.sizing_price(snapshot); let price = self.execution_order_limit_check_price(date, data, symbol, snapshot, OrderSide::Buy, Some(&algo_request));
if !price.is_finite() || price <= 0.0 {
return Err(BacktestError::MissingPrice {date, symbol:symbol.to_string(), field:"algorithm_submission_price"});
}
let snapshot_requested_qty = self.value_buy_quantity( let snapshot_requested_qty = self.value_buy_quantity(
date, date,
value.abs(), value.abs(),
@@ -6126,7 +6328,10 @@ where
report, report,
) )
} else { } else {
let price = self.sizing_price(snapshot); let price = self.execution_order_limit_check_price(date, data, symbol, snapshot, OrderSide::Sell, Some(&algo_request));
if !price.is_finite() || price <= 0.0 {
return Err(BacktestError::MissingPrice {date, symbol:symbol.to_string(), field:"algorithm_submission_price"});
}
let requested_qty = self.round_buy_quantity( let requested_qty = self.round_buy_quantity(
(value.abs() / price).floor() as u32, (value.abs() / price).floor() as u32,
self.minimum_order_quantity(data, symbol), self.minimum_order_quantity(data, symbol),
@@ -6337,6 +6542,9 @@ where
algo_request: Option<&AlgoExecutionRequest>, algo_request: Option<&AlgoExecutionRequest>,
report: &mut BrokerExecutionReport, report: &mut BrokerExecutionReport,
) -> Result<(), BacktestError> { ) -> Result<(), BacktestError> {
let algorithm = self.normalized_algorithm(date, requested_qty, order_id, commission_state.get(&order_id).copied(), algo_request);
let algo_request = algorithm.as_ref();
let fill_start = report.fill_events.len();
if emit_creation_events && self.runtime_auto_buy_denials.borrow().contains_key(symbol) { if emit_creation_events && self.runtime_auto_buy_denials.borrow().contains_key(symbol) {
return Ok(()); return Ok(());
} }
@@ -6592,6 +6800,9 @@ where
time_in_force: Self::pending_time_in_force(remainder_policy), time_in_force: Self::pending_time_in_force(remainder_policy),
commission_remaining: commission_state.get(&order_id).copied(), commission_remaining: commission_state.get(&order_id).copied(),
execution_cursor: execution_cursors.get(symbol).copied(), execution_cursor: execution_cursors.get(symbol).copied(),
algo_request: None,
value_budget: None,
reserved_cash: None,
reason: reason.to_string(), reason: reason.to_string(),
}); });
// Waiting without a fill is not a new order-state transition. // Waiting without a fill is not a new order-state transition.
@@ -6651,13 +6862,14 @@ where
} }
}; };
let value_gross_limit = self.value_buy_gross_limit(value_budget); let value_gross_limit = self.value_buy_gross_limit(value_budget);
let available_cash=self.cash_after_algorithm_reservations(portfolio.cash(),Some(order_id))?;
let buy_cash_limit = if self.strict_value_budget { let buy_cash_limit = if self.strict_value_budget {
value_budget value_budget
.filter(|budget| budget.is_finite() && *budget > 0.0) .filter(|budget| budget.is_finite() && *budget > 0.0)
.map(|budget| portfolio.cash().min(budget)) .map(|budget| available_cash.min(budget))
.unwrap_or_else(|| portfolio.cash()) .unwrap_or(available_cash)
} else { } else {
portfolio.cash() available_cash
}; };
let fill = self.resolve_execution_fill( let fill = self.resolve_execution_fill(
@@ -6779,8 +6991,8 @@ where
price: execution_price, price: execution_price,
mark_price: self.snapshot_mark_price(snapshot, OrderSide::Buy), mark_price: self.snapshot_mark_price(snapshot, OrderSide::Buy),
quantity: filled_qty, quantity: filled_qty,
execution_start_timestamp: None, execution_start_timestamp: self.runtime_execution_clock.get().map(|time|date.and_time(time)),
execution_timestamp: None, execution_timestamp: self.runtime_execution_clock.get().map(|time|date.and_time(time)),
}], }],
None, None,
Vec::new(), Vec::new(),
@@ -6814,8 +7026,9 @@ where
let detail = partial_fill_reason let detail = partial_fill_reason
.as_deref() .as_deref()
.unwrap_or("insufficient cash after fees"); .unwrap_or("insufficient cash after fees");
if Self::keeps_remainder_open(remainder_policy) if (Self::keeps_remainder_open(remainder_policy)
&& Self::limit_order_can_remain_open(Some(detail)) && Self::limit_order_can_remain_open(Some(detail)))
|| self.algorithm_still_working(algo_request,Some(detail))
{ {
self.upsert_open_order(OpenOrder { self.upsert_open_order(OpenOrder {
order_id, order_id,
@@ -6828,10 +7041,13 @@ where
requested_quantity: requested_qty, requested_quantity: requested_qty,
filled_quantity: 0, filled_quantity: 0,
remaining_quantity: requested_qty, remaining_quantity: requested_qty,
limit_price: limit_price.expect("limit price for pending limit buy"), limit_price: if algo_request.is_some() {limit_price.unwrap_or(0.0)} else {limit_price.expect("limit price for pending limit buy")},
time_in_force: Self::pending_time_in_force(remainder_policy), time_in_force: if algo_request.is_some() {self.runtime_time_in_force.get().unwrap_or(OrderTimeInForce::Day)} else {Self::pending_time_in_force(remainder_policy)},
commission_remaining: commission_state.get(&order_id).copied(), commission_remaining: commission_state.get(&order_id).copied(),
execution_cursor: execution_cursors.get(symbol).copied(), execution_cursor: execution_cursors.get(symbol).copied(),
algo_request: Self::progressed_algorithm(algo_request, 0, commission_state.get(&order_id).copied()),
value_budget: if algo_request.is_some() {value_budget} else {None},
reserved_cash: if algo_request.is_some() {Some(self.algorithm_cash_reservation(date,value_budget,requested_qty,size_check_price,order_id,commission_state.get(&order_id).copied(),data.instruments().get(symbol),portfolio.cash())?)} else {None},
reason: reason.to_string(), reason: reason.to_string(),
}); });
// Waiting without a fill is not a new order-state transition. // Waiting without a fill is not a new order-state transition.
@@ -6872,7 +7088,7 @@ where
side: OrderSide::Buy, side: OrderSide::Buy,
requested_quantity: requested_qty, requested_quantity: requested_qty,
filled_quantity: 0, filled_quantity: 0,
status: zero_fill_status_for_reason(detail), status: self.unfilled_algorithm_status(algo_request, detail),
reason: format!("{reason}: {detail}"), reason: format!("{reason}: {detail}"),
}); });
Self::emit_order_process_event( Self::emit_order_process_event(
@@ -6884,7 +7100,7 @@ where
OrderSide::Buy, OrderSide::Buy,
format!( format!(
"status={:?} reason={detail}", "status={:?} reason={detail}",
zero_fill_status_for_reason(detail) self.unfilled_algorithm_status(algo_request, detail)
), ),
); );
self.clear_open_order(order_id); self.clear_open_order(order_id);
@@ -6987,9 +7203,10 @@ where
*intraday_turnover.entry(symbol.to_string()).or_default() += filled_qty; *intraday_turnover.entry(symbol.to_string()).or_default() += filled_qty;
let remaining_qty = requested_qty.saturating_sub(filled_qty); let remaining_qty = requested_qty.saturating_sub(filled_qty);
let keep_open = Self::keeps_remainder_open(remainder_policy) let keep_open = (Self::keeps_remainder_open(remainder_policy)
&& remaining_qty > 0 && remaining_qty > 0
&& Self::limit_order_can_remain_open(partial_fill_reason.as_deref()); && Self::limit_order_can_remain_open(partial_fill_reason.as_deref()))
|| (remaining_qty > 0 && self.algorithm_still_working(algo_request,partial_fill_reason.as_deref()));
if keep_open { if keep_open {
self.upsert_open_order(OpenOrder { self.upsert_open_order(OpenOrder {
order_id, order_id,
@@ -7002,10 +7219,13 @@ where
requested_quantity: requested_qty, requested_quantity: requested_qty,
filled_quantity: filled_qty, filled_quantity: filled_qty,
remaining_quantity: remaining_qty, remaining_quantity: remaining_qty,
limit_price: limit_price.expect("limit price for pending limit buy"), limit_price: if algo_request.is_some() {limit_price.unwrap_or(0.0)} else {limit_price.expect("limit price for pending limit buy")},
time_in_force: Self::pending_time_in_force(remainder_policy), time_in_force: if algo_request.is_some() {self.runtime_time_in_force.get().unwrap_or(OrderTimeInForce::Day)} else {Self::pending_time_in_force(remainder_policy)},
commission_remaining: commission_state.get(&order_id).copied(), commission_remaining: commission_state.get(&order_id).copied(),
execution_cursor: execution_cursors.get(symbol).copied(), execution_cursor: execution_cursors.get(symbol).copied(),
algo_request: Self::progressed_algorithm(algo_request, filled_qty, commission_state.get(&order_id).copied()),
value_budget: if algo_request.is_some() {self.remaining_algorithm_budget(value_budget,&report.fill_events[fill_start..])?} else {None},
reserved_cash: if algo_request.is_some() {Some(self.algorithm_cash_reservation(date,self.remaining_algorithm_budget(value_budget,&report.fill_events[fill_start..])?,remaining_qty,size_check_price,order_id,commission_state.get(&order_id).copied(),data.instruments().get(symbol),portfolio.cash())?)} else {None},
reason: reason.to_string(), reason: reason.to_string(),
}); });
} else { } else {
@@ -7015,7 +7235,7 @@ where
let status = if keep_open { let status = if keep_open {
OrderStatus::PartiallyFilled OrderStatus::PartiallyFilled
} else if filled_qty < requested_qty { } else if filled_qty < requested_qty {
OrderStatus::Canceled if self.algorithm_window_expired(algo_request, partial_fill_reason.as_deref().unwrap_or("")) {OrderStatus::Expired} else {OrderStatus::Canceled}
} else { } else {
OrderStatus::Filled OrderStatus::Filled
}; };
@@ -7052,7 +7272,7 @@ where
status, status,
reason: order_reason, reason: order_reason,
}); });
if matches!(status, OrderStatus::Canceled | OrderStatus::Rejected) { if matches!(status, OrderStatus::Canceled | OrderStatus::Rejected | OrderStatus::Expired) {
Self::emit_order_process_event( Self::emit_order_process_event(
report, report,
date, date,
@@ -7569,6 +7789,192 @@ where
}) })
} }
fn normalized_algorithm(
&self,
date: NaiveDate,
quantity: u32,
order_id: u64,
commission: Option<f64>,
request: Option<&AlgoExecutionRequest>,
) -> Option<AlgoExecutionRequest> {
request
.copied()
.or_else(|| {
(self.matching_type == MatchingType::Vwap).then_some(AlgoExecutionRequest {
style: AlgoExecutionStyle::Vwap,
start_time: self.submission_time(),
end_time: None,
total_quantity: None,
filled_quantity: 0,
commission_remaining: None,
order_id: None,
})
})
.map(|mut request| {
request.total_quantity.get_or_insert(quantity);
request.order_id = Some(order_id);
request.commission_remaining = commission;
if request.start_time.is_none() {
request.start_time = self.execution_clock().or(self.submission_time());
}
if request.end_time.is_none() && request.style == AlgoExecutionStyle::Vwap {
request.end_time = Some(
self.post_close_execution_window(date)
.map(|(_, end)| end.time())
.unwrap_or_else(|| {
NaiveTime::from_hms_opt(15, 0, 0).expect("cash session close")
}),
);
}
request
})
}
fn cash_after_algorithm_reservations(
&self,
cash: f64,
except: Option<u64>,
) -> Result<f64, BacktestError> {
let reserved = FixedMoney::checked_sum_f64(
self.open_orders
.borrow()
.iter()
.filter(|order| except != Some(order.order_id))
.filter_map(|order| order.reserved_cash),
)
.and_then(|amount| amount.checked_add(self.runtime_unprocessed_algorithm_cash.get()))
.ok_or_else(|| BacktestError::Execution("algorithm reserved cash overflow".into()))?;
FixedMoney::from_f64(cash)
.and_then(|cash| cash.checked_sub(reserved))
.map(|available| available.max(FixedMoney::ZERO).to_f64())
.ok_or_else(|| BacktestError::Execution("algorithm available cash is invalid".into()))
}
#[allow(clippy::too_many_arguments)]
fn algorithm_cash_reservation(
&self,
date: NaiveDate,
budget: Option<f64>,
quantity: u32,
price: f64,
order_id: u64,
commission: Option<f64>,
instrument: Option<&Instrument>,
cash: f64,
) -> Result<f64, BacktestError> {
let available = self.cash_after_algorithm_reservations(cash, Some(order_id))?;
if let Some(budget) = budget.filter(|_| self.strict_value_budget) {
return Ok(budget.min(available));
}
let gross = budget.unwrap_or(price * f64::from(quantity));
if !gross.is_finite() || gross < 0. {
return Err(BacktestError::Execution(
"algorithm reservation requires a current price or explicit value budget".into(),
));
}
let mut state = commission
.map(|left| (order_id, left))
.into_iter()
.collect();
let cost = self.cost_model.calculate_with_order_state_for_instrument(
date,
OrderSide::Buy,
gross,
Some(order_id),
&mut state,
instrument,
);
FixedMoney::checked_sum_f64([gross, cost.total()])
.map(|amount| amount.to_f64().min(available))
.ok_or_else(|| BacktestError::Execution("algorithm cash reservation overflow".into()))
}
fn algorithm_still_working(
&self,
request: Option<&AlgoExecutionRequest>,
reason: Option<&str>,
) -> bool {
request.is_some_and(|request| {
self.runtime_intraday_end_time
.get()
.zip(request.end_time)
.is_some_and(|(clock, end)| clock < end)
}) && self
.runtime_time_in_force
.get()
.is_none_or(|tif| matches!(tif, OrderTimeInForce::Day | OrderTimeInForce::Gtc))
&& Self::limit_order_can_remain_open(reason)
}
fn unfilled_algorithm_status(
&self,
request: Option<&AlgoExecutionRequest>,
reason: &str,
) -> OrderStatus {
if self.algorithm_window_expired(request, reason) {
OrderStatus::Expired
} else {
zero_fill_status_for_reason(reason)
}
}
fn algorithm_window_expired(
&self,
request: Option<&AlgoExecutionRequest>,
reason: &str,
) -> bool {
request.is_some_and(|request| {
self.runtime_intraday_end_time
.get()
.zip(request.end_time)
.is_some_and(|(clock, end)| clock >= end)
}) && matches!(
reason,
"intraday quote liquidity exhausted"
| "no execution quotes after start"
| "no execution quotes at or before start"
)
}
fn progressed_algorithm(
request: Option<&AlgoExecutionRequest>,
filled: u32,
commission: Option<f64>,
) -> Option<AlgoExecutionRequest> {
request.copied().map(|mut request| {
request.filled_quantity = request.filled_quantity.saturating_add(filled);
request.commission_remaining = commission;
request
})
}
fn remaining_algorithm_budget(
&self,
budget: Option<f64>,
fills: &[FillEvent],
) -> Result<Option<f64>, BacktestError> {
let Some(budget) = budget else {
return Ok(None);
};
let spent = FixedMoney::checked_sum_f64(fills.iter().map(|fill| {
if self.strict_value_budget {
-fill.net_cash_flow
} else {
fill.gross_amount
}
}))
.ok_or_else(|| {
BacktestError::Execution("algorithm budget spent amount is invalid".into())
})?;
let remaining = FixedMoney::from_f64(budget)
.and_then(|budget| budget.checked_sub(spent))
.filter(|remaining| *remaining >= FixedMoney::ZERO)
.ok_or_else(|| {
BacktestError::Execution("algorithm spent more than its frozen value budget".into())
})?;
Ok(Some(remaining.to_f64()))
}
fn resolve_execution_fill( fn resolve_execution_fill(
&self, &self,
