将期货现金账本切换为定点并修正日度盈亏

crates/fidc-core/src/futures.rs

@@ -7,6 +7,24 @@ use crate::events::{
     AccountEvent, FillEvent, OrderEvent, OrderSide, OrderStatus, PositionEvent, ProcessEvent,
     ProcessEventKind,
 };
+use crate::fixed_point::FixedMoney;
+
+fn futures_money(value: f64, label: &str) -> Result<FixedMoney, String> {
+    FixedMoney::from_f64(value)
+        .ok_or_else(|| format!("{label} is not representable as fixed-point money: {value}"))
+}
+
+fn futures_money_or_panic(value: f64, label: &str) -> FixedMoney {
+    futures_money(value, label).unwrap_or_else(|error| panic!("{error}"))
+}
+
+fn sum_futures_money(values: impl IntoIterator<Item = FixedMoney>, label: &str) -> FixedMoney {
+    values.into_iter().fold(FixedMoney::ZERO, |total, value| {
+        total
+            .checked_add(value)
+            .unwrap_or_else(|| panic!("fixed-point {label} overflow"))
+    })
+}
 
 #[derive(Debug, Clone, Copy, PartialEq, Eq, PartialOrd, Ord)]
 pub enum FuturesDirection {
@@ -366,15 +384,16 @@ pub struct FuturesPosition {
     pub symbol: String,
     pub direction: FuturesDirection,
     pub old_quantity: u32,
+    day_start_quantity: u32,
     pub quantity: u32,
     pub avg_price: f64,
     pub last_price: f64,
     pub prev_close: f64,
     pub contract_multiplier: f64,
     pub margin_rate: f64,
-    pub transaction_cost: f64,
+    transaction_cost: FixedMoney,
     trade_quantity_delta: i32,
-    trade_cost: f64,
+    trade_value: FixedMoney,
 }
 
 impl FuturesPosition {
@@ -390,15 +409,16 @@ impl FuturesPosition {
             symbol: symbol.into(),
             direction,
             old_quantity: init_quantity,
+            day_start_quantity: init_quantity,
             quantity: init_quantity,
             avg_price: init_price.max(0.0),
             last_price: init_price.max(0.0),
             prev_close: init_price.max(0.0),
             contract_multiplier: spec.contract_multiplier,
             margin_rate,
-            transaction_cost: 0.0,
+            transaction_cost: FixedMoney::ZERO,
             trade_quantity_delta: 0,
-            trade_cost: 0.0,
+            trade_value: FixedMoney::ZERO,
         }
     }
 
@@ -407,18 +427,39 @@ impl FuturesPosition {
     }
 
     pub fn market_value(&self) -> f64 {
-        self.quantity as f64 * self.last_price * self.contract_multiplier
+        self.market_value_money().to_f64()
+    }
+
+    fn market_value_money(&self) -> FixedMoney {
+        futures_money_or_panic(
+            self.quantity as f64 * self.last_price * self.contract_multiplier,
+            "futures position market value",
+        )
     }
 
     pub fn margin(&self) -> f64 {
-        self.market_value() * self.margin_rate
+        self.margin_money().to_f64()
+    }
+
+    fn margin_money(&self) -> FixedMoney {
+        futures_money_or_panic(
+            self.market_value_money().to_f64() * self.margin_rate,
+            "futures position margin",
+        )
     }
 
     pub fn equity(&self) -> f64 {
+        self.equity_money().to_f64()
+    }
+
+    fn equity_money(&self) -> FixedMoney {
+        futures_money_or_panic(
             (self.last_price - self.avg_price)
                 * self.quantity as f64
                 * self.contract_multiplier
-            * self.direction.factor()
+                * self.direction.factor(),
+            "futures position equity",
+        )
     }
 
