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Use snapshot last price for jq intraday execution

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This commit is contained in:
boris
2026-04-21 18:35:02 -07:00
parent c67932a2c9
commit 5be836423a
2 changed files with 55 additions and 25 deletions
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40
crates/fidc-core/src/broker.rs
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@@ -121,10 +121,8 @@ where
if self.execution_price_field == PriceField::Last
&& self.intraday_execution_start_time.is_some()
{
return match side {
OrderSide::Buy => self.buy_price(snapshot),
OrderSide::Sell => self.sell_price(snapshot),
};
let _ = side;
return snapshot.price(PriceField::Last);
}
match side {
@@ -1079,23 +1077,6 @@ where
return None;
}
let start_cursor = self
.intraday_execution_start_time
.map(|start_time| date.and_time(start_time));
let quotes = data.execution_quotes_on(date, symbol);
if let Some(fill) = self.select_execution_fill(
quotes,
side,
start_cursor,
requested_qty,
round_lot,
cash_limit,
gross_limit,
) {
return Some(fill);
}
if self.intraday_execution_start_time.is_some() {
let execution_price = self.snapshot_execution_price(snapshot, side);
let quantity = match side {
@@ -1122,6 +1103,23 @@ where
});
}
let start_cursor = self
.intraday_execution_start_time
.map(|start_time| date.and_time(start_time));
let quotes = data.execution_quotes_on(date, symbol);
if let Some(fill) = self.select_execution_fill(
quotes,
side,
start_cursor,
requested_qty,
round_lot,
cash_limit,
gross_limit,
) {
return Some(fill);
}
None
}