date: NaiveDate, date: NaiveDate,
@@ -7614,6 +8020,12 @@ where
{ {
Some(start_cursor.map_or(date.and_time(submitted), |cursor| cursor.max(date.and_time(submitted)))) Some(start_cursor.map_or(date.and_time(submitted), |cursor| cursor.max(date.and_time(submitted))))
} else { start_cursor }; } else { start_cursor };
let start_cursor = if algo_request.is_some() {
match (start_cursor, self.execution_clock().map(|time| date.and_time(time))) {
(Some(declared), Some(clock)) => Some(declared.max(clock)),
(start, _) => start,
}
} else { start_cursor };
let end_cursor = post_close_window.map(|window| { let end_cursor = post_close_window.map(|window| {
runtime_end_time.map_or(window.1, |end| window.1.min(date.and_time(end))) runtime_end_time.map_or(window.1, |end| window.1.min(date.and_time(end)))
}).or_else(|| { }).or_else(|| {
@@ -7630,10 +8042,17 @@ where
} else { } else {
end_cursor end_cursor
}; };
let end_cursor = if algo_request.is_some() {
match (end_cursor, runtime_end_time.map(|time| date.and_time(time))) {
(Some(declared), Some(clock)) => Some(declared.min(clock)),
(end, _) => end,
}
} else { end_cursor };
let quotes = data.execution_quotes_on(date, symbol); let quotes = data.execution_quotes_on(date, symbol);
let calibration = self.slippage_calibration(data, snapshot)?; let calibration = self.slippage_calibration(data, snapshot)?;
if let Some(fill) = self.select_execution_fill_with_ledger( let previous_schedule = self.runtime_algo_schedule.replace(algo_request.copied());
let selected = self.select_execution_fill_with_ledger(
symbol, symbol,
snapshot, snapshot,
quotes, quotes,
@@ -7652,7 +8071,9 @@ where
execution_ledger, execution_ledger,
calibration.as_ref(), calibration.as_ref(),
data.instruments().get(symbol), data.instruments().get(symbol),
)? { );
self.runtime_algo_schedule.set(previous_schedule);
if let Some(fill) = selected? {
return Ok(Some(fill)); return Ok(Some(fill));
} }
@@ -7662,11 +8083,8 @@ where
|| runtime_end_time.is_some() || runtime_end_time.is_some()
|| self.intraday_execution_start_time.is_some() || self.intraday_execution_start_time.is_some()
{ {
let next_cursor = algo_request let next_cursor = start_cursor
.and_then(|request| request.start_time) .map(|time| time + Duration::seconds(1))
.or(runtime_start_time)
.or(self.intraday_execution_start_time)
.map(|start_time| date.and_time(start_time) + Duration::seconds(1))
.unwrap_or_else(|| date.and_hms_opt(0, 0, 1).expect("valid midnight")); .unwrap_or_else(|| date.and_hms_opt(0, 0, 1).expect("valid midnight"));
return Ok(Some(ExecutionFill { return Ok(Some(ExecutionFill {
quantity: 0, quantity: 0,
@@ -7778,16 +8196,24 @@ where
return Ok(None); return Ok(None);
} }
let algo_schedule = self.runtime_algo_schedule.get();
let mut preview_commission_state = BTreeMap::new();
let schedule_start = algo_schedule.and_then(|request| request.start_time)
.map(|time| snapshot.date.and_time(time)).or(start_cursor);
let schedule_end = algo_schedule.and_then(|request| request.end_time)
.map(|time| snapshot.date.and_time(time)).or(end_cursor);
let quote_quantity_limited = let quote_quantity_limited =
self.quote_quantity_limited_for_window(matching_type, start_cursor, end_cursor); self.quote_quantity_limited_for_window(matching_type, schedule_start, schedule_end);
let twap_schedule = (matching_type == MatchingType::Twap) let twap_schedule = (matching_type == MatchingType::Twap)
.then(|| TwapSchedule::new(start_cursor, end_cursor, requested_qty)) .then(|| TwapSchedule::new(schedule_start, schedule_end,
algo_schedule.and_then(|request|request.total_quantity).unwrap_or(requested_qty)))
.transpose()?; .transpose()?;
let lot = round_lot.max(1); let lot = round_lot.max(1);
let exact_time_order_quote = matching_type != MatchingType::MinuteLast let exact_time_order_quote = matching_type != MatchingType::MinuteLast
&& start_cursor.is_some() && start_cursor.is_some()
&& end_cursor.is_some() && end_cursor.is_some()
&& start_cursor == end_cursor; && start_cursor == end_cursor
&& !(algo_schedule.is_some() && schedule_start != schedule_end);
let use_decision_time_quote = !self.is_post_close_fixed_price(snapshot.date) let use_decision_time_quote = !self.is_post_close_fixed_price(snapshot.date)
&& start_cursor.is_some() && start_cursor.is_some()
&& (matching_type == MatchingType::MinuteLast || exact_time_order_quote); && (matching_type == MatchingType::MinuteLast || exact_time_order_quote);
@@ -7923,7 +8349,8 @@ where
} }
let mut take_qty = if let Some(schedule) = &twap_schedule { let mut take_qty = if let Some(schedule) = &twap_schedule {
remaining_qty.min(available_qty).min(schedule.due_quantity(execution_at, filled_qty)) remaining_qty.min(available_qty).min(schedule.due_quantity(execution_at,
algo_schedule.map_or(0,|request|request.filled_quantity).saturating_add(filled_qty)))
} else { } else {
remaining_qty.min(available_qty) remaining_qty.min(available_qty)
}; };
@@ -7984,10 +8411,16 @@ where
); );
continue; continue;
} }
let candidate_cost = self let candidate_cost = if let Some(request)=algo_schedule {
.cost_model preview_commission_state.clear();
.calculate_for_instrument(snapshot.date, OrderSide::Buy, candidate_gross, instrument) if let (Some(id),Some(remaining))=(request.order_id,request.commission_remaining) {
.total(); preview_commission_state.insert(id,remaining);
}
self.cost_model.calculate_with_order_state_for_instrument(snapshot.date,OrderSide::Buy,
candidate_gross,request.order_id,&mut preview_commission_state,instrument).total()
} else {
self.cost_model.calculate_for_instrument(snapshot.date,OrderSide::Buy,candidate_gross,instrument).total()
};
let candidate_cash = let candidate_cash =
FixedMoney::checked_sum_f64([candidate_gross, candidate_cost]) FixedMoney::checked_sum_f64([candidate_gross, candidate_cost])
.expect("buy cash must be finite fixed-point money") .expect("buy cash must be finite fixed-point money")
@@ -8252,6 +8685,8 @@ fn sell_reason(decision: &StrategyDecision, symbol: &str) -> &'static str {
#[cfg(test)] #[cfg(test)]
mod tests { mod tests {
mod algorithm_clock;
use std::collections::BTreeMap; use std::collections::BTreeMap;
use chrono::NaiveTime; use chrono::NaiveTime;
@@ -8291,6 +8726,9 @@ mod tests {
time_in_force: OrderTimeInForce::Gtc, time_in_force: OrderTimeInForce::Gtc,
commission_remaining: None, commission_remaining: None,
execution_cursor: None, execution_cursor: None,
algo_request: None,
value_budget: None,
reserved_cash: None,
reason: format!("order_{order_id}"), reason: format!("order_{order_id}"),
} }
} }
crates/fidc-core/src/broker/tests/algorithm_clock.rs
+778
View File
@@ -0,0 +1,778 @@
use super::*;
fn time(minute: u32) -> NaiveTime {
NaiveTime::from_hms_opt(10, minute, 0).unwrap()
}
fn data(quotes: &[(u32, f64, u32)]) -> DataSet {
data_with_snapshot(quotes, limit_test_snapshot())
}
fn data_with_snapshot(quotes: &[(u32, f64, u32)], snapshot: DailyMarketSnapshot) -> DataSet {
DataSet::from_components_with_actions_and_quotes(
vec![limit_test_instrument()],
vec![snapshot],
vec![],
vec![limit_test_candidate(true, true)],
vec![limit_test_benchmark()],
vec![],
quotes
.iter()
.map(|&(minute, price, volume)| {
let mut quote = limit_test_quote(price, price, price);
quote.timestamp = quote.date.and_time(time(minute));
quote.volume_delta = u64::from(volume);
quote.amount_delta = price * f64::from(volume);
quote.bid1_volume = u64::from(volume / 100);
quote.ask1_volume = u64::from(volume / 100);
quote
})
.collect(),
)
.unwrap()
}
fn broker() -> BrokerSimulator<ChinaAShareCostModel, ChinaEquityRuleHooks> {
BrokerSimulator::new(
ChinaAShareCostModel::default()
.with_commission_rate(0.0003)
.with_minimum_commission(5.),
ChinaEquityRuleHooks,
)
.with_matching_type(MatchingType::MinuteLast)
.with_execution_price_field(PriceField::Last)
.with_intraday_execution_start_time(time(0))
.with_volume_limit(true)
.with_volume_percent(0.25)
.with_liquidity_limit(false)
.with_inactive_limit(false)
.with_strict_value_budget(true)
}
fn intent(style: AlgoOrderStyle, value: f64) -> StrategyDecision {
StrategyDecision {
order_intents: vec![OrderIntent::AlgoValue {
symbol: "000001.SZ".into(),
value,
style,
start_time: Some(time(0)),
end_time: Some(time(10)),
reason: "clock-algorithm".into(),
}],
..Default::default()
}
}
fn step(
broker: &BrokerSimulator<ChinaAShareCostModel, ChinaEquityRuleHooks>,
portfolio: &mut PortfolioState,
data: &DataSet,
minute: u32,
decision: &StrategyDecision,
) -> BrokerExecutionReport {
broker
.execute_between(
limit_test_snapshot().date,
portfolio,
data,
decision,
Some(time(minute)),
Some(time(minute)),
)
.unwrap()
}
#[test]
fn twap_clock_preserves_quantity_prices_fees_budget_and_parent_order() {
let data = data(&[
(0, 10., 4_000),
(2, 10.1, 4_000),
(5, 10.2, 4_000),
(10, 10.3, 4_000),
]);
let decision = intent(AlgoOrderStyle::Twap, 10_000.);
let mut synchronous_account = PortfolioState::new(20_000.);
let reference = broker()
.execute(
limit_test_snapshot().date,
&mut synchronous_account,
&data,
&decision,
)
.unwrap();
let broker = broker();
let mut account = PortfolioState::new(20_000.);
let mut fills = Vec::new();
let mut events = Vec::new();
let empty = StrategyDecision::default();
for minute in [0, 2, 5, 10] {
let batch = step(
&broker,
&mut account,
&data,
minute,
if minute == 0 { &decision } else { &empty },
);
assert!(
batch
.fill_events
.iter()
.all(|fill| fill.execution_timestamp.unwrap().time() <= time(minute))
);
fills.extend(batch.fill_events);
events.extend(batch.order_events);
}
let canonical = |rows: &[crate::events::FillEvent]| {
rows.iter()
.map(|fill| {
(
fill.quantity,
fill.price.to_bits(),
fill.commission.to_bits(),
fill.stamp_tax.to_bits(),
fill.transfer_fee.to_bits(),
fill.execution_timestamp,
fill.order_id,
)
})
.collect::<Vec<_>>()
};
assert_eq!(canonical(&fills), canonical(&reference.fill_events));
assert_eq!(account.cash(), synchronous_account.cash());
assert_eq!(fills.iter().map(|fill| fill.quantity).sum::<u32>(), 900);
assert_eq!(fills.iter().map(|fill| fill.commission).sum::<f64>(), 5.);
assert!(fills.iter().map(|fill| -fill.net_cash_flow).sum::<f64>() <= 10_000.);
assert!(events.iter().all(|event| event.order_id == Some(1)));
assert_eq!(events.last().unwrap().status, OrderStatus::Filled);
assert!(broker.open_order_views().is_empty());
}
#[test]
fn partial_algorithm_cancel_releases_reservation_and_never_executes_the_remainder() {
let data = data(&[
(0, 10., 4_000),
(2, 10., 4_000),
(5, 10., 4_000),
(10, 10., 4_000),
]);
let broker = broker();
let mut account = PortfolioState::new(20_000.);
step(
&broker,
&mut account,
&data,
0,
&intent(AlgoOrderStyle::Twap, 10_000.),
);
assert_eq!(broker.open_order_views()[0].reserved_cash, Some(10_000.));
let partial = step(
&broker,
&mut account,
&data,
2,
&StrategyDecision::default(),
);
assert_eq!(
partial
.fill_events
.iter()
.map(|fill| fill.quantity)
.sum::<u32>(),
100
);
let working = broker.open_order_views();
assert_eq!(working[0].order_id, 1);
assert_eq!(working[0].filled_quantity, 100);
assert_eq!(
working[0].reserved_cash,
Some(10_000. + partial.fill_events[0].net_cash_flow)
);
let cancel = step(
&broker,
&mut account,
&data,
3,
&StrategyDecision {
order_intents: vec![OrderIntent::CancelAll {
reason: "explicit-user-cancel".into(),
}],
..Default::default()
},
);
assert!(cancel.fill_events.is_empty());
assert_eq!(
cancel.order_events.last().unwrap().status,
OrderStatus::Canceled
);
assert_eq!(cancel.order_events.last().unwrap().filled_quantity, 100);
assert!(broker.open_order_views().is_empty());
assert!(
step(
&broker,
&mut account,
&data,
10,
&StrategyDecision::default()
)
.fill_events
.is_empty()
);
assert_eq!(account.position("000001.SZ").unwrap().quantity, 100);
}
#[test]
fn algorithm_expiry_without_a_quote_does_not_reuse_old_liquidity() {
let data = data(&[(0, 10., 4_000), (2, 10., 4_000)]);
let broker = broker();
let mut account = PortfolioState::new(20_000.);
step(
&broker,
&mut account,
&data,
0,
&intent(AlgoOrderStyle::Twap, 10_000.),
);
step(
&broker,
&mut account,
&data,
2,
&StrategyDecision::default(),
);
assert_eq!(
broker.next_day_order_expiry(limit_test_snapshot().date),
Some(time(10))
);
let terminal = step(
&broker,
&mut account,
&data,
10,
&StrategyDecision::default(),
);
assert!(terminal.fill_events.is_empty());
assert_eq!(
terminal.order_events.last().unwrap().status,
OrderStatus::Expired
);
assert_eq!(terminal.order_events.last().unwrap().filled_quantity, 100);
assert!(
terminal
.process_events
.iter()
.any(|event| event.detail.contains("Expired")),
"{:?}",
terminal.process_events
);
assert!(broker.open_order_views().is_empty());
}
#[test]
fn separate_buy_cannot_spend_the_working_algorithms_cash_budget() {
let data = data(&[
(0, 10., 4_000),
(1, 10., 4_000),
(2, 10., 4_000),
(10, 10., 4_000),
]);
let broker = broker();
let mut account = PortfolioState::new(11_000.);
step(
&broker,
&mut account,
&data,
0,
&intent(AlgoOrderStyle::Twap, 10_000.),
);
let other = step(
&broker,
&mut account,
&data,
1,
&StrategyDecision {
order_intents: vec![OrderIntent::Shares {
symbol: "000001.SZ".into(),
quantity: 1_000,
reason: "separate-buy".into(),
}],
..Default::default()
},
);
assert!(
other.fill_events.is_empty(),
"cash reserved for order 1 was spent: {:?}",
other.fill_events
);
let final_batch = step(
&broker,
&mut account,
&data,
10,
&StrategyDecision::default(),
);
assert!(
final_batch
.fill_events
.iter()
.all(|fill| fill.order_id == Some(1))
);
assert_eq!(account.position("000001.SZ").unwrap().quantity, 900);
assert!(account.cash() >= 1_000.);
}
#[test]
fn changing_the_later_daily_close_does_not_resize_an_algorithm_submitted_now() {
let quotes = [(0, 10., 4_000), (2, 10.1, 4_000), (10, 10.2, 4_000)];
let mut changed = limit_test_snapshot();
changed.close = 100.;
changed.last_price = 100.;
let run = |data: DataSet| {
let broker = broker();
let mut account = PortfolioState::new(20_000.);
let initial = step(
&broker,
&mut account,
&data,
0,
&intent(AlgoOrderStyle::Twap, 10_000.),
);
assert!(initial.fill_events.is_empty());
let quantity = broker.open_order_views()[0].requested_quantity;
let final_batch = step(
&broker,
&mut account,
&data,
10,
&StrategyDecision::default(),
);
(
quantity,
final_batch
.fill_events
.iter()
.map(|fill| {
(
fill.quantity,
fill.price.to_bits(),
fill.net_cash_flow.to_bits(),
)
})
.collect::<Vec<_>>(),
)
};
assert_eq!(
run(data(&quotes)),
run(data_with_snapshot(&quotes, changed))
);
}
#[test]
fn vwap_clock_preserves_cash_costs_and_does_not_spend_future_volume() {
let data = data(&[
(0, 10., 400),
(2, 10., 800),
(5, 10., 1_200),
(10, 10., 4_000),
]);
let decision = intent(AlgoOrderStyle::Vwap, 10_000.);