     pub fn pnl(&self) -> f64 {
@@ -426,22 +467,47 @@ impl FuturesPosition {
     }
 
     pub fn trading_pnl(&self) -> f64 {
-        (self.trade_quantity_delta as f64 * self.last_price - self.trade_cost)
+        self.trading_pnl_money().to_f64()
-            * self.contract_multiplier
+    }
-            * self.direction.factor()
+
+    fn trading_pnl_money(&self) -> FixedMoney {
+        let marked_trade_value = futures_money_or_panic(
+            self.trade_quantity_delta as f64 * self.last_price * self.contract_multiplier,
+            "futures marked trade value",
+        );
+        let pnl = marked_trade_value
+            .checked_sub(self.trade_value)
+            .expect("fixed-point futures trading PnL overflow");
+        if self.direction == FuturesDirection::Short {
+            pnl.checked_neg()
+                .expect("fixed-point futures short trading PnL overflow")
+        } else {
+            pnl
+        }
     }
 
     pub fn position_pnl(&self) -> f64 {
-        if self.old_quantity == 0 {
+        self.position_pnl_money().to_f64()
-            0.0
+    }
+
+    fn position_pnl_money(&self) -> FixedMoney {
+        if self.day_start_quantity == 0 {
+            FixedMoney::ZERO
         } else {
-            self.old_quantity as f64
+            futures_money_or_panic(
+                self.day_start_quantity as f64
                     * (self.last_price - self.prev_close)
                     * self.contract_multiplier
-                * self.direction.factor()
+                    * self.direction.factor(),
+                "futures position daily PnL",
+            )
         }
     }
 
+    pub fn transaction_cost(&self) -> f64 {
+        self.transaction_cost.to_f64()
+    }
+
     pub fn open(&mut self, quantity: u32, price: f64, transaction_cost: f64) {
         if quantity == 0 {
             return;
@@ -450,9 +516,20 @@ impl FuturesPosition {
         self.quantity += quantity;
         self.avg_price = (old_value + price * quantity as f64) / self.quantity as f64;
         self.last_price = price;
-        self.transaction_cost += transaction_cost.max(0.0);
+        let transaction_cost =
+            futures_money_or_panic(transaction_cost.max(0.0), "futures open transaction cost");
+        self.transaction_cost = self
+            .transaction_cost
+            .checked_add(transaction_cost)
+            .expect("fixed-point futures transaction cost overflow");
         self.trade_quantity_delta += quantity as i32;
-        self.trade_cost += price * quantity as f64;
+        self.trade_value = self
+            .trade_value
+            .checked_add(futures_money_or_panic(
+                price * quantity as f64 * self.contract_multiplier,
+                "futures open trade value",
+            ))
+            .expect("fixed-point futures trade value overflow");
     }
 
     pub fn close(
@@ -476,6 +553,17 @@ impl FuturesPosition {
         transaction_cost: f64,
         effect: FuturesPositionEffect,
     ) -> Result<f64, String> {
+        self.close_with_effect_money(quantity, price, transaction_cost, effect)
+            .map(FixedMoney::to_f64)
+    }
+
+    fn close_with_effect_money(
+        &mut self,
+        quantity: u32,
+        price: f64,
+        transaction_cost: f64,
+        effect: FuturesPositionEffect,
+    ) -> Result<FixedMoney, String> {
         if effect == FuturesPositionEffect::Open {
             return Err("close_with_effect does not accept open effect".to_string());
         }
@@ -489,7 +577,7 @@ impl FuturesPosition {
             ));
         }
         if quantity == 0 {
-            return Ok(0.0);
+            return Ok(FixedMoney::ZERO);
         }
         match effect {
             FuturesPositionEffect::Open => unreachable!(),
@@ -523,19 +611,34 @@ impl FuturesPosition {
             }
         }
 
