修复回报上下文与盘前意图并在提交前采用最新完整目标

2026-09-14 06:06:57 +08:00
parent 600808b171
commit 81acc54228
7 changed files with 1366 additions and 63 deletions
@@ -675,3 +675,104 @@ fn a_clock_slice_does_not_turn_window_twap_into_an_unlimited_instant_order() {
    assert_eq!(last.order_events.last().unwrap().filled_quantity, 200);
    assert!(broker.open_order_views().is_empty());
 }
+
+#[test]
+fn non_matching_controls_amend_or_cancel_without_filling_a_crossing_quote() {
+    let data = data(&[(0, 10., 4_000), (2, 9.4, 4_000)]);
+    let broker = broker();
+    let mut account = PortfolioState::new(20_000.);
+    step(
+        &broker,
+        &mut account,
+        &data,
+        0,
+        &StrategyDecision {
+            order_intents: vec![
+                OrderIntent::LimitShares {
+                    symbol: "000001.SZ".into(),
+                    quantity: 100,
+                    limit_price: 9.5,
+                    reason: "resting".into(),
+                }
+                .with_time_in_force(OrderTimeInForce::Gtc),
+            ],
+            ..Default::default()
+        },
+    );
+    assert_eq!(broker.open_order_views().len(), 1);
+    let modify = broker
+        .execute_controls_without_matching(
+            limit_test_snapshot().date,
+            limit_test_snapshot().date,
+            &mut account,
+            &data,
+            &StrategyDecision {
+                order_intents: vec![OrderIntent::ModifyOrder {
+                    order_id: 1,
+                    new_total_quantity: Some(200),
+                    new_limit_price: Some(9.3),
+                    reason: "pre-open-amend".into(),
+                }],
+                ..Default::default()
+            },
+            Some(time(2)),
+        )
+        .unwrap();
+    assert!(modify.fill_events.is_empty());
+    assert_eq!(broker.open_order_views()[0].limit_price, 9.3);
+    assert_eq!(broker.open_order_views()[0].requested_quantity, 200);
+    let cancel = broker
+        .execute_controls_without_matching(
+            limit_test_snapshot().date,
+            limit_test_snapshot().date,
+            &mut account,
+            &data,
+            &StrategyDecision {
+                order_intents: vec![OrderIntent::CancelAll {
+                    reason: "pre-open-cancel".into(),
+                }],
+                ..Default::default()
+            },
+            Some(time(2)),
+        )
+        .unwrap();
+    assert!(cancel.fill_events.is_empty());
+    assert_eq!(
+        cancel.order_events.last().unwrap().status,
+        OrderStatus::Canceled
+    );
+    assert_eq!(account.cash(), 20_000.);
+    assert!(broker.open_order_views().is_empty());
+}
+
+#[test]
+fn control_only_phase_cannot_be_used_to_submit_an_order_or_leave_matching_disabled() {
+    let data = data(&[(0, 10., 4_000)]);
+    let broker = broker();
+    let mut account = PortfolioState::new(20_000.);
+    let submit = StrategyDecision {
+        order_intents: vec![OrderIntent::Shares {
+            symbol: "000001.SZ".into(),
+            quantity: 100,
+            reason: "normal-order".into(),
+        }],
+        ..Default::default()
+    };
+    assert!(
+        broker
+            .execute_controls_without_matching(
+                limit_test_snapshot().date,
+                limit_test_snapshot().date,
+                &mut account,
+                &data,
+                &submit,
+                Some(time(0))
+            )
+            .is_err()
+    );
+    assert_eq!(account.cash(), 20_000.);
+    assert_eq!(
+        step(&broker, &mut account, &data, 0, &submit).fill_events[0].quantity,
+        100
+    );
+}