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boris
2026-08-27 02:47:19 +08:00
parent 8d7bb60c30
commit 6ee1835ca5
5 changed files with 180 additions and 3 deletions
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crates/fidc-core/tests/explicit_order_flow.rs
+16
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@@ -2537,6 +2537,14 @@ fn broker_splits_intraday_quote_fills_and_tracks_commission_by_order() {
assert_eq!(report.fill_events[1].quantity, 100);
assert!((report.fill_events[0].price - 10.01).abs() < 1e-9);
assert!((report.fill_events[1].price - 10.03).abs() < 1e-9);
assert_eq!(
report.fill_events[0].execution_timestamp,
date.and_hms_opt(10, 18, 3)
);
assert_eq!(
report.fill_events[1].execution_timestamp,
date.and_hms_opt(10, 18, 6)
);
assert!((report.fill_events[0].commission - 5.0).abs() < 1e-9);
assert_eq!(report.fill_events[1].commission, 0.0);
assert_eq!(report.account_events.len(), 2);
@@ -2699,6 +2707,14 @@ fn broker_aggregates_intraday_quote_fills_into_vwap_leg() {
assert_eq!(report.fill_events.len(), 1);
assert_eq!(report.fill_events[0].quantity, 200);
assert!((report.fill_events[0].price - 10.02).abs() < 1e-9);
assert_eq!(
report.fill_events[0].execution_start_timestamp,
date.and_hms_opt(10, 18, 3)
);
assert_eq!(
report.fill_events[0].execution_timestamp,
date.and_hms_opt(10, 18, 6)
);
assert!((report.fill_events[0].commission - 5.0).abs() < 1e-9);
assert_eq!(report.account_events.len(), 1);
assert_eq!(