-        let realized = (price - self.avg_price)
+        let transaction_cost =
+            futures_money(transaction_cost.max(0.0), "futures close transaction cost")?;
+        let realized = futures_money(
+            (price - self.avg_price)
                 * quantity as f64
                 * self.contract_multiplier
-            * self.direction.factor()
+                * self.direction.factor(),
-            - transaction_cost.max(0.0);
+            "futures realized PnL",
+        )?
+        .checked_sub(transaction_cost)
+        .ok_or_else(|| "fixed-point futures realized PnL overflow".to_string())?;
         self.quantity -= quantity;
         if self.quantity == 0 {
             self.avg_price = 0.0;
         }
         self.last_price = price;
-        self.transaction_cost += transaction_cost.max(0.0);
+        self.transaction_cost = self
+            .transaction_cost
+            .checked_add(transaction_cost)
+            .ok_or_else(|| "fixed-point futures transaction cost overflow".to_string())?;
         self.trade_quantity_delta -= quantity as i32;
-        self.trade_cost -= price * quantity as f64;
+        self.trade_value = self
+            .trade_value
+            .checked_sub(futures_money(
+                price * quantity as f64 * self.contract_multiplier,
+                "futures close trade value",
+            )?)
+            .ok_or_else(|| "fixed-point futures trade value overflow".to_string())?;
         Ok(realized)
     }
 
@@ -547,98 +650,163 @@ impl FuturesPosition {
 
     pub fn begin_trading_day(&mut self) {
         self.old_quantity = self.quantity;
+        self.day_start_quantity = self.quantity;
         self.prev_close = self.last_price;
-        self.transaction_cost = 0.0;
+        self.transaction_cost = FixedMoney::ZERO;
         self.trade_quantity_delta = 0;
-        self.trade_cost = 0.0;
+        self.trade_value = FixedMoney::ZERO;
     }
 
     pub fn settlement(&mut self, settlement_price: f64) -> f64 {
+        self.settlement_money(settlement_price).to_f64()
+    }
+
+    fn settlement_money(&mut self, settlement_price: f64) -> FixedMoney {
         self.mark_price(settlement_price);
-        let cash_delta = self.equity();
+        let cash_delta = self.equity_money();
         self.avg_price = self.last_price;
-        self.prev_close = self.last_price;
-        self.old_quantity = self.quantity;
         cash_delta
     }
 }
 
 #[derive(Debug, Clone)]
 pub struct FuturesAccountState {
-    starting_cash: f64,
+    starting_cash: FixedMoney,
-    total_cash: f64,
+    total_cash: FixedMoney,
-    frozen_cash: f64,
+    frozen_cash: FixedMoney,
+    closed_day_trading_pnl: FixedMoney,
+    closed_day_position_pnl: FixedMoney,
+    closed_day_transaction_cost: FixedMoney,
     positions: BTreeMap<(String, FuturesDirection), FuturesPosition>,
 }
 
 impl FuturesAccountState {
     pub fn new(total_cash: f64) -> Self {
+        let total_cash = futures_money_or_panic(total_cash, "futures starting cash");
         Self {
             starting_cash: total_cash,
             total_cash,
-            frozen_cash: 0.0,
+            frozen_cash: FixedMoney::ZERO,
+            closed_day_trading_pnl: FixedMoney::ZERO,
+            closed_day_position_pnl: FixedMoney::ZERO,
+            closed_day_transaction_cost: FixedMoney::ZERO,
             positions: BTreeMap::new(),
         }
     }
 
     pub fn starting_cash(&self) -> f64 {
-        self.starting_cash
+        self.starting_cash.to_f64()
     }
 
     pub fn total_cash(&self) -> f64 {
-        self.total_cash
+        self.total_cash.to_f64()
     }
 
     pub fn frozen_cash(&self) -> f64 {
-        self.frozen_cash
+        self.frozen_cash.to_f64()
     }
 
     pub fn cash(&self) -> f64 {
-        self.total_cash - self.margin() - self.frozen_cash
+        self.cash_money().to_f64()
+    }
+
+    fn cash_money(&self) -> FixedMoney {
+        self.total_cash
+            .checked_sub(self.margin_money())
+            .and_then(|cash| cash.checked_sub(self.frozen_cash))
+            .expect("fixed-point futures available cash overflow")
     }
 