let mut synchronous_account = PortfolioState::new(20_000.);
let reference = broker()
.execute(
limit_test_snapshot().date,
&mut synchronous_account,
&data,
&decision,
)
.unwrap();
let broker = broker();
let mut account = PortfolioState::new(20_000.);
let empty = StrategyDecision::default();
let mut filled = 0;
let mut commission = 0.;
for (minute, expected) in [(0, 100), (2, 300), (5, 600), (10, 900)] {
let batch = step(
&broker,
&mut account,
&data,
minute,
if minute == 0 { &decision } else { &empty },
);
filled += batch
.fill_events
.iter()
.map(|fill| fill.quantity)
.sum::<u32>();
commission += batch
.fill_events
.iter()
.map(|fill| fill.commission)
.sum::<f64>();
assert_eq!(filled, expected);
assert!(batch.fill_events.iter().all(|fill| fill.order_id == Some(1)
&& fill.execution_timestamp.unwrap().time() <= time(minute)));
}
assert_eq!(account.cash(), synchronous_account.cash());
assert_eq!(
commission,
reference
.fill_events
.iter()
.map(|fill| fill.commission)
.sum::<f64>()
);
assert!(broker.open_order_views().is_empty());
}
#[test]
fn global_vwap_matching_keeps_the_same_working_order_between_clock_ticks() {
let data = data(&[(0, 10., 400), (2, 10., 400), (10, 10., 4_000)]);
let broker = broker().with_matching_type(MatchingType::Vwap);
let mut account = PortfolioState::new(20_000.);
let first = step(
&broker,
&mut account,
&data,
0,
&StrategyDecision {
order_intents: vec![OrderIntent::Shares {
symbol: "000001.SZ".into(),
quantity: 900,
reason: "configured-vwap".into(),
}],
..Default::default()
},
);
assert_eq!(
first
.fill_events
.iter()
.map(|fill| fill.quantity)
.sum::<u32>(),
100
);
assert_eq!(
broker.open_order_views().len(),
1,
"{:?}",
first.order_events
);
let second = step(
&broker,
&mut account,
&data,
2,
&StrategyDecision::default(),
);
assert_eq!(second.fill_events[0].quantity, 100);
assert_eq!(second.fill_events[0].order_id, Some(1));
let final_batch = step(
&broker,
&mut account,
&data,
10,
&StrategyDecision::default(),
);
assert_eq!(final_batch.fill_events[0].quantity, 700);
assert_eq!(final_batch.fill_events[0].order_id, Some(1));
assert!(broker.open_order_views().is_empty());
}
#[test]
fn algorithm_sell_honors_t_plus_one_and_keeps_original_quantity_after_partial_fills() {
let data = data(&[(0, 10., 400), (2, 10., 800), (10, 10., 4_000)]);
let date = limit_test_snapshot().date;
for acquired_today in [false, true] {
let broker = broker();
let mut account = PortfolioState::new(20_000.);
account.position_mut("000001.SZ").buy(
if acquired_today {
date
} else {
date.pred_opt().unwrap()
},
1_000,
10.,
);
let decision = intent(AlgoOrderStyle::Vwap, -10_000.);
let mut fills = Vec::new();
let mut events = Vec::new();
let empty = StrategyDecision::default();
for minute in [0, 2, 10] {
let batch = step(
&broker,
&mut account,
&data,
minute,
if minute == 0 { &decision } else { &empty },
);
fills.extend(batch.fill_events);
events.extend(batch.order_events);
}
assert_eq!(
fills.iter().map(|fill| fill.quantity).sum::<u32>(),
if acquired_today { 0 } else { 1_000 }
);
assert!(events.iter().all(|event| event.order_id == Some(1)));
if !acquired_today {
assert_eq!(events.last().unwrap().status, OrderStatus::Filled);
assert_eq!(events.last().unwrap().requested_quantity, 1_000);
assert_eq!(events.last().unwrap().filled_quantity, 1_000);
}
assert!(broker.open_order_views().is_empty());
}
}
#[test]
fn an_explicit_ioc_or_fok_does_not_become_a_persistent_algorithm() {
let data = data(&[(0, 10., 400), (2, 10., 4_000), (10, 10., 4_000)]);
for tif in [
OrderTimeInForce::Ioc,
OrderTimeInForce::Fok,
OrderTimeInForce::Day,
OrderTimeInForce::Gtc,
] {
let broker = broker();
let mut account = PortfolioState::new(20_000.);
let mut decision = intent(AlgoOrderStyle::Vwap, 10_000.);
if !decision.order_intents[0].supports_time_in_force(tif) {
decision.order_intents = decision
.order_intents
.into_iter()
.map(|intent| intent.with_time_in_force(tif))
.collect();
let error = broker
.execute_between(
limit_test_snapshot().date,
&mut account,
&data,
&decision,
Some(time(0)),
Some(time(0)),
)
.unwrap_err();
assert!(
error
.to_string()
.contains("is not supported for this order intent")
);
assert_eq!(account.cash(), 20_000.);
assert!(broker.open_order_views().is_empty());
continue;
}
decision.order_intents = decision
.order_intents
.into_iter()
.map(|intent| intent.with_time_in_force(tif))
.collect();
let first = step(&broker, &mut account, &data, 0, &decision);
let persists = matches!(tif, OrderTimeInForce::Day | OrderTimeInForce::Gtc);
assert_eq!(
!broker.open_order_views().is_empty(),
persists,
"{tif:?}: {:?}",
first.order_events
);
if !persists {
assert!(
step(
&broker,
&mut account,
&data,
10,
&StrategyDecision::default()
)
.fill_events
.is_empty()
);
}
}
}
#[test]
fn two_working_algorithms_reserve_only_real_cash_without_starving_the_first() {
let data = data(&[(0, 10., 40_000), (10, 10., 40_000)]);
let broker = broker();
let mut account = PortfolioState::new(15_000.);
let mut decision = intent(AlgoOrderStyle::Twap, 10_000.);
decision
.order_intents
.extend(intent(AlgoOrderStyle::Twap, 10_000.).order_intents);
step(&broker, &mut account, &data, 0, &decision);
assert_eq!(
broker
.open_order_views()
.iter()
.map(|order| order.reserved_cash.unwrap())
.collect::<Vec<_>>(),
vec![10_000., 5_000.]
);
let report = step(
&broker,
&mut account,
&data,
10,
&StrategyDecision::default(),
);
assert_eq!(
report
.fill_events
.iter()
.map(|fill| (fill.order_id, fill.quantity))
.collect::<Vec<_>>(),
vec![(Some(1), 900), (Some(2), 500)]
);
assert!(account.cash() >= 0.);
assert!(broker.open_order_views().is_empty());
}
#[test]
fn a_clock_slice_does_not_turn_window_twap_into_an_unlimited_instant_order() {
let data = data(&[(0, 10., 100), (2, 10., 100), (10, 10.1, 100)]);
let broker = broker()
.with_volume_limit(false)
.with_liquidity_limit(false);
let mut account = PortfolioState::new(20_000.);
step(
&broker,
&mut account,
&data,
0,
&intent(AlgoOrderStyle::Twap, 10_000.),
);
let first = step(
&broker,
&mut account,
&data,
2,
&StrategyDecision::default(),
);
let last = step(
&broker,
&mut account,
&data,
10,
&StrategyDecision::default(),
);
assert_eq!(
first
.fill_events
.iter()
.map(|fill| fill.quantity)
.sum::<u32>(),
100
);
assert_eq!(
last.fill_events
.iter()
.map(|fill| fill.quantity)
.sum::<u32>(),
100
);
assert_eq!(
last.order_events.last().unwrap().status,
OrderStatus::Expired
);
assert_eq!(last.order_events.last().unwrap().filled_quantity, 200);
assert!(broker.open_order_views().is_empty());
}
#[test]
fn non_matching_controls_amend_or_cancel_without_filling_a_crossing_quote() {
let data = data(&[(0, 10., 4_000), (2, 9.4, 4_000)]);
let broker = broker();
let mut account = PortfolioState::new(20_000.);
step(
&broker,
&mut account,
&data,
0,
&StrategyDecision {
order_intents: vec![
OrderIntent::LimitShares {
symbol: "000001.SZ".into(),
quantity: 100,
limit_price: 9.5,
reason: "resting".into(),
}
.with_time_in_force(OrderTimeInForce::Gtc),
],
..Default::default()
},
);
assert_eq!(broker.open_order_views().len(), 1);
let modify = broker
.execute_controls_without_matching(
limit_test_snapshot().date,
limit_test_snapshot().date,
&mut account,
&data,
&StrategyDecision {
order_intents: vec![OrderIntent::ModifyOrder {
order_id: 1,
new_total_quantity: Some(200),
new_limit_price: Some(9.3),
reason: "pre-open-amend".into(),
}],
..Default::default()
},
Some(time(2)),
)
.unwrap();
assert!(modify.fill_events.is_empty());
assert_eq!(broker.open_order_views()[0].limit_price, 9.3);
assert_eq!(broker.open_order_views()[0].requested_quantity, 200);
let cancel = broker
.execute_controls_without_matching(
limit_test_snapshot().date,
limit_test_snapshot().date,
&mut account,
&data,
&StrategyDecision {
order_intents: vec![OrderIntent::CancelAll {
reason: "pre-open-cancel".into(),
}],
..Default::default()
},
Some(time(2)),
)
.unwrap();
assert!(cancel.fill_events.is_empty());
assert_eq!(
cancel.order_events.last().unwrap().status,
OrderStatus::Canceled
);
assert_eq!(account.cash(), 20_000.);
assert!(broker.open_order_views().is_empty());
}
#[test]
fn control_only_phase_cannot_be_used_to_submit_an_order_or_leave_matching_disabled() {
let data = data(&[(0, 10., 4_000)]);
let broker = broker();
let mut account = PortfolioState::new(20_000.);
let submit = StrategyDecision {
order_intents: vec![OrderIntent::Shares {
symbol: "000001.SZ".into(),
quantity: 100,
reason: "normal-order".into(),
}],
..Default::default()
};
assert!(
broker
.execute_controls_without_matching(
limit_test_snapshot().date,
limit_test_snapshot().date,
&mut account,
&data,
&submit,
Some(time(0))
)
.is_err()
);
assert_eq!(account.cash(), 20_000.);
assert_eq!(
step(&broker, &mut account, &data, 0, &submit).fill_events[0].quantity,
100
);
}
crates/fidc-core/src/engine.rs
+1699 -318
View File
File diff suppressed because it is too large Load Diff
crates/fidc-core/src/fixed_point.rs
+11
View File
@@ -28,6 +28,17 @@ impl FixedMoney {
self.0 self.0
} }
pub fn to_decimal_string(self) -> String {
let magnitude = self.0.unsigned_abs();
let scale = MONEY_SCALE as u128;
let sign = if self.0 < 0 { "-" } else { "" };
let width = MONEY_SCALE.ilog10() as usize;
format!("{sign}{}.{:0width$}", magnitude / scale, magnitude % scale)
.trim_end_matches('0')
.trim_end_matches('.')
.to_string()
}
pub fn from_decimal_str(value: &str) -> Result<Self, String> { pub fn from_decimal_str(value: &str) -> Result<Self, String> {
let value = value.trim(); let value = value.trim();
if value.is_empty() { if value.is_empty() {
crates/fidc-core/src/lib.rs
+1
View File
@@ -20,6 +20,7 @@ pub mod fixed_point;
pub mod futures; pub mod futures;
pub mod instrument; pub mod instrument;
pub mod metrics; pub mod metrics;
pub mod manual_execution;
mod numeric_expr_vm; mod numeric_expr_vm;
pub mod platform_expr_strategy; pub mod platform_expr_strategy;
pub mod platform_runtime_schema; pub mod platform_runtime_schema;
crates/fidc-core/src/manual_execution.rs
+534
View File
@@ -0,0 +1,534 @@
//! Confirmed manual fills are external observations, not simulated broker fills.
//! The producer must bind these records to the runtime's durable order/audit facts.
use std::collections::BTreeSet;
use chrono::{DateTime, FixedOffset, NaiveDate, Timelike, Utc};
use rust_decimal::Decimal;
use serde::{Deserialize, Serialize};
use sha2::{Digest, Sha256};
use crate::events::OrderSide;
use crate::{DataSet, FixedMoney, PortfolioState};
use rust_decimal::prelude::ToPrimitive;
pub const MANUAL_REPLAY_SCHEMA: &str = "fidc.observed-manual-executions/v1";
#[derive(Debug, Clone, Serialize, Deserialize, PartialEq)]
#[serde(deny_unknown_fields, rename_all = "camelCase")]
pub struct ManualExecutionReplay {
pub schema: String,
pub runtime_id: String,
pub account_id: String,
pub source_contract_sha256: String,
pub content_sha256: String,
pub observation_cutoff: DateTime<Utc>,
pub actions: Vec<ManualExecutionAction>,
}
#[derive(Debug, Clone, Serialize, Deserialize, PartialEq)]
#[serde(deny_unknown_fields, rename_all = "camelCase")]
pub struct ManualExecutionAction {
pub action_id: String,
pub source: ManualExecutionSource,
pub audit_event_ids: Vec<String>,
pub confirmed_at: DateTime<Utc>,
pub outcome: ManualActionOutcome,
pub orders: Vec<ManualExecutionOrder>,
}
#[derive(Debug, Clone, Copy, Serialize, Deserialize, PartialEq, Eq)]
#[serde(rename_all = "snake_case")]
pub enum ManualActionOutcome {
NoOrdersNeeded,
OrdersTerminal,
}
#[derive(Debug, Clone, Copy, Serialize, Deserialize, PartialEq, Eq)]
#[serde(rename_all = "snake_case")]
pub enum ManualExecutionSource {
ManualSecurityTrade,
ManualPositionAction,
ManualRebalance,
StockPoolAllocation,
}
#[derive(Debug, Clone, Serialize, Deserialize, PartialEq)]
#[serde(deny_unknown_fields, rename_all = "camelCase")]
pub struct ManualExecutionOrder {
pub order_id: String,
pub broker_order_id: Option<String>,
pub source_adapter: String,
pub symbol: String,
pub side: OrderSide,
pub quantity: u32,
pub submitted_at: DateTime<Utc>,
pub terminal_at: DateTime<Utc>,
pub terminal_status: ManualOrderTerminalStatus,
pub fills: Vec<ManualExecutionFill>,
}
#[derive(Debug, Clone, Copy, Serialize, Deserialize, PartialEq, Eq)]
#[serde(rename_all = "snake_case")]
pub enum ManualOrderTerminalStatus {
Filled,
Cancelled,
Rejected,
Expired,
}
#[derive(Debug, Clone, Serialize, Deserialize, PartialEq)]
#[serde(deny_unknown_fields, rename_all = "camelCase")]
pub struct ManualExecutionFill {
pub trade_id: String,
pub observation_event_id: String,
pub observation_sequence: u64,
pub trade_date: NaiveDate,
pub executed_at: DateTime<Utc>,
pub observed_at: DateTime<Utc>,
pub timestamp_precision: ManualTimestampPrecision,
pub quantity: u32,
#[serde(with = "rust_decimal::serde::str")]
pub price: Decimal,
#[serde(with = "rust_decimal::serde::str")]
pub commission: Decimal,
#[serde(with = "rust_decimal::serde::str")]
pub stamp_tax: Decimal,
#[serde(with = "rust_decimal::serde::str")]
pub transfer_fee: Decimal,
}
#[derive(Debug, Clone, Copy, Serialize, Deserialize, PartialEq, Eq)]
#[serde(rename_all = "snake_case")]
pub enum ManualTimestampPrecision {
Second,
Millisecond,
Microsecond,
Nanosecond,
}
impl ManualTimestampPrecision {
fn nanoseconds(self) -> i64 {
match self {
Self::Second => 1_000_000_000,
Self::Millisecond => 1_000_000,
Self::Microsecond => 1_000,
Self::Nanosecond => 1,
}
}
}
impl ManualExecutionFill {
pub fn gross_amount(&self) -> Result<Decimal, String> {
self.price
.checked_mul(Decimal::from(self.quantity))
.ok_or_else(|| "manual fill gross amount overflow".into())
}
pub fn total_fees(&self) -> Result<Decimal, String> {
self.commission
.checked_add(self.stamp_tax)
.and_then(|sum| sum.checked_add(self.transfer_fee))
.ok_or_else(|| "manual fill fees overflow".into())
}
}
fn identifier(value: &str) -> Result<(), String> {
if value.is_empty()
|| value.trim() != value
|| value.len() > 256
|| value.chars().any(char::is_control)
{
return Err("manual execution identity is empty, untrimmed or invalid".into());
}
Ok(())
}
impl ManualExecutionReplay {
pub fn observations(&self) -> Result<Vec<ManualFillObservation<'_>>, String> {
self.validate()?;
let mut observations = Vec::new();
for action in &self.actions {
for order in &action.orders {
for fill in &order.fills {
observations.push(ManualFillObservation {
action,
order,
fill,
});
}
}
}
observations.sort_by_key(|entry| (entry.fill.observed_at, entry.fill.observation_sequence));
Ok(observations)
}
pub fn content_digest(&self) -> Result<String, String> {
let mut value = serde_json::to_value(self).map_err(|error| error.to_string())?;
value
.as_object_mut()
.ok_or("manual replay is not an object")?
