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Drop stale broker sizing helpers

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This commit is contained in:
boris
2026-04-22 22:00:09 -07:00
parent aca8292c72
commit 6606ef86bc
2 changed files with 3 additions and 161 deletions
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162
crates/fidc-core/src/broker.rs
View File

@@ -924,65 +924,6 @@ where
}
}
fn estimate_value_buy_quantity(
&self,
date: NaiveDate,
portfolio: &PortfolioState,
data: &DataSet,
symbol: &str,
round_lot: u32,
value_budget: f64,
intraday_turnover: &BTreeMap<String, u32>,
execution_cursors: &BTreeMap<String, NaiveDateTime>,
global_execution_cursor: Option<NaiveDateTime>,
) -> Option<u32> {
if self.execution_price_field != PriceField::Last {
return None;
}
let snapshot = data.market(date, symbol)?;
let market_limited_qty = self
.market_fillable_quantity(
snapshot,
OrderSide::Buy,
u32::MAX,
round_lot,
*intraday_turnover.get(symbol).unwrap_or(&0),
)
.ok()?;
let max_requested_qty = market_limited_qty;
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(estimated) = self.select_buy_sizing_fill(
date,
snapshot,
quotes,
start_cursor,
max_requested_qty,
round_lot,
Some(portfolio.cash()),
Some(value_budget),
) {
return Some(estimated.quantity);
}
let execution_price = self.snapshot_execution_price(snapshot, OrderSide::Buy);
let fallback_qty = self.affordable_buy_quantity(
date,
portfolio.cash(),
Some(value_budget),
execution_price,
max_requested_qty,
round_lot,
);
if fallback_qty > 0 {
Some(fallback_qty)
} else {
None
}
}
fn maybe_expand_periodic_value_buy_quantity(
&self,
_date: NaiveDate,
@@ -999,105 +940,6 @@ where
requested_qty
}
fn select_buy_sizing_fill(
&self,
date: NaiveDate,
snapshot: &crate::data::DailyMarketSnapshot,
quotes: &[IntradayExecutionQuote],
start_cursor: Option<NaiveDateTime>,
requested_qty: u32,
round_lot: u32,
cash_limit: Option<f64>,
gross_limit: Option<f64>,
) -> Option<ExecutionFill> {
if requested_qty == 0 {
return None;
}
let lot = round_lot.max(1);
let mut filled_qty = 0_u32;
let mut gross_amount = 0.0_f64;
let mut last_timestamp = None;
for quote in quotes {
if start_cursor.is_some_and(|cursor| quote.timestamp < cursor) {
continue;
}
let fallback_quote_price = if quote.last_price.is_finite() && quote.last_price > 0.0 {
Some(quote.last_price)
} else {
quote.buy_price()
};
if quote.volume_delta == 0 {
continue;
}
let Some(raw_quote_price) = fallback_quote_price else {
continue;
};
let quote_price = self.quote_execution_price(snapshot, OrderSide::Buy, raw_quote_price);
if !quote_price.is_finite() || quote_price <= 0.0 {
continue;
}
let available_qty = quote
.ask1_volume
.saturating_mul(lot as u64)
.min(u32::MAX as u64) as u32;
if available_qty == 0 {
continue;
}
let remaining_qty = requested_qty.saturating_sub(filled_qty);
if remaining_qty == 0 {
break;
}
let mut take_qty = remaining_qty.min(available_qty);
take_qty = self.round_buy_quantity(take_qty, lot);
if take_qty == 0 {
continue;
}
if let Some(cash) = cash_limit {
while take_qty > 0 {
let candidate_gross = gross_amount + quote_price * take_qty as f64;
if gross_limit.is_some_and(|limit| candidate_gross > limit + 1e-6) {
take_qty = take_qty.saturating_sub(lot);
continue;
}
let candidate_cost =
self.cost_model
.calculate(date, OrderSide::Buy, candidate_gross);
if candidate_gross + candidate_cost.total() <= cash + 1e-6 {
break;
}
take_qty = take_qty.saturating_sub(lot);
}
if take_qty == 0 {
break;
}
}
gross_amount += quote_price * take_qty as f64;
filled_qty += take_qty;
last_timestamp = Some(quote.timestamp);
if filled_qty >= requested_qty {
break;
}
}
if filled_qty == 0 {
return None;
}
Some(ExecutionFill {
price: gross_amount / filled_qty as f64,
quantity: filled_qty,
next_cursor: last_timestamp.unwrap() + Duration::seconds(1),
})
}
fn process_buy(
&self,
date: NaiveDate,
@@ -1383,8 +1225,8 @@ where
data: &DataSet,
requested_qty: u32,
round_lot: u32,
execution_cursors: &mut BTreeMap<String, NaiveDateTime>,
global_execution_cursor: Option<NaiveDateTime>,
_execution_cursors: &mut BTreeMap<String, NaiveDateTime>,
_global_execution_cursor: Option<NaiveDateTime>,
cash_limit: Option<f64>,
gross_limit: Option<f64>,
) -> Option<ExecutionFill> {

2
crates/fidc-core/src/strategy.rs
View File

@@ -653,7 +653,7 @@ impl JqMicroCapStrategy {
round_lot,
);
let projected_execution_price = self.projected_execution_price(market, OrderSide::Buy);
let mut projected_fill = self.projected_select_execution_fill(
let projected_fill = self.projected_select_execution_fill(
ctx,
date,
symbol,