     pub fn margin(&self) -> f64 {
-        self.positions.values().map(FuturesPosition::margin).sum()
+        self.margin_money().to_f64()
+    }
+
+    fn margin_money(&self) -> FixedMoney {
+        sum_futures_money(
+            self.positions.values().map(FuturesPosition::margin_money),
+            "futures account margin",
+        )
     }
 
     pub fn market_value(&self) -> f64 {
+        sum_futures_money(
             self.positions
                 .values()
-            .map(FuturesPosition::market_value)
+                .map(FuturesPosition::market_value_money),
-            .sum()
+            "futures account market value",
+        )
+        .to_f64()
     }
 
     pub fn position_equity(&self) -> f64 {
-        self.positions.values().map(FuturesPosition::equity).sum()
+        self.position_equity_money().to_f64()
+    }
+
+    fn position_equity_money(&self) -> FixedMoney {
+        sum_futures_money(
+            self.positions.values().map(FuturesPosition::equity_money),
+            "futures account position equity",
+        )
     }
 
     pub fn total_value(&self) -> f64 {
-        self.total_cash + self.position_equity()
+        self.total_cash
+            .checked_add(self.position_equity_money())
+            .expect("fixed-point futures total value overflow")
+            .to_f64()
     }
 
     pub fn daily_pnl(&self) -> f64 {
-        self.trading_pnl() + self.position_pnl() - self.transaction_cost()
+        self.trading_pnl_money()
+            .checked_add(self.position_pnl_money())
+            .and_then(|pnl| pnl.checked_sub(self.transaction_cost_money()))
+            .expect("fixed-point futures daily PnL overflow")
+            .to_f64()
     }
 
     pub fn trading_pnl(&self) -> f64 {
+        self.trading_pnl_money().to_f64()
+    }
+
+    fn trading_pnl_money(&self) -> FixedMoney {
+        sum_futures_money(
+            std::iter::once(self.closed_day_trading_pnl).chain(
                 self.positions
                     .values()
-            .map(FuturesPosition::trading_pnl)
+                    .map(FuturesPosition::trading_pnl_money),
-            .sum()
+            ),
+            "futures account trading PnL",
+        )
     }
 
     pub fn position_pnl(&self) -> f64 {
+        self.position_pnl_money().to_f64()
+    }
+
+    fn position_pnl_money(&self) -> FixedMoney {
+        sum_futures_money(
+            std::iter::once(self.closed_day_position_pnl).chain(
                 self.positions
                     .values()
-            .map(FuturesPosition::position_pnl)
+                    .map(FuturesPosition::position_pnl_money),
-            .sum()
+            ),
+            "futures account position PnL",
+        )
     }
 
     pub fn transaction_cost(&self) -> f64 {
+        self.transaction_cost_money().to_f64()
+    }
+
+    fn transaction_cost_money(&self) -> FixedMoney {
+        sum_futures_money(
+            std::iter::once(self.closed_day_transaction_cost).chain(
                 self.positions
                     .values()
-            .map(|position| position.transaction_cost)
+                    .map(|position| position.transaction_cost),
-            .sum()
+            ),
+            "futures account transaction cost",
+        )
     }
 
     pub fn positions(&self) -> &BTreeMap<(String, FuturesDirection), FuturesPosition> {
@@ -667,7 +835,13 @@ impl FuturesAccountState {
             .entry((symbol.clone(), direction))
             .or_insert_with(|| FuturesPosition::new(symbol, direction, spec, 0, price));
         position.open(quantity, price, transaction_cost);
-        self.total_cash -= transaction_cost.max(0.0);
+        self.total_cash = self
+            .total_cash
+            .checked_sub(futures_money_or_panic(
+                transaction_cost.max(0.0),
+                "futures open transaction cost",
+            ))
+            .expect("fixed-point futures cash overflow");
     }
 
