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fix: separate historical session capacity audits from execution sizing

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boris
2026-09-12 06:32:10 +08:00
parent 4edc70c4c6
commit 4d3a9e0e5b
6 changed files with 112 additions and 59 deletions
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crates/fidc-core/src/broker.rs
+39 -55
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@@ -7,7 +7,7 @@ use chrono::{Duration, NaiveDate, NaiveDateTime, NaiveTime};
use crate::cost::CostModel;
use crate::data::{DataSet, IntradayExecutionQuote, PriceField};
use crate::engine::BacktestError;
use crate::execution_capacity::{CapacityError, ParticipationRate, VolumeObservation, VolumeObservationKind};
use crate::execution_capacity::{CapacityAuditSummary, CapacityError, ParticipationRate, SessionCapacityAudit, VolumeCapacityMode, VolumeObservation, VolumeObservationKind};
use crate::execution_schedule::TwapSchedule;
use crate::events::{
AccountEvent, FillEvent, OrderEvent, OrderSide, OrderStatus, PositionEvent, ProcessEvent,
@@ -423,6 +423,7 @@ pub struct BrokerSimulator<C, R> {
volume_percent: f64,
volume_rate: Result<ParticipationRate, CapacityError>,
volume_limit: bool,
volume_capacity_mode: VolumeCapacityMode,
inactive_limit: bool,
liquidity_limit: bool,
strict_value_budget: bool,
@@ -459,6 +460,7 @@ impl<C, R> BrokerSimulator<C, R> {
volume_percent: 0.25,
volume_rate: ParticipationRate::new(0.25),
volume_limit: true,
volume_capacity_mode: VolumeCapacityMode::ExecutionObservation,
inactive_limit: true,
liquidity_limit: true,
strict_value_budget: true,
@@ -499,6 +501,7 @@ impl<C, R> BrokerSimulator<C, R> {
volume_percent: 0.25,
volume_rate: ParticipationRate::new(0.25),
volume_limit: true,
volume_capacity_mode: VolumeCapacityMode::ExecutionObservation,
inactive_limit: true,
liquidity_limit: true,
strict_value_budget: true,
@@ -529,6 +532,29 @@ impl<C, R> BrokerSimulator<C, R> {
self
}
pub fn with_volume_capacity_mode(mut self, mode: VolumeCapacityMode) -> Self {
self.volume_capacity_mode = mode;
self
}
pub fn capacity_audit_summary(&self) -> CapacityAuditSummary {
CapacityAuditSummary { mode: self.volume_capacity_mode, enabled: self.volume_limit,
participation_rate: self.volume_percent, ..Default::default() }
}
pub fn audit_completed_session_capacity(&self, date: NaiveDate, data: &DataSet) -> Result<Vec<SessionCapacityAudit>, BacktestError> {
if !self.volume_limit || self.volume_capacity_mode != VolumeCapacityMode::SessionCapacityAudit {
return Ok(Vec::new());
}
let session = self.execution_session.borrow();
if session.date != Some(date) { return Ok(Vec::new()); }
let rate = self.volume_rate.map_err(|error| BacktestError::Execution(error.to_string()))?;
session.intraday_turnover.iter().filter(|(_, quantity)| **quantity > 0).map(|(symbol, quantity)| {
let market = data.market(date, symbol).ok_or_else(|| BacktestError::MissingPrice { date, symbol: symbol.clone(), field: "session capacity audit" })?;
Ok(SessionCapacityAudit::new(date, symbol.clone(), u64::from(*quantity), market.volume, rate))
}).collect()
}
pub fn with_inactive_limit(mut self, enabled: bool) -> Self {
self.inactive_limit = enabled;
self
@@ -1458,6 +1484,8 @@ where
) -> Result<BrokerExecutionReport, BacktestError> {
if self.volume_limit {
self.volume_rate.map_err(|error| BacktestError::Execution(error.to_string()))?;
self.volume_capacity_mode.validate(true, self.matching_type_uses_intraday_quotes())
.map_err(|error| BacktestError::Execution(error.to_string()))?;
}
let mut session = std::mem::take(&mut *self.execution_session.borrow_mut());
session.activate(date);
@@ -7269,57 +7297,13 @@ where
return Ok(0);
}
let uses_intraday_quantity = self.matching_type_uses_intraday_quotes();
let available_market_volume = if uses_intraday_quantity {
snapshot.minute_volume
} else {
snapshot.volume
};
let no_volume_reason = if uses_intraday_quantity {
"minute no volume"
} else {
"daily no volume"
};
let volume_limit_reason = if uses_intraday_quantity {
"minute volume limit"
} else {
"daily volume limit"
};
let mut max_fill = requested_qty;
if self.inactive_limit
&& (snapshot.paused || (!uses_intraday_quantity && available_market_volume == 0))
{
return Err(if snapshot.paused {
"paused".to_string()
} else {
no_volume_reason.to_string()
});
}
if uses_intraday_quantity {
return Ok(max_fill);
}
if self.volume_limit {
let raw_limit = self.volume_rate.map_err(|error| error.to_string())?
.remaining(available_market_volume, u64::from(consumed_turnover), requested_qty);
if raw_limit == 0 {
return Err(volume_limit_reason.to_string());
}
let volume_limited = if side == OrderSide::Sell && allow_odd_lot_sell {
raw_limit
} else {
self.round_buy_quantity(raw_limit, minimum_order_quantity, order_step_size)
};
if volume_limited == 0 {
return Err(volume_limit_reason.to_string());
}
max_fill = max_fill.min(volume_limited);
}
Ok(max_fill)
let _ = (side, minimum_order_quantity, order_step_size, consumed_turnover, allow_odd_lot_sell);
if self.inactive_limit && snapshot.paused { return Err("paused".into()); }
self.volume_capacity_mode.validate(self.volume_limit, self.matching_type_uses_intraday_quotes())
.map_err(|error| error.to_string())?;
// Per-observation limits are applied to each actual quote below. The
// session-audit model must never size this order from the day's total.
Ok(requested_qty)
}
fn price_satisfies_limit(
@@ -7723,7 +7707,7 @@ where
} else {
remaining_qty
};
if self.volume_limit {
if self.volume_limit && self.volume_capacity_mode.limits_execution_quantity() {
let consumed = execution_ledger
.volume_consumed(symbol, quote.timestamp)
.saturating_add(
@@ -7871,7 +7855,7 @@ where
.saturating_add(take_qty)
.min(state.displayed_quantity);
}
if self.volume_limit {
if self.volume_limit && self.volume_capacity_mode.limits_execution_quantity() {
let consumed = pending_volume_consumption
.entry(quote.timestamp)
.or_default();
@@ -7885,7 +7869,7 @@ where
depth_price_bits,
displayed_quantity,
consume_depth,
consume_volume: self.volume_limit,
consume_volume: self.volume_limit && self.volume_capacity_mode.limits_execution_quantity(),
quantity: take_qty,
});
}