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Allow odd-lot full liquidation sells

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This commit is contained in:
boris
2026-04-22 23:05:34 -07:00
parent 34e16520fa
commit 7a67e815d7
2 changed files with 138 additions and 8 deletions
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34
crates/fidc-core/src/broker.rs
View File

@@ -549,6 +549,7 @@ where
sellable.min(current_qty),
round_lot,
0,
sellable >= current_qty,
) {
Ok(quantity) => quantity.min(sellable).min(current_qty),
Err(_) => 0,
@@ -577,8 +578,14 @@ where
if !rule.allowed {
return current_qty;
}
let additional_limit =
match self.market_fillable_quantity(snapshot, OrderSide::Buy, u32::MAX, round_lot, 0) {
let additional_limit = match self.market_fillable_quantity(
snapshot,
OrderSide::Buy,
u32::MAX,
round_lot,
0,
false,
) {
Ok(quantity) => quantity,
Err(_) => 0,
};
@@ -655,6 +662,7 @@ where
requested_qty.min(sellable),
self.round_lot(data, symbol),
*intraday_turnover.get(symbol).unwrap_or(&0),
requested_qty >= position.quantity && sellable >= position.quantity,
);
let filled_qty = match market_limited_qty {
Ok(quantity) => quantity.min(sellable),
@@ -693,6 +701,7 @@ where
data,
filled_qty,
self.round_lot(data, symbol),
filled_qty >= position.quantity,
execution_cursors,
None,
None,
@@ -979,6 +988,7 @@ where
requested_qty,
self.round_lot(data, symbol),
*intraday_turnover.get(symbol).unwrap_or(&0),
false,
);
let constrained_qty = match market_limited_qty {
Ok(quantity) => quantity,
@@ -1004,6 +1014,7 @@ where
data,
constrained_qty,
self.round_lot(data, symbol),
false,
execution_cursors,
None,
Some(portfolio.cash()),
@@ -1176,6 +1187,7 @@ where
requested_qty: u32,
round_lot: u32,
consumed_turnover: u32,
allow_odd_lot_sell: bool,
) -> Result<u32, String> {
if requested_qty == 0 {
return Ok(0);
@@ -1197,7 +1209,12 @@ where
if top_level_liquidity == 0 {
return Err("no quote liquidity".to_string());
}
max_fill = max_fill.min(self.round_buy_quantity(top_level_liquidity, lot));
let top_level_limit = if side == OrderSide::Sell && allow_odd_lot_sell {
top_level_liquidity
} else {
self.round_buy_quantity(top_level_liquidity, lot)
};
max_fill = max_fill.min(top_level_limit);
}
if self.volume_limit {
@@ -1206,7 +1223,11 @@ where
if raw_limit <= 0 {
return Err("tick volume limit".to_string());
}
let volume_limited = self.round_buy_quantity(raw_limit as u32, lot);
let volume_limited = if side == OrderSide::Sell && allow_odd_lot_sell {
raw_limit as u32
} else {
self.round_buy_quantity(raw_limit as u32, lot)
};
if volume_limited == 0 {
return Err("tick volume limit".to_string());
}
@@ -1225,6 +1246,7 @@ where
data: &DataSet,
requested_qty: u32,
round_lot: u32,
allow_odd_lot_sell: bool,
_execution_cursors: &mut BTreeMap<String, NaiveDateTime>,
_global_execution_cursor: Option<NaiveDateTime>,
cash_limit: Option<f64>,
@@ -1273,6 +1295,7 @@ where
start_cursor,
requested_qty,
round_lot,
allow_odd_lot_sell,
cash_limit,
gross_limit,
) {
@@ -1290,6 +1313,7 @@ where
start_cursor: Option<NaiveDateTime>,
requested_qty: u32,
round_lot: u32,
allow_odd_lot_sell: bool,
cash_limit: Option<f64>,
gross_limit: Option<f64>,
) -> Option<ExecutionFill> {
@@ -1332,7 +1356,9 @@ where
break;
}
let mut take_qty = remaining_qty.min(available_qty);
if !(side == OrderSide::Sell && allow_odd_lot_sell && take_qty == remaining_qty) {
take_qty = self.round_buy_quantity(take_qty, lot);
}
if take_qty == 0 {
continue;
}

104
crates/fidc-core/tests/explicit_order_flow.rs
View File

@@ -575,6 +575,110 @@ fn broker_uses_instrument_round_lot_for_buy_sizing() {
assert_eq!(report.fill_events[0].quantity, 1000);
}
#[test]
fn broker_allows_full_odd_lot_sell_when_liquidating_position() {
let prev_date = NaiveDate::from_ymd_opt(2024, 1, 9).unwrap();
let date = NaiveDate::from_ymd_opt(2024, 1, 10).unwrap();
let symbol = "000001.SZ";
let data = DataSet::from_components(
vec![Instrument {
symbol: symbol.to_string(),
name: "Test".to_string(),
board: "SZ".to_string(),
round_lot: 100,
listed_at: None,
delisted_at: None,
status: "active".to_string(),
}],
vec![DailyMarketSnapshot {
date,
symbol: symbol.to_string(),
timestamp: Some("2024-01-10 10:18:00".to_string()),
day_open: 10.0,
open: 10.0,
high: 10.1,
low: 9.9,
close: 10.0,
last_price: 10.0,
bid1: 9.99,
ask1: 10.01,
prev_close: 10.0,
volume: 10_000,
tick_volume: 1_400,
bid1_volume: 350,
ask1_volume: 10_000,
trading_phase: Some("continuous".to_string()),
paused: false,
upper_limit: 11.0,
lower_limit: 9.0,
price_tick: 0.01,
}],
vec![DailyFactorSnapshot {
date,
symbol: symbol.to_string(),
market_cap_bn: 50.0,
free_float_cap_bn: 45.0,
pe_ttm: 15.0,
turnover_ratio: Some(2.0),
effective_turnover_ratio: Some(1.8),
extra_factors: BTreeMap::new(),
}],
vec![CandidateEligibility {
date,
symbol: symbol.to_string(),
is_st: false,
is_new_listing: false,
is_paused: false,
allow_buy: true,
allow_sell: true,
is_kcb: false,
is_one_yuan: false,
}],
vec![BenchmarkSnapshot {
date,
benchmark: "000300.SH".to_string(),
open: 100.0,
close: 100.0,
prev_close: 99.0,
volume: 1_000_000,
}],
)
.expect("dataset");
let mut portfolio = PortfolioState::new(1_000_000.0);
portfolio.position_mut(symbol).buy(prev_date, 350, 10.0);
let broker = BrokerSimulator::new_with_execution_price(
ChinaAShareCostModel::default(),
ChinaEquityRuleHooks::default(),
PriceField::Open,
);
let report = broker
.execute(
date,
&mut portfolio,
&data,
&StrategyDecision {
rebalance: false,
target_weights: BTreeMap::new(),
exit_symbols: BTreeSet::new(),
order_intents: vec![OrderIntent::TargetValue {
symbol: symbol.to_string(),
target_value: 0.0,
reason: "odd_lot_liquidation".to_string(),
}],
notes: Vec::new(),
diagnostics: Vec::new(),
},
)
.expect("broker execution");
assert_eq!(report.fill_events.len(), 1);
assert_eq!(report.fill_events[0].side, fidc_core::OrderSide::Sell);
assert_eq!(report.fill_events[0].quantity, 350);
assert!(portfolio.position(symbol).is_none());
}
#[test]
fn same_day_sell_then_rebuy_reinserts_position_at_end() {
let prev_date = NaiveDate::from_ymd_opt(2024, 1, 9).unwrap();