     pub fn close(
@@ -702,12 +876,30 @@ impl FuturesAccountState {
             .positions
             .get_mut(&key)
             .ok_or_else(|| format!("missing futures position {symbol} {}", direction.as_str()))?;
-        let cash_delta = position.close_with_effect(quantity, price, transaction_cost, effect)?;
+        let cash_delta =
-        self.total_cash += cash_delta;
+            position.close_with_effect_money(quantity, price, transaction_cost, effect)?;
+        self.total_cash = self
+            .total_cash
+            .checked_add(cash_delta)
+            .ok_or_else(|| "fixed-point futures cash overflow".to_string())?;
         if position.quantity == 0 {
+            self.closed_day_trading_pnl = self
+                .closed_day_trading_pnl
+                .checked_add(position.trading_pnl_money())
+                .ok_or_else(|| "fixed-point closed futures trading PnL overflow".to_string())?;
+            self.closed_day_position_pnl = self
+                .closed_day_position_pnl
+                .checked_add(position.position_pnl_money())
+                .ok_or_else(|| "fixed-point closed futures position PnL overflow".to_string())?;
+            self.closed_day_transaction_cost = self
+                .closed_day_transaction_cost
+                .checked_add(position.transaction_cost)
+                .ok_or_else(|| {
+                    "fixed-point closed futures transaction cost overflow".to_string()
+                })?;
             self.positions.remove(&key);
         }
-        Ok(cash_delta)
+        Ok(cash_delta.to_f64())
     }
 
     pub fn execute_order(
@@ -782,7 +974,7 @@ impl FuturesAccountState {
                     intent.price,
                     intent.transaction_cost,
                 );
-                if projected.cash() < -1e-8 {
+                if projected.cash_money().raw() < 0 {
                     Err(format!(
                         "insufficient futures margin available_cash={:.2} required_margin_after={:.2}",
                         self.cash(),
@@ -797,7 +989,13 @@ impl FuturesAccountState {
                         intent.price,
                         intent.transaction_cost,
                     );
-                    Ok(-intent.transaction_cost.max(0.0))
+                    Ok(futures_money_or_panic(
+                        intent.transaction_cost.max(0.0),
+                        "futures open transaction cost",
+                    )
+                    .checked_neg()
+                    .expect("fixed-point futures open cash delta overflow")
+                    .to_f64())
                 }
             }
             FuturesPositionEffect::Close
@@ -822,8 +1020,16 @@ impl FuturesAccountState {
                     .position(&intent.symbol, intent.direction)
                     .map(|position| position.avg_price)
                     .unwrap_or(0.0);
-                let notional =
+                let notional = futures_money_or_panic(
-                    intent.price * intent.quantity as f64 * intent.spec.contract_multiplier;
+                    intent.price * intent.quantity as f64 * intent.spec.contract_multiplier,
+                    "futures fill notional",
+                )
+                .to_f64();
+                let transaction_cost = futures_money_or_panic(
+                    intent.transaction_cost.max(0.0),
+                    "futures fill transaction cost",
+                )
+                .to_f64();
                 report.fill_events.push(FillEvent {
                     date,
                     decision_date: None,
@@ -835,7 +1041,7 @@ impl FuturesAccountState {
                     quantity: intent.quantity,
                     price: intent.price,
                     gross_amount: notional,
-                    commission: intent.transaction_cost.max(0.0),
+                    commission: transaction_cost,
                     stamp_tax: 0.0,
                     transfer_fee: 0.0,
                     net_cash_flow: cash_delta,
@@ -1010,22 +1216,30 @@ impl FuturesAccountState {
     }
 
