Use snapshot last price for jq intraday execution

crates/fidc-core/src/broker.rs

@@ -121,10 +121,8 @@ where
         if self.execution_price_field == PriceField::Last
             && self.intraday_execution_start_time.is_some()
         {
-            return match side {
+            let _ = side;
-                OrderSide::Buy => self.buy_price(snapshot),
+            return snapshot.price(PriceField::Last);
-                OrderSide::Sell => self.sell_price(snapshot),
-            };
         }
 
         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
     }
 

crates/fidc-core/src/strategy.rs

@@ -593,10 +593,8 @@ impl JqMicroCapStrategy {
         market: &crate::data::DailyMarketSnapshot,
         side: OrderSide,
     ) -> f64 {
-        match side {
+        let _ = side;
-            OrderSide::Buy => market.buy_price(PriceField::Last),
+        market.price(PriceField::Last)
-            OrderSide::Sell => market.sell_price(PriceField::Last),
-        }
     }
 
     fn project_order_value(
@@ -814,6 +812,40 @@ impl JqMicroCapStrategy {
             return None;
         }
 
+        if let Some(market) = ctx.data.market(date, symbol) {
+            let execution_price = self.projected_execution_price(market, side);
+            if execution_price.is_finite() && execution_price > 0.0 {
+                let quantity = match side {
+                    OrderSide::Buy => {
+                        let cash = cash_limit.unwrap_or(f64::INFINITY);
+                        let mut take_qty = self.round_lot_quantity(requested_qty, round_lot.max(1));
+                        while take_qty > 0 {
+                            let candidate_gross = execution_price * take_qty as f64;
+                            if gross_limit.is_some_and(|limit| candidate_gross > limit + 1e-6) {
+                                take_qty = take_qty.saturating_sub(round_lot.max(1));
+                                continue;
+                            }
+                            if candidate_gross <= cash + 1e-6 {
+                                break;
+                            }
+                            take_qty = take_qty.saturating_sub(round_lot.max(1));
+                        }
+                        take_qty
+                    }
+                    OrderSide::Sell => requested_qty,
+                };
+                if quantity > 0 {
+                    let next_cursor = date.and_time(self.intraday_execution_start_time())
+                        + Duration::seconds(1);
+                    return Some(ProjectedExecutionFill {
+                        price: execution_price,
+                        quantity,
+                        next_cursor,
+                    });
+                }
+            }
+        }
+
         let lot = round_lot.max(1);
         let start_cursor = self.projected_execution_start_cursor(date, symbol, execution_state);
         let quotes = ctx.data.execution_quotes_on(date, symbol);