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修复涨跌停最终执行价约束

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This commit is contained in:
boris
2026-06-15 20:04:42 +08:00
parent e0949a0eaa
commit 725f1845d9
2 changed files with 160 additions and 43 deletions
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crates/fidc-core/src/broker.rs
+86 -13
View File
@@ -2505,7 +2505,7 @@ where
merge_partial_fill_reason(partial_fill_reason, fill.unfilled_reason);
(fill.quantity, fill.legs)
} else {
let mut execution_price =
let execution_price =
self.snapshot_execution_price(snapshot, OrderSide::Sell, Some(fillable_qty));
if let Some(reason) =
self.execution_limit_rejection_reason(snapshot, OrderSide::Sell, execution_price)
@@ -2524,16 +2524,26 @@ where
);
(0, Vec::new())
} else {
execution_price =
self.execution_price_with_limit_slippage(execution_price, limit_price);
(
match self.execution_price_with_limit_slippage_or_rejection(
snapshot,
OrderSide::Sell,
execution_price,
limit_price,
) {
Ok(execution_price) => (
fillable_qty,
vec![ExecutionLeg {
price: execution_price,
mark_price: self.snapshot_mark_price(snapshot, OrderSide::Sell),
quantity: fillable_qty,
}],
)
),
Err(reason) => {
partial_fill_reason =
merge_partial_fill_reason(partial_fill_reason, Some(reason));
(0, Vec::new())
}
}
}
};
if filled_qty == 0 {
@@ -3885,7 +3895,7 @@ where
merge_partial_fill_reason(partial_fill_reason, fill.unfilled_reason);
(fill.quantity, fill.legs)
} else {
let mut execution_price =
let execution_price =
self.snapshot_execution_price(snapshot, OrderSide::Buy, Some(constrained_qty));
if let Some(reason) =
self.execution_limit_rejection_reason(snapshot, OrderSide::Buy, execution_price)
@@ -3904,9 +3914,19 @@ where
);
(0, Vec::new())
} else {
execution_price =
self.execution_price_with_limit_slippage(execution_price, limit_price);
let filled_qty = self.affordable_buy_quantity(
match self.execution_price_with_limit_slippage_or_rejection(
snapshot,
OrderSide::Buy,
execution_price,
limit_price,
) {
Err(reason) => {
partial_fill_reason =
merge_partial_fill_reason(partial_fill_reason, Some(reason));
(0, Vec::new())
}
Ok(mut execution_price) => {
let mut filled_qty = self.affordable_buy_quantity(
date,
buy_cash_limit,
value_gross_limit,
@@ -3915,12 +3935,33 @@ where
self.minimum_order_quantity(data, symbol),
self.order_step_size(data, symbol),
);
let mut blocked_by_final_price = false;
if filled_qty > 0 {
execution_price =
self.snapshot_execution_price(snapshot, OrderSide::Buy, Some(filled_qty));
execution_price =
self.execution_price_with_limit_slippage(execution_price, limit_price);
execution_price = self.snapshot_execution_price(
snapshot,
OrderSide::Buy,
Some(filled_qty),
);
match self.execution_price_with_limit_slippage_or_rejection(
snapshot,
OrderSide::Buy,
execution_price,
limit_price,
) {
Ok(price) => execution_price = price,
Err(reason) => {
partial_fill_reason = merge_partial_fill_reason(
partial_fill_reason,
Some(reason),
);
filled_qty = 0;
blocked_by_final_price = true;
}
}
}
if blocked_by_final_price {
(0, Vec::new())
} else {
if filled_qty < constrained_qty {
partial_fill_reason = merge_partial_fill_reason(
partial_fill_reason,
@@ -3942,6 +3983,9 @@ where
}],
)
}
}
}
}
};
if filled_qty == 0 {
let detail = partial_fill_reason
@@ -4567,6 +4611,21 @@ where
}
}
fn execution_price_with_limit_slippage_or_rejection(
&self,
snapshot: &crate::data::DailyMarketSnapshot,
side: OrderSide,
execution_price: f64,
limit_price: Option<f64>,
) -> Result<f64, &'static str> {
let adjusted = self.execution_price_with_limit_slippage(execution_price, limit_price);
if let Some(reason) = self.execution_limit_rejection_reason(snapshot, side, adjusted) {
Err(reason)
} else {
Ok(adjusted)
}
}
fn limit_order_can_remain_open(partial_reason: Option<&str>) -> bool {
!partial_reason.is_some_and(|reason| {
reason.contains("insufficient cash")
@@ -4819,6 +4878,14 @@ where
}
quote_price =
self.execution_price_with_limit_slippage(quote_price, limit_price);
if let Some(reason) =
self.execution_limit_rejection_reason(snapshot, side, quote_price)
{
execution_block_reason.get_or_insert(reason);
execution_block_timestamp = Some(quote.timestamp);
take_qty = 0;
break;
}
let candidate_gross = gross_amount + quote_price * take_qty as f64;
if gross_limit.is_some_and(|limit| candidate_gross > limit + 1e-6) {
budget_block_reason = Some("value budget limit");
@@ -4851,6 +4918,12 @@ where
quote_price =
self.quote_execution_price(snapshot, side, raw_quote_price, Some(take_qty));
quote_price = self.execution_price_with_limit_slippage(quote_price, limit_price);
if let Some(reason) = self.execution_limit_rejection_reason(snapshot, side, quote_price)
{
execution_block_reason.get_or_insert(reason);
execution_block_timestamp = Some(quote.timestamp);
continue;
}
gross_amount += quote_price * take_qty as f64;
mark_amount += mark_price * take_qty as f64;
crates/fidc-core/tests/explicit_order_flow.rs
+44
View File
@@ -4237,6 +4237,50 @@ fn broker_uses_limit_price_slippage_for_limit_orders() {
assert!((report.fill_events[0].price - 10.1).abs() < 1e-9);
}
#[test]
fn broker_rejects_limit_buy_when_final_execution_price_reaches_upper_limit() {
let date = NaiveDate::from_ymd_opt(2024, 1, 10).unwrap();
let data = two_day_limit_order_data(10.0, 10.2);
let broker = BrokerSimulator::new_with_execution_price(
ChinaAShareCostModel::default(),
ChinaEquityRuleHooks::default(),
PriceField::Open,
)
.with_slippage_model(SlippageModel::LimitPrice);
let mut portfolio = PortfolioState::new(1_000_000.0);
let report = broker
.execute(
date,
&mut portfolio,
&data,
&StrategyDecision {
rebalance: false,
target_weights: BTreeMap::new(),
exit_symbols: BTreeSet::new(),
order_intents: vec![OrderIntent::LimitShares {
symbol: "000002.SZ".to_string(),
quantity: 200,
limit_price: 11.0,
reason: "limit_entry_at_upper_limit".to_string(),
}],
notes: Vec::new(),
diagnostics: Vec::new(),
},
)
.expect("broker execution");
assert!(report.fill_events.is_empty());
assert_eq!(report.order_events.len(), 1);
assert_eq!(report.order_events[0].status, OrderStatus::Canceled);
assert!(
report.order_events[0]
.reason
.contains("open at or above upper limit")
);
assert!(portfolio.position("000002.SZ").is_none());
}
#[test]
fn broker_executes_limit_value_and_limit_percent_intents() {
let date = NaiveDate::from_ymd_opt(2024, 1, 10).unwrap();