     pub fn begin_trading_day(&mut self) {
+        self.closed_day_trading_pnl = FixedMoney::ZERO;
+        self.closed_day_position_pnl = FixedMoney::ZERO;
+        self.closed_day_transaction_cost = FixedMoney::ZERO;
         for position in self.positions.values_mut() {
             position.begin_trading_day();
         }
     }
 
     pub fn settle(&mut self, settlement_prices: &BTreeMap<String, f64>) -> f64 {
-        let mut cash_delta = 0.0;
+        let mut cash_delta = FixedMoney::ZERO;
         for position in self.positions.values_mut() {
             let price = settlement_prices
                 .get(&position.symbol)
                 .copied()
                 .unwrap_or(position.last_price);
-            cash_delta += position.settlement(price);
+            cash_delta = cash_delta
+                .checked_add(position.settlement_money(price))
+                .expect("fixed-point futures settlement overflow");
         }
-        self.total_cash += cash_delta;
+        self.total_cash = self
-        cash_delta
+            .total_cash
+            .checked_add(cash_delta)
+            .expect("fixed-point futures cash settlement overflow");
+        cash_delta.to_f64()
     }
 }
 

crates/fidc-core/tests/futures_account.rs

@@ -208,3 +208,134 @@ fn futures_expiration_settlement_closes_all_contract_directions() {
     );
     assert!((account.total_cash() - 1_003_000.0).abs() < 1e-6);
 }
+
+#[test]
+fn futures_full_close_preserves_closed_position_daily_metrics() {
+    let spec = FuturesContractSpec::new(10.0, 0.1, 0.1);
+    let mut account = FuturesAccountState::new(100_000.0);
+    account.open("IF2506.CCFX", FuturesDirection::Long, spec, 1, 100.0, 1.0);
+    account.begin_trading_day();
+
+    let realized = account
+        .close("IF2506.CCFX", FuturesDirection::Long, 1, 110.0, 2.0)
+        .expect("close overnight position");
+
+    assert!(account.positions().is_empty());
+    assert!((realized - 98.0).abs() < 1e-12);
+    assert!((account.position_pnl() - 100.0).abs() < 1e-12);
+    assert!(account.trading_pnl().abs() < 1e-12);
+    assert!((account.transaction_cost() - 2.0).abs() < 1e-12);
+    assert!((account.daily_pnl() - 98.0).abs() < 1e-12);
+    assert!((account.total_cash() - 100_097.0).abs() < 1e-12);
+
+    account.begin_trading_day();
+    assert!(account.daily_pnl().abs() < 1e-12);
+    assert!(account.transaction_cost().abs() < 1e-12);
+}
+
+#[test]
+fn futures_intraday_roundtrip_preserves_closed_trading_pnl() {
+    let spec = FuturesContractSpec::new(10.0, 0.1, 0.1);
+    let mut account = FuturesAccountState::new(100_000.0);
+    account.begin_trading_day();
+    account.open("IF2506.CCFX", FuturesDirection::Long, spec, 1, 100.0, 1.0);
+    account
+        .close("IF2506.CCFX", FuturesDirection::Long, 1, 110.0, 2.0)
+        .expect("close intraday position");
+
+    assert!(account.positions().is_empty());
+    assert!((account.trading_pnl() - 100.0).abs() < 1e-12);
+    assert!(account.position_pnl().abs() < 1e-12);
+    assert!((account.transaction_cost() - 3.0).abs() < 1e-12);
+    assert!((account.daily_pnl() - 97.0).abs() < 1e-12);
+    assert!((account.total_cash() - 100_097.0).abs() < 1e-12);
+}
+
+#[test]
+fn futures_partial_close_offsets_later_mark_with_trading_pnl() {
+    let spec = FuturesContractSpec::new(10.0, 0.1, 0.1);