.remove("contentSha256");
let bytes = serde_json::to_vec(&value).map_err(|error| error.to_string())?;
Ok(format!("{:x}", Sha256::digest(bytes)))
}
pub fn validate(&self) -> Result<(), String> {
if self.schema != MANUAL_REPLAY_SCHEMA {
return Err("unsupported manual replay schema".into());
}
identifier(&self.runtime_id)?;
identifier(&self.account_id)?;
if self.source_contract_sha256.len() != 64
|| !self
.source_contract_sha256
.bytes()
.all(|v| v.is_ascii_hexdigit())
{
return Err("manual replay source contract hash is invalid".into());
}
if self.content_digest()? != self.content_sha256 {
return Err("manual replay content digest mismatch".into());
}
if self.actions.len() > 100_000 {
return Err("manual replay action limit exceeded; trace was not truncated".into());
}
let shanghai = FixedOffset::east_opt(8 * 3600).unwrap();
let mut actions = BTreeSet::new();
let mut audits = BTreeSet::new();
let mut orders = BTreeSet::new();
let mut broker_orders = BTreeSet::new();
let mut trades = BTreeSet::new();
let mut observation_events = BTreeSet::new();
let mut observation_sequences = BTreeSet::new();
for action in &self.actions {
identifier(&action.action_id)?;
if !actions.insert(action.action_id.as_str())
|| action.confirmed_at > self.observation_cutoff
{
return Err("duplicate manual action or confirmation after cutoff".into());
}
if action.audit_event_ids.is_empty() {
return Err("manual action has no immutable audit binding".into());
}
if (action.outcome == ManualActionOutcome::NoOrdersNeeded) != action.orders.is_empty() {
return Err("manual action outcome does not prove its order coverage".into());
}
for id in &action.audit_event_ids {
identifier(id)?;
if !audits.insert(id.as_str()) {
return Err("manual audit event is bound more than once".into());
}
}
for order in &action.orders {
identifier(&order.order_id)?;
identifier(&order.source_adapter)?;
identifier(&order.symbol)?;
if let Some(id) = &order.broker_order_id {
identifier(id)?;
if !broker_orders.insert((
order.source_adapter.as_str(),
order.submitted_at.with_timezone(&shanghai).date_naive(),
id.as_str(),
)) {
return Err("manual local orders share one broker order identity".into());
}
}
if !order.fills.is_empty()
&& order.source_adapter != "paper"
&& order.broker_order_id.is_none()
{
return Err(
"manual broker fills require their original broker order identity".into(),
);
}
if !orders.insert(order.order_id.as_str())
|| order.quantity == 0
|| order.quantity > i32::MAX as u32
{
return Err("duplicate manual order or invalid quantity".into());
}
if order.submitted_at < action.confirmed_at
|| order.terminal_at < order.submitted_at
|| order.terminal_at > self.observation_cutoff
{
return Err(
"manual order confirmation/submission/terminal time is inconsistent".into(),
);
}
let mut filled = 0_u32;
for fill in &order.fills {
identifier(&fill.trade_id)?;
identifier(&fill.observation_event_id)?;
if fill.observation_sequence == 0
|| fill.observation_sequence > i64::MAX as u64
|| !observation_events.insert(fill.observation_event_id.as_str())
|| !observation_sequences.insert(fill.observation_sequence)
{
return Err(
"manual fill requires a unique durable observation event and sequence"
.into(),
);
}
if !trades.insert((fill.trade_date, fill.trade_id.as_str()))
|| fill.quantity == 0
{
return Err("duplicate manual trade or zero fill quantity".into());
}
if fill.executed_at.with_timezone(&shanghai).date_naive() != fill.trade_date
|| fill.observed_at > self.observation_cutoff
|| fill.observed_at < order.submitted_at
|| fill.observed_at < fill.executed_at
|| fill.executed_at > order.terminal_at
{
return Err("manual fill execution/observation time is inconsistent".into());
}
if i64::from(fill.executed_at.nanosecond())
% fill.timestamp_precision.nanoseconds()
!= 0
{
return Err(
"broker timestamp contains digits finer than its declared precision"
.into(),
);
}
let upper = fill
.executed_at
.checked_add_signed(chrono::Duration::nanoseconds(
fill.timestamp_precision.nanoseconds(),
))
.ok_or("manual execution timestamp overflow")?;
if fill.executed_at < order.submitted_at && order.submitted_at >= upper {
return Err("manual fill predates its submitted order".into());
}
if fill.price <= Decimal::ZERO
|| [fill.commission, fill.stamp_tax, fill.transfer_fee]
.iter()
.any(|fee| *fee < Decimal::ZERO)
{
return Err(
"manual fill requires a positive price and complete nonnegative fees"
.into(),
);
}
fill.gross_amount()?
.checked_add(fill.total_fees()?)
.ok_or("manual fill cash amount overflow")?;
filled = filled
.checked_add(fill.quantity)
.ok_or("manual cumulative fill quantity overflow")?;
}
if filled > order.quantity
|| (order.terminal_status == ManualOrderTerminalStatus::Filled
&& filled != order.quantity)
|| (order.terminal_status == ManualOrderTerminalStatus::Rejected && filled != 0)
|| (matches!(
order.terminal_status,
ManualOrderTerminalStatus::Cancelled | ManualOrderTerminalStatus::Expired
) && filled == order.quantity)
{
return Err("manual terminal status disagrees with cumulative fills".into());
}
}
}
Ok(())
}
}
#[derive(Debug, Clone, Copy)]
pub struct ManualFillObservation<'a> {
pub action: &'a ManualExecutionAction,
pub order: &'a ManualExecutionOrder,
pub fill: &'a ManualExecutionFill,
}
#[derive(Debug, Clone, PartialEq)]
pub struct AppliedManualFill {
pub gross: FixedMoney,
pub fees: FixedMoney,
pub cash_delta: FixedMoney,
pub quantity_after: u32,
}
/// One replay owns its immutable trace and progress. Advancing is atomic even
/// if a later receipt in the same step disagrees with the shadow account.
pub struct ManualReplayCursor {
replay: ManualExecutionReplay,
indices: Vec<(usize, usize, usize)>,
cursor: usize,
clock: Option<DateTime<Utc>>,
}
#[derive(Debug, Clone, Serialize, Deserialize, PartialEq)]
#[serde(rename_all = "camelCase")]
pub struct ManualReplayApplication {
pub action_id: String,
pub order_id: String,
pub trade_id: String,
pub observation_event_id: String,
pub observation_sequence: u64,
pub observed_at: DateTime<Utc>,
pub executed_at: DateTime<Utc>,
pub symbol: String,
pub side: OrderSide,
pub quantity: u32,
pub quantity_after: u32,
pub price: String,
pub commission: String,
pub stamp_tax: String,
pub transfer_fee: String,
pub source_gross_amount: String,
pub ledger_gross_amount: String,
pub ledger_fees: String,
pub cash_delta: String,
}
impl ManualReplayCursor {
pub fn new(replay: ManualExecutionReplay) -> Result<Self, String> {
replay.validate()?;
let mut indices = Vec::new();
for (a, action) in replay.actions.iter().enumerate() {
for (o, order) in action.orders.iter().enumerate() {
for f in 0..order.fills.len() {
indices.push((a, o, f));
}
}
}
indices.sort_by_key(|&(a, o, f)| {
let fill = &replay.actions[a].orders[o].fills[f];
(fill.observed_at, fill.observation_sequence)
});
Ok(Self {
replay,
indices,
cursor: 0,
clock: None,
})
}
pub fn next_observation_at(&self) -> Option<DateTime<Utc>> {
self.indices
.get(self.cursor)
.map(|&(a, o, f)| self.replay.actions[a].orders[o].fills[f].observed_at)
}
pub fn applied_count(&self) -> usize {
self.cursor
}
pub fn advance(
&mut self,
at: DateTime<Utc>,
portfolio: &mut PortfolioState,
data: &DataSet,
has_pending_orders: bool,
) -> Result<Vec<ManualReplayApplication>, String> {
if at > self.replay.observation_cutoff {
return Err("manual observation clock exceeds the frozen evidence cutoff".into());
}
if self.clock.is_some_and(|clock| at < clock) {
return Err("manual observation clock moved backwards".into());
}
let end = self.cursor
+ self.indices[self.cursor..]
.iter()
.take_while(|&&(a, o, f)| {
self.replay.actions[a].orders[o].fills[f].observed_at <= at
})
.count();
if end == self.cursor {
self.clock = Some(at);
return Ok(vec![]);
}
let mut next = portfolio.clone();
let mut applications = Vec::with_capacity(end - self.cursor);
for &(a, o, f) in &self.indices[self.cursor..end] {
let action = &self.replay.actions[a];
let order = &action.orders[o];
let fill = &order.fills[f];
let applied = ManualFillObservation {
action,
order,
fill,
}
.apply(&mut next, data, has_pending_orders)?;
applications.push(ManualReplayApplication {
action_id: action.action_id.clone(),
order_id: order.order_id.clone(),
trade_id: fill.trade_id.clone(),
observation_event_id: fill.observation_event_id.clone(),
observation_sequence: fill.observation_sequence,
observed_at: fill.observed_at,
executed_at: fill.executed_at,
symbol: order.symbol.clone(),
side: order.side,
quantity: fill.quantity,
quantity_after: applied.quantity_after,
price: fill.price.to_string(),
commission: fill.commission.to_string(),
stamp_tax: fill.stamp_tax.to_string(),
transfer_fee: fill.transfer_fee.to_string(),
source_gross_amount: fill.gross_amount()?.to_string(),
ledger_gross_amount: applied.gross.to_decimal_string(),
ledger_fees: applied.fees.to_decimal_string(),
cash_delta: applied.cash_delta.to_decimal_string(),
});
}
*portfolio = next;
self.cursor = end;
self.clock = Some(at);
Ok(applications)
}
}
impl ManualFillObservation<'_> {
pub(crate) fn apply(
&self,
portfolio: &mut PortfolioState,
data: &DataSet,
has_pending_orders: bool,
) -> Result<AppliedManualFill, String> {
if has_pending_orders {
return Err("manual observation conflicts with pending shadow orders".into());
}
let instrument = data
.instrument(&self.order.symbol)
.ok_or("manual observation instrument is absent from frozen source data")?;
if instrument
.dated_market_absence_reason(self.fill.trade_date)
.is_some()
{
return Err("manual execution contradicts the frozen instrument lifecycle".into());
}
let gross = FixedMoney::from_decimal_str(&self.fill.gross_amount()?.to_string())?;
let fees = FixedMoney::from_decimal_str(&self.fill.total_fees()?.to_string())?;
let price = self
.fill
.price
.to_f64()
.filter(|price| price.is_finite() && *price > 0.)
.ok_or("manual execution price cannot be represented for valuation")?;
// This is the real observed trade price, not a fabricated quote. The
// normal market clock remains responsible for subsequent marks.
let cash_delta = portfolio.apply_observed_manual_fill(
self.fill.trade_date,
&self.order.symbol,
self.order.side,
self.fill.quantity,
price,
price,
gross,
fees,
)?;
Ok(AppliedManualFill {
gross,
fees,
cash_delta,
quantity_after: portfolio
.position(&self.order.symbol)
.map_or(0, |position| position.quantity),
})
}
}
#[cfg(test)]
mod tests;
crates/fidc-core/src/manual_execution/tests.rs
+416
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use super::*;
use serde_json::{Value, json};
fn sample() -> ManualExecutionReplay {
let mut input:ManualExecutionReplay=serde_json::from_value(json!({
"schema":MANUAL_REPLAY_SCHEMA,"runtimeId":"runtime-1","accountId":"account-1",
"sourceContractSha256":"a".repeat(64),"contentSha256":"", "observationCutoff":"2026-09-14T08:00:00Z",
"actions":[{"actionId":"action-1","source":"manual_security_trade","auditEventIds":["audit-1"],
"confirmedAt":"2026-09-14T01:30:00.500Z","outcome":"orders_terminal","orders":[{
"orderId":"order-1","brokerOrderId":"broker-1","sourceAdapter":"gt-api","symbol":"000001.SZ","side":"Buy","quantity":100,
"submittedAt":"2026-09-14T01:30:00.600Z","terminalAt":"2026-09-14T01:30:00.900Z","terminalStatus":"filled",
"fills":[{"tradeId":"trade-1","observationEventId":"received-1","observationSequence":1,"tradeDate":"2026-09-14","executedAt":"2026-09-14T01:30:00Z",
"observedAt":"2026-09-14T01:30:01Z","timestampPrecision":"second","quantity":100,
"price":"10.1234567891","commission":"0.1000001","stampTax":"0","transferFee":"0.02"}]
}]}]
})).unwrap();
reseal(&mut input);
input
}
fn reseal(input: &mut ManualExecutionReplay) {
input.content_sha256 = input.content_digest().unwrap();
}
fn semantic_result(input: &ManualExecutionReplay) -> Result<(), String> {
let mut input = input.clone();
reseal(&mut input);
input.validate()
}
#[test]
fn complete_exact_decimal_evidence_allows_later_observation_and_retains_source_digits() {
let input = sample();
input.validate().unwrap();
let fill = &input.actions[0].orders[0].fills[0];
assert_eq!(fill.gross_amount().unwrap().to_string(), "1012.3456789100");
assert_eq!(fill.total_fees().unwrap().to_string(), "0.1200001");
assert_eq!(
serde_json::to_value(&input).unwrap()["actions"][0]["orders"][0]["fills"][0]["price"],
"10.1234567891"
);
}
#[test]
fn all_required_money_and_binding_fields_reject_missing_or_wrong_values() {
let original = serde_json::to_value(sample()).unwrap();
for field in ["price", "commission", "stampTax", "transferFee"] {
let mut missing = original.clone();
missing["actions"][0]["orders"][0]["fills"][0]
.as_object_mut()
.unwrap()
.remove(field);
assert!(
serde_json::from_value::<ManualExecutionReplay>(missing).is_err(),
"{field}"
);
let mut numeric = original.clone();
numeric["actions"][0]["orders"][0]["fills"][0][field] = json!(1.1);
assert!(
serde_json::from_value::<ManualExecutionReplay>(numeric).is_err(),
"numeric {field}"
);
}
for mutate in [
("schema", json!("unknown")),
("sourceContractSha256", json!("broken")),
("accountId", json!(" ")),
] {
let mut value = original.clone();
value[mutate.0] = mutate.1;
assert!(
semantic_result(&serde_json::from_value::<ManualExecutionReplay>(value).unwrap())
.is_err()
);
}
}
#[test]
fn inconsistent_counts_terminals_audits_and_duplicate_facts_are_rejected() {
let original = sample();
let mut invalid = original.clone();
invalid.actions[0].orders[0].quantity = 200;
assert!(semantic_result(&invalid).is_err());
let mut invalid = original.clone();
invalid.actions[0].orders[0].terminal_status = ManualOrderTerminalStatus::Rejected;
assert!(semantic_result(&invalid).is_err());
let mut invalid = original.clone();
invalid.actions[0].audit_event_ids.clear();
assert!(semantic_result(&invalid).is_err());
let mut invalid = original.clone();
invalid.actions.push(invalid.actions[0].clone());
assert!(semantic_result(&invalid).is_err());
let mut invalid = original.clone();
let duplicate = invalid.actions[0].orders[0].fills[0].clone();
invalid.actions[0].orders[0].fills.push(duplicate);
assert!(semantic_result(&invalid).is_err());
let mut invalid = original.clone();
invalid.actions[0].orders[0].broker_order_id = None;
assert!(semantic_result(&invalid).is_err());
invalid.actions[0].orders[0].source_adapter = "paper".into();
reseal(&mut invalid);
invalid.validate().unwrap();
}
#[test]
fn source_time_precision_is_not_invented_and_submitted_time_must_fit_the_interval() {
let mut input = sample();
input.actions[0].orders[0].submitted_at = "2026-09-14T01:30:00.999999Z".parse().unwrap();
input.actions[0].orders[0].terminal_at = "2026-09-14T01:30:01.500Z".parse().unwrap();
input.actions[0].orders[0].fills[0].observed_at = "2026-09-14T01:30:02Z".parse().unwrap();
reseal(&mut input);
input.validate().unwrap();
input.actions[0].orders[0].submitted_at = "2026-09-14T01:30:01Z".parse().unwrap();
assert!(semantic_result(&input).is_err());
