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Expose open order state to strategy runtime

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boris
2026-04-23 04:52:43 -07:00
parent 9fca6e0011
commit 4fdcfdae7d
8 changed files with 311 additions and 9 deletions
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31
crates/fidc-core/src/engine.rs
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@@ -232,12 +232,14 @@ where
.map(|decision_idx| (decision_idx, execution_dates[decision_idx]));
let (decision_index, decision_date) =
decision_slot.unwrap_or((execution_idx, execution_date));
let pre_open_orders = self.broker.open_order_views();
let daily_context = StrategyContext {
execution_date,
decision_date,
decision_index,
data: &self.data,
portfolio: &portfolio,
open_orders: &pre_open_orders,
};
let schedule_rules = self.strategy.schedule_rules();
let mut process_events = Vec::new();
@@ -304,12 +306,14 @@ where
&self.data,
&auction_decision,
)?;
let post_auction_open_orders = self.broker.open_order_views();
let post_auction_context = StrategyContext {
execution_date,
decision_date,
decision_index,
data: &self.data,
portfolio: &portfolio,
open_orders: &post_auction_open_orders,
};
publish_process_events(
&mut self.strategy,
@@ -337,6 +341,7 @@ where
ProcessEventKind::PreOnDay,
"on_day:pre",
)?;
let on_day_open_orders = self.broker.open_order_views();
let mut decision = decision_slot
.map(|(decision_idx, decision_date)| {
self.strategy.on_day(&StrategyContext {
@@ -345,6 +350,7 @@ where
decision_index: decision_idx,
data: &self.data,
portfolio: &portfolio,
open_orders: &on_day_open_orders,
})
})
.transpose()?
@@ -361,6 +367,7 @@ where
decision_index,
data: &self.data,
portfolio: &portfolio,
open_orders: &on_day_open_orders,
},
&mut process_events,
&mut self.process_event_bus,
@@ -371,6 +378,7 @@ where
decision_index,
data: &self.data,
portfolio: &portfolio,
open_orders: &on_day_open_orders,
};
publish_phase_event(
&mut self.strategy,
@@ -385,12 +393,14 @@ where
let mut intraday_report =
self.broker
.execute(execution_date, &mut portfolio, &self.data, &decision)?;
let post_intraday_open_orders = self.broker.open_order_views();
let post_intraday_context = StrategyContext {
execution_date,
decision_date,
decision_index,
data: &self.data,
portfolio: &portfolio,
open_orders: &post_intraday_open_orders,
};
publish_process_events(
&mut self.strategy,
@@ -418,12 +428,14 @@ where
portfolio.update_prices(execution_date, &self.data, PriceField::Close)?;
let post_trade_open_orders = self.broker.open_order_views();
let post_trade_context = StrategyContext {
execution_date,
decision_date,
decision_index,
data: &self.data,
portfolio: &portfolio,
open_orders: &post_trade_open_orders,
};
publish_phase_event(
&mut self.strategy,
@@ -457,10 +469,19 @@ where
report.position_events.extend(close_report.position_events);
report.account_events.extend(close_report.account_events);
report.diagnostics.extend(close_report.diagnostics);
let post_close_open_orders = self.broker.open_order_views();
let post_close_context = StrategyContext {
execution_date,
decision_date,
decision_index,
data: &self.data,
portfolio: &portfolio,
open_orders: &post_close_open_orders,
};
publish_phase_event(
&mut self.strategy,
&mut self.process_event_bus,
&post_trade_context,
&post_close_context,
&mut process_events,
execution_date,
ProcessEventKind::PostAfterTrading,
@@ -469,17 +490,17 @@ where
publish_phase_event(
&mut self.strategy,
&mut self.process_event_bus,
&post_trade_context,
&post_close_context,
&mut process_events,
execution_date,
ProcessEventKind::PreSettlement,
"settlement:pre",
)?;
self.strategy.on_settlement(&post_trade_context)?;
self.strategy.on_settlement(&post_close_context)?;
publish_phase_event(
&mut self.strategy,
&mut self.process_event_bus,
&post_trade_context,
&post_close_context,
&mut process_events,
execution_date,
ProcessEventKind::Settlement,
@@ -488,7 +509,7 @@ where
publish_phase_event(
&mut self.strategy,
&mut self.process_event_bus,
&post_trade_context,
&post_close_context,
&mut process_events,
execution_date,
ProcessEventKind::PostSettlement,