+    let mut account = FuturesAccountState::new(100_000.0);
+    account.open("IF2506.CCFX", FuturesDirection::Long, spec, 2, 100.0, 0.0);
+    account.begin_trading_day();
+    account
+        .close("IF2506.CCFX", FuturesDirection::Long, 1, 110.0, 0.0)
+        .expect("partially close overnight position");
+    account.mark_price("IF2506.CCFX", FuturesDirection::Long, 120.0);
+
+    assert!((account.position_pnl() - 400.0).abs() < 1e-12);
+    assert!((account.trading_pnl() + 100.0).abs() < 1e-12);
+    assert!((account.daily_pnl() - 300.0).abs() < 1e-12);
+    assert!((account.total_value() - 100_300.0).abs() < 1e-12);
+}
+
+#[test]
+fn futures_settlement_keeps_same_day_pnl_visible_until_next_day() {
+    let spec = FuturesContractSpec::new(10.0, 0.1, 0.1);
+    let mut account = FuturesAccountState::new(100_000.0);
+    account.open("IF2506.CCFX", FuturesDirection::Long, spec, 1, 100.0, 0.0);
+    account.begin_trading_day();
+    account.mark_price("IF2506.CCFX", FuturesDirection::Long, 110.0);
+
+    let settled = account.settle(&BTreeMap::from([("IF2506.CCFX".to_string(), 110.0)]));
+
+    assert!((settled - 100.0).abs() < 1e-12);
+    assert!((account.daily_pnl() - 100.0).abs() < 1e-12);
+    assert!((account.total_cash() - 100_100.0).abs() < 1e-12);
+    assert!((account.total_value() - 100_100.0).abs() < 1e-12);
+
+    account.begin_trading_day();
+    assert!(account.daily_pnl().abs() < 1e-12);
+}
+
+#[test]
+fn futures_cash_and_closed_cost_accumulate_micro_yuan_exactly() {
+    let spec = FuturesContractSpec::new(1.0, 0.0, 0.0);
+    let mut account = FuturesAccountState::new(1_000_000.0);
+    account.begin_trading_day();
+    for _ in 0..10_000 {
+        account.open(
+            "IF2506.CCFX",
+            FuturesDirection::Long,
+            spec,
+            1,
+            100.0,
+            0.000001,
+        );
+        account
+            .close("IF2506.CCFX", FuturesDirection::Long, 1, 100.0, 0.000001)
+            .expect("close micro-cost position");
+    }
+
+    assert!((account.total_cash() - 999_999.98).abs() < 1e-12);
+    assert!((account.transaction_cost() - 0.02).abs() < 1e-12);
+    assert!((account.daily_pnl() + 0.02).abs() < 1e-12);
+}
+
+#[test]
+fn futures_margin_gate_and_fill_cash_use_exact_micro_yuan() {
+    let date = d(2025, 1, 2);
+    let spec = FuturesContractSpec::new(1.0, 1.0, 1.0);
+    let intent = FuturesOrderIntent::open(
+        "IF2506.CCFX",
+        FuturesDirection::Long,
+        spec,
+        1,
+        100.0,
+        0.000001,
+        "micro margin boundary",
+    );
+
+    let mut insufficient = FuturesAccountState::new(100.0);
+    let rejected = insufficient.execute_order(date, Some(1), intent.clone());
+    assert_eq!(rejected.order_events[0].status, OrderStatus::Rejected);
+    assert!((insufficient.total_cash() - 100.0).abs() < 1e-12);
+
+    let mut exact = FuturesAccountState::new(100.000001);
+    let filled = exact.execute_order(date, Some(2), intent);
+    assert_eq!(filled.order_events[0].status, OrderStatus::Filled);
+    assert_eq!(filled.fill_events.len(), 1);
+    assert!((filled.fill_events[0].gross_amount - 100.0).abs() < 1e-12);
+    assert!((filled.fill_events[0].commission - 0.000001).abs() < 1e-12);
+    assert!((filled.fill_events[0].net_cash_flow + 0.000001).abs() < 1e-12);
+    assert!(exact.cash().abs() < 1e-12);
+}