let mut input = sample();
input.actions[0].orders[0].fills[0].executed_at = "2026-09-14T01:30:00.800Z".parse().unwrap();
assert!(semantic_result(&input).is_err());
input.actions[0].orders[0].fills[0].timestamp_precision = ManualTimestampPrecision::Millisecond;
reseal(&mut input);
input.validate().unwrap();
input.actions[0].orders[0].fills[0].executed_at =
"2026-09-14T01:30:00.800001Z".parse().unwrap();
assert!(semantic_result(&input).is_err());
}
#[test]
fn confirmed_no_order_outcome_is_distinct_from_unconfirmed_or_unknown_work() {
let mut input = sample();
input.actions[0].orders.clear();
assert!(semantic_result(&input).is_err());
input.actions[0].outcome = ManualActionOutcome::NoOrdersNeeded;
reseal(&mut input);
input.validate().unwrap();
let mut value = serde_json::to_value(input).unwrap();
value["actions"][0]["outcome"] = json!("result_unknown");
assert!(serde_json::from_value::<ManualExecutionReplay>(value).is_err());
}
#[test]
fn raw_timezone_and_cutoff_are_required() {
let mut value = serde_json::to_value(sample()).unwrap();
value["actions"][0]["orders"][0]["fills"][0]["executedAt"] = json!("2026-09-14T09:30:00");
assert!(serde_json::from_value::<ManualExecutionReplay>(value).is_err());
let mut input = sample();
input.observation_cutoff = "2026-09-14T01:30:00.700Z".parse().unwrap();
assert!(semantic_result(&input).is_err());
let mut value = serde_json::to_value(sample()).unwrap();
value["actions"][0]["orders"][0]["fills"][0]["commission"] = Value::Null;
assert!(serde_json::from_value::<ManualExecutionReplay>(value).is_err());
}
#[test]
fn changing_any_external_price_or_identity_invalidates_the_frozen_trace() {
let input = sample();
let original = input.content_sha256.clone();
let mut changed = input.clone();
changed.actions[0].orders[0].fills[0].price += Decimal::ONE;
assert_ne!(changed.content_digest().unwrap(), original);
assert_eq!(
changed.validate().unwrap_err(),
"manual replay content digest mismatch"
);
let mut changed = input;
changed.account_id = "another-account".into();
assert_ne!(changed.content_digest().unwrap(), original);
assert!(changed.validate().is_err());
}
fn identity_data(listed: NaiveDate) -> DataSet {
DataSet::from_components(
vec![crate::Instrument {
symbol: "000001.SZ".into(),
name: "test".into(),
board: "SZ".into(),
round_lot: 100,
listed_at: Some(listed),
delisted_at: None,
status: "active".into(),
}],
vec![],
vec![],
vec![],
vec![crate::BenchmarkSnapshot {
date: listed,
benchmark: "000300.SH".into(),
open: 100.,
close: 100.,
prev_close: 100.,
volume: 0,
}],
)
.unwrap()
}
#[test]
fn confirmed_manual_fill_changes_cash_and_lots_but_not_external_cash_flow_units() {
let input = sample();
let observations = input.observations().unwrap();
let data = identity_data(NaiveDate::from_ymd_opt(2020, 1, 1).unwrap());
let mut account = PortfolioState::new(10_000.);
let applied = observations[0].apply(&mut account, &data, false).unwrap();
assert_eq!(
applied.gross,
FixedMoney::from_decimal_str("1012.345679").unwrap()
);
assert_eq!(applied.fees, FixedMoney::from_decimal_str("0.12").unwrap());
assert_eq!(account.cash(), 8987.534321);
assert_eq!(account.position("000001.SZ").unwrap().quantity, 100);
assert_eq!(
account
.position("000001.SZ")
.unwrap()
.sellable_qty(input.actions[0].orders[0].fills[0].trade_date),
0
);
assert_eq!(account.external_cash_flow_total(), 0.);
assert_eq!(account.starting_cash(), 10_000.);
}
#[test]
fn manual_mismatches_are_atomic_and_do_not_borrow_shares_cash_or_override_pending_orders() {
let data = identity_data(NaiveDate::from_ymd_opt(2020, 1, 1).unwrap());
let input = sample();
let observations = input.observations().unwrap();
let mut poor = PortfolioState::new(10.);
assert!(observations[0].apply(&mut poor, &data, false).is_err());
assert_eq!(poor.cash(), 10.);
assert!(poor.positions().is_empty());
let mut account = PortfolioState::new(10_000.);
assert!(observations[0].apply(&mut account, &data, true).is_err());
assert_eq!(account.cash(), 10_000.);
assert!(account.positions().is_empty());
observations[0].apply(&mut account, &data, false).unwrap();
let before = account.cash();
let mut sell = input.clone();
sell.actions[0].orders[0].side = OrderSide::Sell;
reseal(&mut sell);
assert!(
sell.observations().unwrap()[0]
.apply(&mut account, &data, false)
.unwrap_err()
.contains("T+1")
);
assert_eq!(account.cash(), before);
assert_eq!(account.position("000001.SZ").unwrap().quantity, 100);
let unlisted = identity_data(NaiveDate::from_ymd_opt(2027, 1, 1).unwrap());
assert!(
observations[0]
.apply(&mut account, &unlisted, false)
.unwrap_err()
.contains("lifecycle")
);
assert_eq!(account.cash(), before);
}
#[test]
fn the_next_day_manual_sale_keeps_the_actual_quantity_and_fee_contract() {
let data = identity_data(NaiveDate::from_ymd_opt(2020, 1, 1).unwrap());
let input = sample();
let mut account = PortfolioState::new(10_000.);
input.observations().unwrap()[0]
.apply(&mut account, &data, false)
.unwrap();
let mut sell = input.clone();
let order = &mut sell.actions[0].orders[0];
order.side = OrderSide::Sell;
order.submitted_at += chrono::Duration::days(1);
order.terminal_at += chrono::Duration::days(1);
order.fills[0].trade_date = order.fills[0].trade_date.succ_opt().unwrap();
order.fills[0].executed_at += chrono::Duration::days(1);
order.fills[0].observed_at += chrono::Duration::days(1);
sell.observation_cutoff += chrono::Duration::days(1);
reseal(&mut sell);
let applied = sell.observations().unwrap()[0]
.apply(&mut account, &data, false)
.unwrap();
assert_eq!(applied.quantity_after, 0);
assert_eq!(account.cash(), 9999.76);
assert_eq!(account.external_cash_flow_total(), 0.);
}
#[test]
fn observations_follow_durable_receipt_order_and_not_input_array_order() {
let mut input = sample();
let mut second = input.actions[0].orders[0].fills[0].clone();
second.trade_id = "trade-2".into();
second.observation_event_id = "received-2".into();
second.observation_sequence = 2;
input.actions[0].orders[0].quantity = 200;
input.actions[0].orders[0].fills.insert(0, second);
reseal(&mut input);
assert_eq!(
input
.observations()
.unwrap()
.iter()
.map(|row| row.fill.observation_sequence)
.collect::<Vec<_>>(),
vec![1, 2]
);
let mut invalid = input.clone();
invalid.actions[0].orders[0].fills[0].observation_sequence = 1;
assert!(
semantic_result(&invalid)
.unwrap_err()
.contains("observation")
);
let mut invalid = input;
invalid.actions[0].orders[0].fills[0].observation_event_id = "received-1".into();
assert!(
semantic_result(&invalid)
.unwrap_err()
.contains("observation")
);
}
#[test]
fn partial_cancel_is_valid_but_full_fill_cannot_be_reported_as_cancelled() {
let mut input = sample();
input.actions[0].orders[0].quantity = 200;
input.actions[0].orders[0].terminal_status = ManualOrderTerminalStatus::Cancelled;
semantic_result(&input).unwrap();
input.actions[0].orders[0].quantity = 100;
assert!(
semantic_result(&input)
.unwrap_err()
.contains("terminal status")
);
}
#[test]
fn cursor_waits_for_observation_and_never_reapplies_or_rewinds() {
let input = sample();
let at = input.actions[0].orders[0].fills[0].observed_at;
let mut replay = ManualReplayCursor::new(input).unwrap();
let data = identity_data(NaiveDate::from_ymd_opt(2020, 1, 1).unwrap());
let mut account = PortfolioState::new(10_000.);
assert_eq!(replay.next_observation_at(), Some(at));
assert!(
replay
.advance(
at - chrono::Duration::milliseconds(1),
&mut account,
&data,
false
)
.unwrap()
.is_empty()
);
assert_eq!(account.cash(), 10_000.);
let records = replay.advance(at, &mut account, &data, false).unwrap();
assert_eq!(records.len(), 1);
assert_eq!(records[0].cash_delta, "-1012.465679");
assert_eq!(replay.applied_count(), 1);
assert_eq!(replay.next_observation_at(), None);
let cash = account.cash();
assert!(
replay
.advance(at, &mut account, &data, false)
.unwrap()
.is_empty()
);
assert_eq!(account.cash(), cash);
assert!(
replay
.advance(
at - chrono::Duration::seconds(1),
&mut account,
&data,
false
)
.unwrap_err()
.contains("backwards")
);
}
#[test]
fn failed_multi_receipt_advance_keeps_both_progress_and_portfolio_unchanged() {
let mut input = sample();
let mut next = input.actions[0].orders[0].fills[0].clone();
next.trade_id = "trade-2".into();
next.observation_event_id = "received-2".into();
next.observation_sequence = 2;
input.actions[0].orders[0].quantity = 200;
input.actions[0].orders[0].fills.push(next);
reseal(&mut input);
let at = input.actions[0].orders[0].fills[0].observed_at;
let mut replay = ManualReplayCursor::new(input).unwrap();
let data = identity_data(NaiveDate::from_ymd_opt(2020, 1, 1).unwrap());
let mut account = PortfolioState::new(1_500.);
assert!(replay.advance(at, &mut account, &data, false).is_err());
assert_eq!(account.cash(), 1_500.);
assert!(account.positions().is_empty());
assert_eq!(replay.applied_count(), 0);
assert_eq!(replay.next_observation_at(), Some(at));
}
#[test]
fn fixed_money_decimal_text_preserves_micro_units_without_float_conversion() {
for text in [
"0",
"100",
"-100",
"0.000001",
"-0.000001",
"12345678901234567890123456.123456",
] {
assert_eq!(
FixedMoney::from_decimal_str(text)
.unwrap()
.to_decimal_string(),
text
);
}
let min = FixedMoney::from_raw(i128::MIN);
assert!(min.to_decimal_string().starts_with('-'));
}
crates/fidc-core/src/platform_expr_strategy.rs
+3
View File
@@ -36234,6 +36234,7 @@ mod tests {
avg_price: 0.0, avg_price: 0.0,
transaction_cost: 0.0, transaction_cost: 0.0,
limit_price: 10.2, limit_price: 10.2,
reserved_cash: None,
reason: "pending_limit_sell".to_string(), reason: "pending_limit_sell".to_string(),
}]; }];
let subscriptions = BTreeSet::new(); let subscriptions = BTreeSet::new();
@@ -36382,6 +36383,7 @@ mod tests {
avg_price: 0.0, avg_price: 0.0,
transaction_cost: 0.0, transaction_cost: 0.0,
limit_price: 9.9, limit_price: 9.9,
reserved_cash: None,
reason: "pending_limit_buy".to_string(), reason: "pending_limit_buy".to_string(),
}, },
OpenOrderView { OpenOrderView {
@@ -36396,6 +36398,7 @@ mod tests {
avg_price: 0.0, avg_price: 0.0,
transaction_cost: 0.0, transaction_cost: 0.0,
limit_price: 10.2, limit_price: 10.2,
reserved_cash: None,
reason: "pending_limit_sell".to_string(), reason: "pending_limit_sell".to_string(),
}, },
]; ];
crates/fidc-core/src/portfolio.rs
+129 -9
View File
@@ -138,18 +138,28 @@ impl Position {
if quantity == 0 { if quantity == 0 {
return; return;
} }
let gross_amount = fixed_money_or_panic(execution_price * quantity as f64, "position buy gross amount");
self.buy_with_fixed_gross(date,quantity,execution_price,mark_price,gross_amount);
}
fn buy_with_fixed_gross(
&mut self,
date: NaiveDate,
quantity: u32,
execution_price: f64,
mark_price: f64,
gross_amount: FixedMoney,
) {
let previous_quantity = self.quantity; let previous_quantity = self.quantity;
self.last_buy_date = Some(self.last_buy_date.map_or(date, |previous| previous.max(date))); self.last_buy_date = Some(
self.last_buy_date
.map_or(date, |previous| previous.max(date)),
);
if previous_quantity == 0 { if previous_quantity == 0 {
self.opened_date = Some(date); self.opened_date = Some(date);
} }
let previous_average_price = self.average_price; let previous_average_price = self.average_price;
let previous_average_cost = self.average_cost; let previous_average_cost = self.average_cost;
let gross_amount = fixed_money_or_panic(
execution_price * quantity as f64,
"position buy gross amount",
);
self.lots.push(PositionLot { self.lots.push(PositionLot {
acquired_date: date, acquired_date: date,
quantity, quantity,
@@ -200,6 +210,20 @@ impl Position {
quantity: u32, quantity: u32,
execution_price: f64, execution_price: f64,
mark_price: f64, mark_price: f64,
) -> Result<f64, String> {
if quantity > self.quantity {
return Err(format!("sell quantity {} exceeds current quantity {} for {}",quantity,self.quantity,self.symbol));
}
let total_proceeds = fixed_money(execution_price * quantity as f64,"position sell gross amount")?;
self.sell_with_fixed_gross(quantity,execution_price,mark_price,total_proceeds)
}
fn sell_with_fixed_gross(
&mut self,
quantity: u32,
execution_price: f64,
mark_price: f64,
total_proceeds: FixedMoney,
) -> Result<f64, String> { ) -> Result<f64, String> {
if quantity > self.quantity { if quantity > self.quantity {
return Err(format!( return Err(format!(
@@ -208,10 +232,6 @@ impl Position {
)); ));
} }
let total_proceeds = fixed_money(
execution_price * quantity as f64,
"position sell gross amount",
)?;
let mut remaining = quantity; let mut remaining = quantity;
let mut remaining_proceeds = total_proceeds; let mut remaining_proceeds = total_proceeds;
let mut realized = FixedMoney::ZERO; let mut realized = FixedMoney::ZERO;
@@ -796,6 +816,106 @@ impl PortfolioState {
Ok(()) Ok(())
} }
/// Apply one fully observed external fill atomically. Its money is already
/// quantized from the original decimal amounts, not from a float product.
pub(crate) fn apply_observed_manual_fill(
&mut self,
trade_date: NaiveDate,
symbol: &str,
side: crate::events::OrderSide,
quantity: u32,
price: f64,
mark_price: f64,
gross: FixedMoney,
fees: FixedMoney,
) -> Result<FixedMoney, String> {
use crate::events::OrderSide;
if symbol.trim().is_empty()
|| quantity == 0
|| quantity > i32::MAX as u32
|| !price.is_finite()
|| price <= 0.
|| !mark_price.is_finite()
|| mark_price <= 0.
|| gross <= FixedMoney::ZERO
|| fees < FixedMoney::ZERO
{
return Err("invalid observed manual fill".into());
}
let mut position = self
.positions
.get(symbol)
.cloned()
.unwrap_or_else(|| Position::new(symbol));
let delta = match side {
OrderSide::Buy => gross.checked_add(fees).and_then(FixedMoney::checked_neg),
OrderSide::Sell => gross.checked_sub(fees),
}
.ok_or("manual fill cash delta overflow")?;
let next_cash = self
.cash
.checked_add(delta)
.filter(|cash| *cash >= FixedMoney::ZERO)
.ok_or("manual fill disagrees with shadow available cash")?;
let next_cost = position
.day_trade_cost
.checked_add(fees)
.ok_or("manual trade cost overflow")?;
match side {
OrderSide::Buy => {
let total_quantity = position
.quantity
.checked_add(quantity)
.ok_or("manual position quantity overflow")?;
FixedMoney::from_f64(mark_price * f64::from(total_quantity))
.ok_or("manual marked position value overflow")?;
position
.day_buy_quantity
.checked_add(quantity)
.ok_or("manual daily buy quantity overflow")?;
position
.day_trade_quantity_delta
.checked_add(quantity as i32)
.ok_or("manual daily quantity delta overflow")?;
position
.day_buy_value
.checked_add(gross)
.ok_or("manual daily buy value overflow")?;
let total_basis = gross.checked_add(fees).ok_or("manual lot basis overflow")?;
position
.total_cost_basis()
.checked_add(total_basis)
.ok_or("manual aggregate position basis overflow")?;
position.buy_with_fixed_gross(trade_date, quantity, price, mark_price, gross);
position
.lots
.last_mut()
.ok_or("manual buy produced no lot")?
.cost_basis = total_basis;
position.average_cost += fees.to_f64() / f64::from(position.quantity);
}
OrderSide::Sell => {
if quantity > position.sellable_qty(trade_date) {
return Err("manual fill disagrees with shadow sellable holdings or T+1".into());
}
position
.day_sell_quantity
.checked_add(quantity)
.ok_or("manual daily sell quantity overflow")?;
position
.day_trade_quantity_delta
.checked_sub(quantity as i32)
.ok_or("manual daily quantity delta overflow")?;
position.sell_with_fixed_gross(quantity, price, mark_price, gross)?;
}
}
position.day_trade_cost = next_cost;
position.refresh_day_pnl();
self.positions.insert(symbol.to_string(), position);
self.cash = next_cash;
Ok(delta)
}
pub fn prune_flat_positions(&mut self) { pub fn prune_flat_positions(&mut self) {
let mut sold_symbols = Vec::new(); let mut sold_symbols = Vec::new();
self.positions.retain(|symbol, position| { self.positions.retain(|symbol, position| {
crates/fidc-core/src/strategy.rs
+74 -2
View File
@@ -102,6 +102,7 @@ pub struct OpenOrderView {
pub avg_price: f64, pub avg_price: f64,
pub transaction_cost: f64, pub transaction_cost: f64,
pub limit_price: f64, pub limit_price: f64,
pub reserved_cash: Option<f64>,
pub reason: String, pub reason: String,
} }
@@ -497,6 +498,7 @@ impl StrategyContext<'_> {
.iter() .iter()
.filter(|order| order.side == OrderSide::Buy) .filter(|order| order.side == OrderSide::Buy)
.map(|order| { .map(|order| {
if let Some(reserved) = order.reserved_cash { return reserved; }
let price = if order.limit_price.is_finite() { let price = if order.limit_price.is_finite() {
order.limit_price.max(0.0) order.limit_price.max(0.0)
} else { } else {
@@ -988,6 +990,15 @@ pub struct StrategyDecision {
} }
impl StrategyDecision { impl StrategyDecision {
pub(crate) fn is_portfolio_target_only(&self) -> bool {
(self.rebalance && self.order_intents.is_empty())
|| (self.order_intents.len() == 1
&& matches!(
self.order_intents[0].unwrapped(),
OrderIntent::StockPool { .. } | OrderIntent::TargetPortfolioSmart { .. }
))
}
pub fn potential_buy_symbols(&self, open_orders: &[OpenOrderView]) -> BTreeSet<String> { pub fn potential_buy_symbols(&self, open_orders: &[OpenOrderView]) -> BTreeSet<String> {
let mut symbols = BTreeSet::new(); let mut symbols = BTreeSet::new();
if self.rebalance { if self.rebalance {
@@ -1001,9 +1012,24 @@ impl StrategyDecision {
} }
pub fn merge_from(&mut self, mut other: StrategyDecision) { pub fn merge_from(&mut self, mut other: StrategyDecision) {
if self.is_portfolio_target_only() && other.is_portfolio_target_only() {
let mut previous = std::mem::replace(self, other);
previous
.diagnostics
.push("unsubmitted_portfolio_target_superseded".into());
self.notes.splice(0..0, previous.notes);
self.diagnostics.splice(0..0, previous.diagnostics);
return;
}
self.buy_denials.append(&mut other.buy_denials); self.buy_denials.append(&mut other.buy_denials);
self.rebalance |= other.rebalance; if other.rebalance {
self.target_weights.append(&mut other.target_weights); // Rebalance targets are a complete portfolio, not an additive
// list. A newer unsent target replaces the earlier allocation.
self.rebalance = true;
self.target_weights = std::mem::take(&mut other.target_weights);
} else {
self.target_weights.append(&mut other.target_weights);
}
self.exit_symbols.append(&mut other.exit_symbols); self.exit_symbols.append(&mut other.exit_symbols);
self.order_intents.append(&mut other.order_intents); self.order_intents.append(&mut other.order_intents);
self.notes.append(&mut other.notes); self.notes.append(&mut other.notes);
@@ -1023,6 +1049,52 @@ impl StrategyDecision {
} }
} }
#[cfg(test)]
mod decision_merge_tests {
use super::*;
#[test]
fn newer_complete_target_replaces_old_symbols_without_discarding_explicit_actions() {
let mut earlier = StrategyDecision {
rebalance: true,
target_weights: BTreeMap::from([("A".into(), 0.5), ("B".into(), 0.5)]),
exit_symbols: BTreeSet::from(["risk_exit".into()]),
order_intents: vec![OrderIntent::Shares {
symbol: "explicit".into(),
quantity: 100,
reason: "explicit action".into(),
}],
..Default::default()
};
earlier.merge_from(StrategyDecision {
rebalance: true,
target_weights: BTreeMap::from([("C".into(), 1.)]),
..Default::default()
});
assert_eq!(earlier.target_weights, BTreeMap::from([("C".into(), 1.)]));
assert!(earlier.rebalance);
assert!(earlier.exit_symbols.contains("risk_exit"));
assert_eq!(earlier.order_intents.len(), 1);
}
#[test]
fn explicit_empty_complete_target_replaces_old_allocation_but_empty_callback_does_not() {
let mut decision = StrategyDecision {
rebalance: true,
target_weights: BTreeMap::from([("A".into(), 1.)]),
..Default::default()
};
decision.merge_from(StrategyDecision::default());
assert_eq!(decision.target_weights.len(), 1);
decision.merge_from(StrategyDecision {
rebalance: true,
..Default::default()
});
assert!(decision.target_weights.is_empty());
assert!(decision.rebalance);
}
}
#[derive(Debug, Clone, Copy, PartialEq, Eq)] #[derive(Debug, Clone, Copy, PartialEq, Eq)]
pub enum AlgoOrderStyle { pub enum AlgoOrderStyle {
Vwap, Vwap,
crates/fidc-core/tests/engine_hooks.rs
+85
View File
@@ -1535,6 +1535,90 @@ fn engine_executes_futures_order_intents_against_future_account() {
assert!((futures_account.cash() - 355_988.0).abs() < 1e-6); assert!((futures_account.cash() - 355_988.0).abs() < 1e-6);
} }
#[test]
fn futures_directive_notifications_include_the_actual_recorded_fill() {
struct Observed {
inner: FuturesOrderStrategy,
seen: Rc<RefCell<Vec<u64>>>,
}
impl Strategy for Observed {
fn name(&self) -> &str {
"observed-futures-directive"
}
fn on_day(
&mut self,
ctx: &StrategyContext<'_>,
) -> Result<StrategyDecision, fidc_core::BacktestError> {
self.inner.on_day(ctx)
}
fn on_process_event(
&mut self,
ctx: &StrategyContext<'_>,
event: &ProcessEvent,
) -> Result<(), fidc_core::BacktestError> {
if event.kind == ProcessEventKind::Trade
&& event.symbol.as_deref() == Some("IF2501")
{
let id = event.order_id.unwrap();
assert!(
ctx.fills
.iter()
.any(|fill| fill.order_id == Some(id) && fill.symbol == "IF2501")
);
assert!(
ctx.order_events
.iter()
.any(|order| order.order_id == Some(id)
&& order.status == OrderStatus::Filled)
);
assert_eq!(
ctx.current_datetime().map(|time| time.date()),
Some(ctx.execution_date)
);
self.seen.borrow_mut().push(id);
}
Ok(())
}
}
let seen = Rc::new(RefCell::new(Vec::new()));
let broker = BrokerSimulator::new_with_execution_price(
ChinaAShareCostModel::default(),
ChinaEquityRuleHooks,
PriceField::Open,
)
.with_volume_capacity_mode(
fidc_core::execution_capacity::VolumeCapacityMode::SessionCapacityAudit,
);
let mut engine = BacktestEngine::new(
two_day_futures_data(),
Observed {
inner: FuturesOrderStrategy,
seen: seen.clone(),
},
broker,
BacktestConfig {
initial_cash: 100_000.,
benchmark_code: "000300.SH".into(),
start_date: Some(d(2025, 1, 2)),
end_date: Some(d(2025, 1, 3)),
decision_lag_trading_days: 0,
execution_price_field: PriceField::Open,
},
)
.with_futures_initial_cash(500_000.);
let result = engine.run().unwrap();
assert_eq!(
*seen.borrow(),
result
.fills
.iter()
.filter(|fill| fill.symbol == "IF2501")
.map(|fill| fill.order_id.unwrap())
.collect::<Vec<_>>()
);
assert_eq!(seen.borrow().len(), 1);
}
#[test] #[test]
fn platform_runtime_actions_execute_generic_futures_open_and_close() { fn platform_runtime_actions_execute_generic_futures_open_and_close() {
let mut cfg = PlatformExprStrategyConfig::generic(); let mut cfg = PlatformExprStrategyConfig::generic();
@@ -2748,6 +2832,7 @@ fn strategy_context_exposes_engine_native_account_runtime_view() {
avg_price: 0.0, avg_price: 0.0,
transaction_cost: 0.0, transaction_cost: 0.0,
limit_price: 12.0, limit_price: 12.0,
reserved_cash: None,
reason: "pending_buy".to_string(), reason: "pending_buy".to_string(),
}]; }];
let subscriptions = BTreeSet::new(); let subscriptions = BTreeSet::new();
crates/fidc-core/tests/stock_pool_execution_contract.rs
+147
View File
@@ -224,6 +224,117 @@ fn decision(contract: FrozenStockPoolIntent) -> StrategyDecision {
} }
} }
#[test]
fn a_fresh_zero_target_prevents_resuming_the_previous_unsubmitted_buy_leg() {
use fidc_core::{ScheduleRule, ScheduleStage, ScheduleTimeRule, Strategy, StrategyContext};
struct Probe;
impl Strategy for Probe {
fn name(&self) -> &str {
"fresh-target-before-resume"
}
fn requires_minute_callbacks(&self) -> bool {
false
}
fn schedule_rules(&self) -> Vec<ScheduleRule> {
vec![
ScheduleRule::daily("earlier-pool", ScheduleStage::Minute)
.with_time_rule(ScheduleTimeRule::physical_time(9, 30)),
]
}
fn on_scheduled(
&mut self,
ctx: &StrategyContext<'_>,
_: &ScheduleRule,
) -> Result<StrategyDecision, fidc_core::BacktestError> {
if ctx.execution_date != day(5) {
return Ok(StrategyDecision::default());
}
let mut old = contract(day(5), 2, false);
old.out_of_pool_policy = "reduce_to_zero_when_sellable".into();
old.rule.window_end = "13:30".into();
old.rule.pricing_mode = POOL_PRICE_FORMULA_LIMIT.into();
old.generation = "earlier-pool-at-open".into();
Ok(decision(old))
}
fn on_day(
&mut self,
ctx: &StrategyContext<'_>,
) -> Result<StrategyDecision, fidc_core::BacktestError> {
if ctx.execution_date == day(2) {
return Ok(StrategyDecision {
order_intents: vec![OrderIntent::Shares {
symbol: code(1),
quantity: 100,
reason: "original-holding".into(),
}],
..Default::default()
});
}
assert!(ctx.open_orders.is_empty());
let mut latest = contract(day(5), 2, false);
latest.out_of_pool_policy = "reduce_to_zero_when_sellable".into();
latest.rule.window_end = "13:30".into();
latest.invest_ratio_bps = 0;
latest.generation = "fresh-zero-at-1300".into();
Ok(decision(latest))
}
}
let mut rows = data(false).snapshot_components();
let mut quotes = Vec::new();
for mut quote in rows.execution_quotes {
if quote.date > day(5) {
continue;
}
let mut afternoon = quote.clone();
afternoon.timestamp = quote.date.and_hms_opt(13, 0, 0).unwrap();
quotes.push(afternoon);
if quote.date == day(5) && quote.symbol == code(1) {
quote.volume_delta = 100;
quote.amount_delta = quote.last_price * 100.;
}
quotes.push(quote);
}
rows.execution_quotes = quotes;
let data = DataSet::from_components_with_actions_and_quotes(
rows.instruments,
rows.market,
rows.factors,
rows.candidates,
rows.benchmarks,
rows.corporate_actions,
rows.execution_quotes,
)
.unwrap();
let broker = broker(true)
.with_matching_type(MatchingType::MinuteLast)
.with_intraday_execution_start_time(chrono::NaiveTime::from_hms_opt(13, 0, 0).unwrap());
let result = BacktestEngine::new(
data,
Probe,
broker,
BacktestConfig {
initial_cash: 30_000.,
benchmark_code: "000300.SH".into(),
start_date: Some(day(2)),
end_date: Some(day(5)),
decision_lag_trading_days: 0,
execution_price_field: PriceField::Last,
},
)
.run()
.unwrap();
assert_eq!(result.fills.len(), 3, "{:?}", result.fills);
assert!(result.fills.iter().all(|fill| fill.symbol == code(1)));
assert_eq!(result.fills[1].side, fidc_core::OrderSide::Sell);
assert_eq!(
result.fills[2].execution_timestamp,
day(5).and_hms_opt(13, 0, 0)
);
assert_eq!(result.fills[1].order_id, result.fills[2].order_id);
assert_eq!(result.fills[1].quantity + result.fills[2].quantity, 100);
assert!(result.holdings_summary.is_empty());
}
#[test] #[test]
fn paused_execution_day_keeps_the_prior_slot_and_never_submits_an_exit() { fn paused_execution_day_keeps_the_prior_slot_and_never_submits_an_exit() {
let data = data_with_suspension(1_000_000, Some(day(6))); let data = data_with_suspension(1_000_000, Some(day(6)));
@@ -887,6 +998,42 @@ fn historical_etf_late_signal_freezes_money_and_requantifies_at_next_official_op
assert!(result.terminal_audit.is_clean()); assert!(result.terminal_audit.is_clean());
} }
#[test]
fn deferred_etf_open_does_not_appear_in_a_pre_open_minute_callback() {
use fidc_core::strategy::{Strategy,StrategyContext};
use std::{cell::RefCell,rc::Rc};
struct ObservedPool { inner:EtfPoolSignal, observations:Rc<RefCell<Vec<(chrono::NaiveDateTime,u32,usize)>>> }
impl Strategy for ObservedPool {
fn name(&self)->&str {"ETF actual opening clock"}
fn initial_subscriptions(&self)->BTreeSet<String> {BTreeSet::from([code(1)])}
fn decision_quote_times(&self)->Vec<chrono::NaiveTime> {self.inner.decision_quote_times()}
fn decision_quote_symbols(&mut self,ctx:&StrategyContext<'_>)->Result<BTreeSet<String>,fidc_core::BacktestError> {self.inner.decision_quote_symbols(ctx)}
fn on_day(&mut self,ctx:&StrategyContext<'_>)->Result<StrategyDecision,fidc_core::BacktestError> {self.inner.on_day(ctx)}
fn on_minute(&mut self,ctx:&StrategyContext<'_>,quote:&IntradayExecutionQuote)->Result<StrategyDecision,fidc_core::BacktestError> {
if quote.date==day(5) {self.observations.borrow_mut().push((quote.timestamp,
ctx.portfolio.position(&code(2)).map_or(0,|position|position.quantity),ctx.fills.iter().filter(|fill|fill.symbol==code(2)).count()));}
Ok(StrategyDecision::default())
}
}
let time=chrono::NaiveTime::from_hms_opt(13,0,0).unwrap();
let mut data=etf_fallback_fixture(time);
let quote=data.execution_quotes_on(day(5),&code(1))[0].clone();
data.add_execution_quotes([(9,15),(9,31)].into_iter().map(|(hour,minute)| {
let mut row=quote.clone();row.timestamp=day(5).and_hms_opt(hour,minute,0).unwrap();row
}).collect());
let observations=Rc::new(RefCell::new(Vec::new()));
let broker=broker(false).with_matching_type(MatchingType::MinuteLast)
.with_execution_price_field(PriceField::Last).with_intraday_execution_start_time(time)
.with_historical_etf_open_fallback(true);
let result=BacktestEngine::new(data,ObservedPool {inner:EtfPoolSignal{at:time,condition:String::new()},observations:observations.clone()},broker,BacktestConfig {
initial_cash:30000.,benchmark_code:"000300.SH".into(),start_date:Some(day(2)),end_date:Some(day(5)),decision_lag_trading_days:0,execution_price_field:PriceField::Last,
}).with_execution_quote_loader(|_|Ok(vec![])).run().unwrap();
let observations=observations.borrow();
assert_eq!(observations[0],(day(5).and_hms_opt(9,15,0).unwrap(),0,0));
assert_eq!(observations[1],(day(5).and_hms_opt(9,31,0).unwrap(),3700,1));
assert_eq!(result.fills.iter().filter(|fill|fill.symbol==code(2)).count(),1);
}
#[test] #[test]
fn historical_etf_pending_target_at_end_is_not_a_fake_order_or_fill() { fn historical_etf_pending_target_at_end_is_not_a_fake_order_or_fill() {
let result=run_etf_fallback(chrono::NaiveTime::from_hms_opt(13,0,0).unwrap(),day(2),true,"",false,false).unwrap(); let result=run_etf_fallback(chrono::NaiveTime::from_hms_opt(13,0,0).unwrap(),day(2),true,"",false,false).unwrap();
docs/callback-context-and-pending-targets-20260914.md
+55
View File
@@ -0,0 +1,55 @@
# 回报上下文、盘前意图与尚未提交的目标
2026-09-14。本轮已配套发布177，annotated tag `v2026.9.14.5`。Engine81acc54 / Service e81bf47 / Trading94f99d2；完整股票池Goal继续，不据本阶段关闭。
## 已复现问题
1. `on_process_event`总是收到`active_datetime=None`及空委托/成交数组。10:00账本已有100股，但Trade/PostMinute回调的成交数量仍为0；不能靠普通`on_minute`已修复就认为通知链也完整。
2. 15:05盘后成交后，PreAfterTrading仍被标为15:00；跨日模式的PostOnDay又使用信号日描述执行日已发生的成交。
3. BeforeTrading调度只处理订阅、账户和期货指令，剩余股票买卖/撤改意图没有后续消费。简单在开盘调用普通broker执行还会让旧挂单先成交再撤单。
4. 合并完整目标时只追加权重会保留旧证券；更重要的是，不能先提交盘前旧组合，之后才计算同一窗口的新目标，否则T+1可能使错误买入无法纠正。
5. 策略计算前的空broker调用也会恢复上一目标的未提交买入腿。反例中原持仓100股，09:30卖25股、13:00卖剩余75股；若此时先恢复旧买入，已经准备将新目标设为0%的策略仍会买入另一股票3000股。
## 本轮处理
- 事件通知显式携带当前可见的委托、成交与回调时钟，移动已完成记录后再通知，不按每个回调复制整段历史。上下文是通知时已完成批次的最新状态，不冒充每一历史通知发生瞬间的账本快照。
- 信号计算回调保留信号日；账户/委托通知使用实际执行日与物理时钟。默认收盘和结算不早于已处理时刻及当前适用的盘后结束点，管理费回调沿用同一完成时钟。
- 盘前撤改走明确的非撮合控制阶段，保持原订单ID和实际已成交量；该入口拒绝买卖目标，不会顺带撮合旧单。普通显式买卖按原配置窗口执行，后续回调读取撤改后的真实活动订单。
- 盘前与集合竞价的显式命令保留各自批次及约束。纯完整组合（完整rebalance或单一StockPool/TargetPortfolioSmart）可以被更新的完整意图替换；空回调不等于清仓，显式空完整目标才清仓。被替换意图的旧买入限制不能污染新完整目标。
- 尚未提交的完整目标保留到当前窗口日度策略算完；新执行意图优先，只有没有新执行意图时才使用前面的目标。已提交挂单可以先更新实际成交，但策略计算前不恢复旧的未提交买入腿，之后再由正常执行路径处理当前意图。
- 订阅/账户/直接期货指令通知同样获得完成后的历史；本轮不改变期货成交、会话或费用规则。
## 回归证据
- 通知链：09:30为空、10:00/10:01均看到100股及1笔实际成交，Trade通知可找到相同订单。
- 盘后：15:05成交后的默认收盘/结算和管理费通知不倒退；next-open保持独立信号日和执行日。
- 盘前：09:00生成100股命令，分别只在09:30/13:00配置窗口成交；保留备注/诊断。跨日撤销原GTC订单后，新订单只成交100股，未让旧单先成交。
- 完整目标：盘前A、集合竞价B、日度A或显式空目标，最终只采用有效最新目标；日度无新信号时保持B。显式逐股命令不会被目标合并丢弃。
- 恢复顺序：开启正常旧恢复的单点负向对照确实多买3000股；恢复BeforeStrategy阶段后，只有原股票同一卖单的25+75股成交，无新增买入，最终持仓为空。
- 本机Core834项通过（9项原有ignore），Trading613、最新main Runner446/API119通过。外部数据库及平台ignore不当作通过。
精确只读快照在Linux通过Core834及Trading613。旧二进制先独立归档，构建保持1GiB磁盘余量；本轮未再次删除缓存或业务文件。
## 发布与真实历史复验
已推送annotated tag `v2026.9.14.5`对应Engine `81acc5422878abc855fca72b35766ffad6159200`、Service `e81bf47806f5ac4ae4798bb5f5955a56638f754c`、Trading `94f99d20f49f6cd1810996706cb94f610c302385`。回测API/Runner于06:15:53 CST切换，五交易单元06:21:09切换，06:22实际运行文件和业务事实复核通过。
三组冻结合同共六次独立原生A/B，完整Canonical及equity/orders/trades/holdings逐行一致；再通过生产HTTP各提交一次，结果分别匹配原生候选，旧记录未改写：
| 案例 | 生产回测ID | 成交 / 持仓 | 期末权益 |
| --- | --- | --- | ---: |
| 手选优先四证券 | btr_req_44f1bb067559946ef22941a0c425ed53e47515e04b399e20 | 10 / 4 | 9706248.648662 |
| 自动优先四证券 | btr_req_078f129ed46b55ba72b47605983a00ae3eef14b1995e1237 | 10 / 4 | 9706248.648662 |
| 许总24只原v3 | btr_req_ef37b8ea403f489e4798d2878e0ef85966ace550f6b4f3c4 | 51 / 21 | 9685563.876924999 |
重复目标委托0。三条新记录各5个交易日事件落库，持久事件27/18/32条，唯一键计数分别相同；旧流式样本仍27条/5日。仍为原合同下的日终容量审计，不外推实时盘口成交能力；首次Source准备和后续快速返回也不作为性能优化证明。
API SHA `dea170902d77734d0a77c4da7dad71a70b33f76467e0608675dfbcc9d35d67fc`，Runner SHA `b1d93215deb275fbec6217c6b9afbf717d5649600716bf4f3a1bf5d1cfa69731`，运行实现身份 `fed10e9fa61836aa271921f5d58490054210d83da935cad5de11cfacab45c13e`。API发布目录`/srv/fidc/canonical/run/backtest-api/releases/callback-81acc54-7w1zx9fb`，回退目录`/srv/fidc/canonical/run/build/callback-rollback-j7oje2tz`；交易回退`holding-protection-rollback-czuric4r`。
六服务实际SHA与manifest吻合，新增ERROR0。3Paper/0Live、配置、旧活动单、3个未确认Paper预览、迁移、影子配置0及disabled未变；发布后Paper/Live新订单0，未发送真实通知、委托或撤单。Source d5/PID1700096与UI6a2/PID3089476未重启，研究/信号暂停不变。177维护中的Engine9a54156完整保留，实际构建使用81acc54/e81bf47及81acc54/94f99d2的只读Git快照。
原始回放/HTTP证据`/srv/fidc/canonical/run/research/stock-pool-callback-20260914/`；发布和最终审计`/tmp/fidc-callback-{candidate,api-release,trading-release,final-audit}-20260914.json`；非敏感汇总在`docs/evidence/callback-target-20260914/acceptance.json`。
## 继续范围
显式逐笔手工影子回放仍未完成，四类手工来源继续拒绝纯比例影子；原始撤单意图时刻不能用网关回报时刻冒充。还需继续检查会话外调度产生的未提交意图、完整阶段日历与其余参数/生命周期/适配器矩阵。Source冻结、研究/信号暂停、现有任务配置和真实路由不改。
docs/evidence/callback-target-20260914/acceptance.json
+191
View File
@@ -0,0 +1,191 @@
{
"verified_at": "2026-09-13T22:22:38.597836+00:00",
"tag": "v2026.9.14.5",
"processes": {
"fidc-backtest-service-highmem177.service": {
"pid": 3692551,
"sha256": "dea170902d77734d0a77c4da7dad71a70b33f76467e0608675dfbcc9d35d67fc",
"journal_since": "2026-09-13T22:15:53.225719+00:00",
"journal_lines": 54,
"error_lines": 0
},
"fidc-trading-control-highmem177.service": {
"pid": 3697497,
"sha256": "a8f62ba74caf7ce2f5ba9cc6f67f41c844dee3747852611051c8dfb7b36295a3",
"journal_since": "2026-09-13T22:21:09.122548+00:00",
"journal_lines": 5,
"error_lines": 0
},
"fidc-market-data-highmem177.service": {
"pid": 3697498,
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},
"fidc-strategy-runtime-highmem177.service": {
"pid": 3697688,
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"journal_since": "2026-09-13T22:21:09.122548+00:00",
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},
"fidc-paper-trading-highmem177.service": {
"pid": 3697792,
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"journal_since": "2026-09-13T22:21:09.122548+00:00",
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},
"fidc-live-trading-highmem177.service": {
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"journal_since": "2026-09-13T22:21:09.122548+00:00",
"journal_lines": 6,
"error_lines": 0
}
},
"source": {
"commit": "d5b682c6d097",
"pid": 1700096,
"loaded_at": "2026-09-12T03:57:06.665536+00:00",
"source_stale": false,
"loaded_server_sha256": "ef827ce6b95e0ea63047a0068af2677633716e0a5d63cf350de6c91a3413e352"
},
"source_checkouts": {
"fidc-backtest-engine": {
"head": "9a54156df94cfbf11a1e6335ec6ef5449bd6ac17",
"runtime_commit": "81acc5422878abc855fca72b35766ffad6159200",
"tracked_dirty": false
},
"fidc-backtest-service": {
"head": "5ec8dc86d99736a0c0140440bd039d11e118c1c6",
"runtime_commit": "e81bf47806f5ac4ae4798bb5f5955a56638f754c",
"tracked_dirty": false
},
"fidc-trading-platform": {
"head": "94f99d20f49f6cd1810996706cb94f610c302385",
"runtime_commit": "94f99d20f49f6cd1810996706cb94f610c302385",
"tracked_dirty": false
},
"omniquant": {
"head": "6a2b2604b40505fa754453307c517fef60743426",
"runtime_commit": "6a2b2604b40505fa754453307c517fef60743426",
"tracked_dirty": false
}
},
"ui_unchanged": {
"commit": "6a2b2604b40505fa754453307c517fef60743426",
"pid": 3089476
},
"http_cases": [
{
"name": "manual_first",
"run_id": "btr_req_44f1bb067559946ef22941a0c425ed53e47515e04b399e20",
"status": "succeeded",
"canonical_sha256": "0830216850b64d6e83291e072b31a9989f179915ee3341a75a77c73d1f9081a3",
"trade_count": 10,
"holding_count": 4,
"final_equity": 9706248.648662,
"old_result_unchanged": true
},
{
"name": "automatic_first",
"run_id": "btr_req_078f129ed46b55ba72b47605983a00ae3eef14b1995e1237",
"status": "succeeded",
"canonical_sha256": "c75cabcc03760f415bb664d20060e81c620d7a0201dd348ea71f75c932571de7",
"trade_count": 10,
"holding_count": 4,
"final_equity": 9706248.648662,
"old_result_unchanged": true
},
{
"name": "stock24",
"run_id": "btr_req_ef37b8ea403f489e4798d2878e0ef85966ace550f6b4f3c4",
"status": "succeeded",
"canonical_sha256": "270b403542ab41290c3d6e027b89cdab24dd41a8e2851d8786b33daa51e0051f",
"trade_count": 51,
"holding_count": 21,
"final_equity": 9685563.876924999,
"old_result_unchanged": true
}
],
"durable_events": [
{
"run_id": "btr_req_44f1bb067559946ef22941a0c425ed53e47515e04b399e20",
"count": 27,
"unique_keys": 27,
"days": 5
},
{
"run_id": "btr_req_078f129ed46b55ba72b47605983a00ae3eef14b1995e1237",
"count": 18,
"unique_keys": 18,
"days": 5
},
{
"run_id": "btr_req_ef37b8ea403f489e4798d2878e0ef85966ace550f6b4f3c4",
"count": 32,
"unique_keys": 32,
"days": 5
},
{
"run_id": "btr_req_a3c3dfe5cd81e27e565064a65665f561c60adebdc6c9c9b4",
"count": 27,
"unique_keys": 27,
"days": 5
}
],
"trading_state": {
"paper": {
"configuration": {
"count": 3,
"hash": "93f3224edef59c381164e0236529dacc"
},
"active": {
"claims": 0,
"orders": 0
}
},
"live": {
"configuration": {
"count": 0,
"hash": "d41d8cd98f00b204e9800998ecf8427e"
},
"active": {
"claims": 0,
"orders": 1,
"today_orders": 0,
"orders_hash": "d4b56fbf3a541a41a383ad4e48891bb8",
"route_mode": "disabled"
}
}
},
"manual_facts_unchanged": {
"paper": {
"shadow_configurations": 0,
"shadow_runs": 0,
"manual_count": 3,
"manual_hash": "82572901ac0b5fdb4d8b984f71e1763d",
"migrations_hash": "21d711b2ee52d2d66a8be4e99b179190",
"new_orders": 0
},
"live": {
"shadow_configurations": 0,
"shadow_runs": 0,
"manual_count": 0,
"manual_hash": "d41d8cd98f00b204e9800998ecf8427e",
"migrations_hash": "610528d4f350309379c9398c4ea43f66",
"new_orders": 0
}
},
"broker_submission": false,
"linux_core_tests": {
"passed": 834,
"failed": 0,
"ignored": 9,
"log": "/srv/fidc/canonical/run/fidc-private/evidence/callback-candidate-6qumwky7/linux-core-tests.log"
},
"scope": "Callback and pending-target release verification; historical simulation only. Full manual shadow replay remains incomplete.",
"native_replays": 6
}
docs/evidence/intraday-clock-20260914/acceptance.json
+258
View File
@@ -0,0 +1,258 @@
{
"verified_at": "2026-09-13T20:22:24.750379+00:00",
"tag": "v2026.9.14.4",
"processes": {
"fidc-backtest-service-highmem177.service": {
"pid": 3612875,
"sha256": "4e9f142be0ae3f9ca8e1c126507d4a9905cde4b69859df4544472afd1bda1ff2",
"journal_since": "2026-09-13T20:14:17.444770+00:00",
"journal_lines": 54,
"error_lines": 0
},
"fidc-trading-control-highmem177.service": {
"pid": 3617963,
"sha256": "cd587928591fef952f2e98b47aa338a1702def5edf016a7da9751296667f6674",
"journal_since": "2026-09-13T20:19:57.821843+00:00",
"journal_lines": 5,
"error_lines": 0
},
"fidc-market-data-highmem177.service": {
"pid": 3617964,
"sha256": "2efb1d3ad7d510cf85e6047dd6d1981d0a30d768ff3d33c842adc52211002bdc",
"journal_since": "2026-09-13T20:19:57.821843+00:00",
"journal_lines": 5,
"error_lines": 0
},
"fidc-strategy-runtime-highmem177.service": {
"pid": 3618140,
"sha256": "3d7f3f2e8756e7f3439075344fe9c8bc0b55df33e7e6f251282712274c00339d",
"journal_since": "2026-09-13T20:19:57.821843+00:00",
"journal_lines": 5,
"error_lines": 0
},
"fidc-paper-trading-highmem177.service": {
"pid": 3618260,
"sha256": "0383b1d6cc7b3c48c6902dd7fd4760a38698c1916e0eaff63be26fe3f6b1a2ab",
"journal_since": "2026-09-13T20:19:57.821843+00:00",
"journal_lines": 6,
"error_lines": 0
},
"fidc-live-trading-highmem177.service": {
"pid": 3618246,
"sha256": "583f52e204aeb416574ee17daa20cebed49e0659a194c81e8072a9249824e48e",
"journal_since": "2026-09-13T20:19:57.821843+00:00",
"journal_lines": 6,
"error_lines": 0
}
},
"source": {
"commit": "d5b682c6d097",
"pid": 1700096,
"loaded_at": "2026-09-12T03:57:06.665536+00:00",
"source_stale": false,
"loaded_server_sha256": "ef827ce6b95e0ea63047a0068af2677633716e0a5d63cf350de6c91a3413e352"
},
"source_checkouts": {
"fidc-backtest-engine": {
"head": "9a54156df94cfbf11a1e6335ec6ef5449bd6ac17",
"runtime_commit": "237ee15a518a668297959509daffc4b88995f310",
"tracked_dirty": false
},
"fidc-backtest-service": {
"head": "5ec8dc86d99736a0c0140440bd039d11e118c1c6",
"runtime_commit": "e81bf47806f5ac4ae4798bb5f5955a56638f754c",
"tracked_dirty": false
},
"fidc-trading-platform": {
"head": "dab98e0cc09793df15b8c72841a6dc7e9a58a208",
"runtime_commit": "dab98e0cc09793df15b8c72841a6dc7e9a58a208",
"tracked_dirty": false
},
"omniquant": {
"head": "6a2b2604b40505fa754453307c517fef60743426",
"runtime_commit": "6a2b2604b40505fa754453307c517fef60743426",
"tracked_dirty": false
}
},
"ui_unchanged": {
"commit": "6a2b2604b40505fa754453307c517fef60743426",
"pid": 3089476
},
"http_cases": [
{
"name": "manual_first",
"run_id": "btr_req_60612ec2af9f97df26a81c13448aec7d95b23a93f824c303",
"status": "succeeded",
"canonical_sha256": "0830216850b64d6e83291e072b31a9989f179915ee3341a75a77c73d1f9081a3",
"trade_count": 10,
"holding_count": 4,
"final_equity": 9706248.648662,
"old_result_unchanged": true
},
{
"name": "automatic_first",
"run_id": "btr_req_373da23c5ea5aaf4e59c38fbe37d663ae37731aeed8cc054",
"status": "succeeded",
"canonical_sha256": "c75cabcc03760f415bb664d20060e81c620d7a0201dd348ea71f75c932571de7",
"trade_count": 10,
"holding_count": 4,
"final_equity": 9706248.648662,
"old_result_unchanged": true
},
{
"name": "stock24",
"run_id": "btr_req_5bb965ea83e047c998ec16be656f40ec28a4e5d870aa6d74",
"status": "succeeded",
"canonical_sha256": "270b403542ab41290c3d6e027b89cdab24dd41a8e2851d8786b33daa51e0051f",
"trade_count": 51,
"holding_count": 21,
"final_equity": 9685563.876924999,
"old_result_unchanged": true
}
],
"durable_events": [
{
"run_id": "btr_req_60612ec2af9f97df26a81c13448aec7d95b23a93f824c303",
"count": 27,
"unique_keys": 27,
"days": 5
},
{
"run_id": "btr_req_373da23c5ea5aaf4e59c38fbe37d663ae37731aeed8cc054",
"count": 18,
"unique_keys": 18,
"days": 5
},
{
"run_id": "btr_req_5bb965ea83e047c998ec16be656f40ec28a4e5d870aa6d74",
"count": 32,
"unique_keys": 32,
"days": 5
},
{
"run_id": "btr_req_a3c3dfe5cd81e27e565064a65665f561c60adebdc6c9c9b4",
"count": 27,
"unique_keys": 27,
"days": 5
}
],
"trading_state": {
"paper": {
"configuration": {
"count": 3,
"hash": "93f3224edef59c381164e0236529dacc"
},
"active": {
"claims": 0,
"orders": 0
}
},
"live": {
"configuration": {
"count": 0,
"hash": "d41d8cd98f00b204e9800998ecf8427e"
},
"active": {
"claims": 0,
"orders": 1,
"today_orders": 0,
"orders_hash": "d4b56fbf3a541a41a383ad4e48891bb8",
"route_mode": "disabled"
}
}
},
"manual_facts_unchanged": {
"paper": {
"shadow_configurations": 0,
"shadow_runs": 0,
"manual_count": 3,
"manual_hash": "82572901ac0b5fdb4d8b984f71e1763d",
"migrations_hash": "21d711b2ee52d2d66a8be4e99b179190",
"new_orders": 0
},
"live": {
"shadow_configurations": 0,
"shadow_runs": 0,
"manual_count": 0,
"manual_hash": "d41d8cd98f00b204e9800998ecf8427e",
"migrations_hash": "610528d4f350309379c9398c4ea43f66",
"new_orders": 0
}
},
"broker_submission": false,
"linux_core_tests": {
"passed": 822,
"failed": 0,
"ignored": 9,
"log": "/srv/fidc/canonical/run/fidc-private/evidence/clock-candidate-gqx8g70l/linux-core-tests.log"
},
"cleanup": {
"apply": true,
"deleted": [
{
"path": "/srv/fidc/canonical/build/holding-protection-stage-wywd2682/fidc-trading-platform/debug/incremental",
"kind": "incremental_compiler_state",
"bytes": 9553190912,
"device": 2101,
"inode": 39877787,
"mtime_ns": 1789318996850462500,
"links": 176,
"size_bytes": 12288
},
{
"path": "/srv/fidc/canonical/build/target-backtest/debug/incremental",
"kind": "incremental_compiler_state",
"bytes": 2103459840,
"device": 2101,
"inode": 29904450,
"mtime_ns": 1789318494701447400,
"links": 46,
"size_bytes": 4096
},
{
"path": "/srv/fidc/canonical/build/target-backtest/debug/deps/fidc_backtest_service-46310ff8aeeb4040",
"kind": "superseded_test_binary",
"bytes": 398401536,
"device": 2101,
"inode": 29934330,
"mtime_ns": 1789117975169420000,
"links": 1,
"size_bytes": 399242488
},
{
"path": "/srv/fidc/canonical/build/target-backtest/debug/deps/fidc_core-18c9b2429fdf6026",
"kind": "superseded_test_binary",
"bytes": 207015936,
"device": 2101,
"inode": 29918792,
"mtime_ns": 1789166943885717800,
"links": 1,
"size_bytes": 207144208
},
{
"path": "/srv/fidc/canonical/build/target-backtest/debug/deps/fidc_core-42f704a330411730",
"kind": "superseded_test_binary",
"bytes": 191205376,
"device": 2101,
"inode": 29933759,
"mtime_ns": 1789117542401109800,
"links": 1,
"size_bytes": 191333360
}
],
"reclaimed_allocated_bytes": 12453273600,
"before": {
"total": 1749269057536,
"used": 1659299954688,
"free": 1035599872
},
"after": {
"total": 1749269057536,
"used": 1647166930944,
"free": 13168623616
},
"observed_free_change": 12133023744
},
"scope": "Intraday clock release verification; historical simulation only, not a performance or real broker liquidity acceptance.",
"native_replays": 6
}
docs/intraday-clock-causality-20260914.md
+47 -2
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@@ -1,6 +1,6 @@
# 日内时钟与手工回放前置问题 # 日内时钟与手工回放前置问题
2026-09-14。本轮只有未提交的失败回归，未修改引擎实现，未部署。 2026-09-14。本轮日内时钟与工作中算法单修复已配套发布177，annotated tag `v2026.9.14.4`。当前Engine237ee15 / Service e81bf47 / Trading dab98e0；完整手工影子回放尚未实现，不据本阶段关闭Goal。
## 已复现的精确反例 ## 已复现的精确反例
@@ -20,6 +20,51 @@
需覆盖当前/下一开盘、显式时间和默认收盘、限价/市价/算法单、部分成交及取消、股票池卖后续买、跨日/T+1、0%人工覆盖和恢复。已有真实回放与六类Canonical必须按各自合同核对，不能用收益接近或单个对照替代。 需覆盖当前/下一开盘、显式时间和默认收盘、限价/市价/算法单、部分成交及取消、股票池卖后续买、跨日/T+1、0%人工覆盖和恢复。已有真实回放与六类Canonical必须按各自合同核对，不能用收益接近或单个对照替代。
当前失败回归保留在`crates/fidc-core/src/engine.rs`未提交工作树，属于本任务，不删除、不忽略、不发布成绿色测试。下一步直接修复并扩充该回归，再进入逐笔手工回放；不要重新检查已完成的页头或流式消息。 上述原失败回归已保留并修复：晚窗口执行与日度回调进入真实日内时钟，不再先写未来持仓。独立信号日及滞后执行的数据合同保留。仅有日内观察或待处理开盘目标时，未显式设时间的日线收盘回调才延至15:00；物理时钟与委托提交时点分离，不能把普通日线收盘撮合误变为15:05盘后委托。
## 本轮新增证据
- TWAP旧路径在13:00一次消费13:01、13:05报价，导致13:00观察到900股；现在逐时钟消费，同一父订单保留原始总量、已成交量、剩余金额、最低佣金余额和期限，不重新生成订单。
- 分片时钟继续使用原算法窗口决定TWAP比例及深度约束，不把每个瞬时时钟当作新的不限量算法单；VWAP全局撮合也延续同一工作中订单。
- 算法定量使用提交时已经可见的报价。改变当日后续收盘价不改变早先订单数量；真正缺报价明确失败，不读未来报价或日线价替代。
- 当天已完成委托/成交记录及时移动到运行历史，后续分钟、日度与定时策略回调能读取；不逐分钟复制全部历史。
- ETF下一开盘回退保留真实日线开盘价、3700股及原信号日，入账从早间预处理移到09:30事件；反例09:15原来可见3700股，修复后为0，09:31为3700且仅一笔ETF成交。不合成ETF分钟线。
- 工作中算法单只预留真实可用现金；两个各10000元意图、15000元账户按顺序预留10000/5000，后续分别成交900/500股，先到订单不被后到订单的超额预留饿死。
- 已验证部分成交后撤单、无末尾报价到期、T+1、IOC终止及原合同拒绝算法FOK/GTC；未新增不支持的有效期。
- 同一TWAP与同步参考逐笔数量/价格/时间/订单ID/各项费用完全一致；VWAP逐时钟成交金额与总费用一致。最低佣金只扣一次，成交资金不超过冻结预算。
本机Core 822项通过、9项原有ignore；Trading工作区613项通过（外部PG等原有ignore未当通过）；最新main的Runner446/API119项通过。同期main风控候选d2aa16a已保留并组合回归。本机测试不代替177不可变构建与真实数据回放。
## 发布前置与剩余边界
177于03:46只读核对仍为3Paper/0Live，原配置与旧委托摘要不变，Source d5b682c6/PID1700096未变，真实路由disabled。SSD剩约1.6GiB；首次Linux测试在18.02秒触及1GiB余量保护并中止，只停止本次Cargo进程，未重启服务，保留`clock-candidate-cena8gz9/first-attempt.json`及日志，不能算测试通过。
初次把清理预览的`reclaimed_allocated_bytes=0`误读为没有候选；完整plan实际已有5项、12,453,273,600字节。正式工具引用/锁/身份复核后仅清理2处闲置debug增量缓存和3个过期测试可执行文件，保留最新测试、全部静态/共享库、release、源码、行情及结果，余量恢复13,168,623,616字节。收据位于`/srv/fidc/canonical/run/fidc-private/evidence/clock-default-cleanup-20260914-0422/`。暂拟的静态库清理选项未执行并已撤回；最终Service脚本5ec8dc8只明确区分计划量与实际回收量，保持原清理边界。
代码修复已推送Engine `237ee15a518a668297959509daffc4b88995f310`；官方复用审计确认target-backtest无运行引用，新一轮仍保留1GiB余量保护，并独立保存重建前的旧二进制及SHA。实际构建读取只读Git archive快照237ee15与生产Service e81bf47，不夹带尚未生产验收的并行缓存规划代码，不覆盖维护工作树。
Linux精确快照Core822、Trading613通过。首次配套优化构建276.06秒成功，但收据写入因/tmp的跨用户既有文件保护失败；改为原子替换收据后，重新核对同一快照/测试/制品，未把日志缺失或异常算通过。前一轮日志及旧二进制仍保留，最终收据`/tmp/fidc-clock-candidate-20260914.json`。
## 发布与真实合同验收
Engine `237ee15a518a668297959509daffc4b88995f310`、Service `e81bf47806f5ac4ae4798bb5f5955a56638f754c`、Trading `dab98e0cc09793df15b8c72841a6dc7e9a58a208`均有已推送annotated tag `v2026.9.14.4`。API/Runner于04:14:17 CST切换，五交易服务于04:19:57切换；04:22只读复验实际SHA、迁移、旧单及配置。
| 已冻结原合同 | 原生A/B | 生产HTTP | 成交 / 期末持仓 | 期末权益 |
| --- | --- | --- | --- | ---: |
| 手选优先四证券 | 完整Canonical及四类逐行导出相同 | btr_req_60612ec2af9f97df26a81c13448aec7d95b23a93f824c303 | 10 / 4 | 9706248.648662 |
| 自动优先四证券 | 完整Canonical及四类逐行导出相同 | btr_req_373da23c5ea5aaf4e59c38fbe37d663ae37731aeed8cc054 | 10 / 4 | 9706248.648662 |
| 许总24只原v3 | 完整Canonical及四类逐行导出相同 | btr_req_5bb965ea83e047c998ec16be656f40ec28a4e5d870aa6d74 | 51 / 21 | 9685563.876924999 |
共六次独立原生执行、三次持久幂等HTTP提交，旧请求/旧结果未改写。候选顺序、父订单及卖后续买合同保持；重复目标委托0。三条新记录各有5个交易日事件，持久事件总数27/18/32、唯一键数完全相等；旧流式样本仍27条/5日。上述数据来自原历史合同，仍属日终容量审计，不证明实时盘口容量；1秒样本与首轮12秒Source准备不作为性能提速证据。
API二进制SHA `4e9f142be0ae3f9ca8e1c126507d4a9905cde4b69859df4544472afd1bda1ff2`，Runner `8b98a2ae9a13899e87d9931162d1637de7e9ab81844c284e00135904cda7b0e4`，运行实现身份 `96cf0dcfcec94c6f7e2a9fc64ba8b8e8547b12c869ad6a61a0e492f6c76b5d57`。当前不可变API目录`/srv/fidc/canonical/run/backtest-api/releases/clock-237ee15-c37rs7zq`，回退目录`/srv/fidc/canonical/run/build/clock-rollback-7qnhgco7`；交易回退目录`holding-protection-rollback-dkd1njej`。
五交易服务逐一核对实际文件SHA与manifest，新增ERROR日志0；3Paper/0Live、配置、旧活动委托、3个未确认Paper预览、迁移、shadow配置0及disabled均未变化，发布后Paper/Live新订单0。Source d5/PID1700096、UI6a2/PID3089476未重启，研究/信号暂停保持。177维护中的Engine9a54156工作树完整保留，不把该未部署候选冒充本次运行代码；实际编译来自237/e81和237/dab只读快照。
完整原始回放与HTTP收据：`/srv/fidc/canonical/run/research/stock-pool-clock-20260914/`。发布/审计收据：`/tmp/fidc-clock-{api-release,trading-release,final-audit}-20260914.json`。非敏感汇总已归档`docs/evidence/intraday-clock-20260914/acceptance.json`。
## 下一步
通用process-event回调的完整时间/订单观察、盘前调度普通意图、显式手工委托/撤单回放和所有剩余参数矩阵继续跟踪，不以当前阶段声明完整Goal完成。下一轮直接处理这些缺口，不重新做已通过的金额、页头、流式及本轮三组回放；当前仍不解除手工影子拒绝门禁，不修改既有任务配置、Source冻结和研究/信号暂停。
Live取消请求另有待核对项：`CancelRequested`当前在网关返回后才持久化，不能不加说明就把回报时间当最初请求时间。完整手工回放需要验证并补齐真实意图/提交/成交/取消关联，当前生产手工影子仍保持明确拒绝纯比例模拟。 Live取消请求另有待核对项：`CancelRequested`当前在网关返回后才持久化，不能不加说明就把回报时间当最初请求时间。完整手工回放需要验证并补齐真实意图/提交/成交/取消关联，当前生产手工影子仍保持明确拒绝纯比例模拟。
docs/manual-replay-foundation-20260914.md
+35
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@@ -0,0 +1,35 @@
# 手工成交观察回放：基础合同与当前断点
2026-09-14。本阶段只完成框架基础与本机验证，未接入Runner/API、未发布。生产最近已验收版本仍为v2026.9.14.5；完整Goal和手工影子回放均未完成。
## 已实现
`manual_execution`提供`fidc.observed-manual-executions/v1`严格合同及`ManualReplayCursor`。这是将已确认的手工成交事实作为外部输入，不是让回测券商独立重演其真实成交。
- 保留确认、提交、成交、观察和终态时间，声明秒/毫秒/微秒/纳秒精度；同秒报告只允许在其真实精度区间内与提交时间对应，不伪造纳秒。
- 手工动作、审计事件、订单、券商订单、成交和`FillReceived`观察事件/序号均有唯一性与完整性校验。账户/运行身份及源合同摘要进入完整内容SHA；改价格、费用、身份或时间会使旧摘要失效。
- 明确区分无须生成订单与有终态订单，拒绝不完整、未知、超量、状态不一致、超截止日期的数据。不将空订单列表直接当成功。
- 金额输入使用十进制字符串，不先经过JSON浮点数。保留原价、原费用、原成交额；账本沿用既有微元精度，真实十进制金额在入口统一量化，并分开返回原值和账本值。
- 游标按真实观察时间和已持久化事件序号前进，重入同一时点不会重复入账，时间倒退或越过证据截止时间会失败。
- 资金、持仓及游标在一次advance中原子变更。资金不足、T+1、生命周期冲突或活动影子订单冲突不借股、不借款、不取消原订单，也不留下半笔状态。
- 人工交易不是出入金，不更改现金流中性单位或初始资金；原始买卖账本入口继续使用原有计算，仅抽出可传固定金额的内部函数。
本机Core849项通过（9项原有ignore），其中15项新专项覆盖精度/摘要/关联/时间/顺序/无订单/部分撤单/原子失败/不重复和跨日出售。此结果不代表服务、完整影子请求或生产成交验收。
## 已核对的持久化入口
Paper `paper_manual_position_actions`保存确认、执行合同SHA、计划与order_ids；`paper_fills`及`paper_event_log.FillReceived`可以提供真实成交及观察事件序号。Live单证券动作在`live_manual_trade_intents`，逐笔事实在`live_broker_trade_facts`，对应`live_event_log.FillReceived`提供recorded_at和序号。事件序号表示持久化观察顺序，不冒充交易所执行顺序。
Live整仓的历史审计原来只有confirmation_hash，执行ID在另一个开始事件中；当前候选已将服务端生成的execution_id和所选account_id写入同一仓位审计详情，并校验非空ID和账户范围。旧历史仍只能依据原始审计/事件做唯一关联，不能猜测或重写。
费用仍需在读取层核对实际适配器合同：当前Paper账本收取commission+stamp_tax；Live事实的complete也按这两个已声明字段判定。不能仅凭complete名字断言其他费用不存在，不能以默认0补缺失。
## 必须继续，不能把本阶段当完成
1. 实现全部四类来源的权威PG读取、审计/动作/订单/成交/事件绑定与一致快照；未知/活动状态等待，不能变成空成功。
2. 在API/Runner传递完整受控合同和源范围，补齐手工证券的历史资料/行情需求。当前没有任何运行入口调用此游标。
3. 把观察事件与盘前、集合竞价、日度、分钟、收盘/结算阶段按完整时钟合并；跨交易日/会话外观察不可简单塞进on_minute或提前应用。
4. 输出须区分外部人工成交与策略模拟成交，保留原始执行时间、观察时间、费用和实际投影时间线，不能宣称人工成交被独立验证。
5. 完成两套隔离PG、真实引擎、完整HTTP和发布验证后，才可解除四类手工来源的纯比例影子拒绝门禁。
下一轮直接进行上述读取/引擎/结果链，不能重复15项基础用例或v2026.9.14.5固定三组回放替代集成。Source冻结、研究/信号暂停、现有3Paper/0Live与disabled不变；本轮无生产写入、真实订单或通知。