test: assert causal TWAP entitlement and unfilled remainder

2026-09-11 17:11:53 +08:00
parent 2445dc925a
commit a00dea58b2
1 changed files with 4 additions and 3 deletions
@@ -3080,23 +3080,24 @@ fn broker_executes_algo_twap_percent_across_window_quotes() {
        )
        .expect("broker execution");

-    assert_eq!(report.fill_events.len(), 3);
+    assert_eq!(report.fill_events.len(), 2);
    assert_eq!(
        report
            .fill_events
            .iter()
            .map(|fill| fill.quantity)
            .sum::<u32>(),
-        300
+        200
    );
    assert!(report.fill_events.iter().all(|fill| fill.quantity == 100));
+    assert!(report.fill_events.iter().all(|fill| fill.execution_timestamp.is_some_and(|at| at >= date.and_hms_opt(10, 15, 0).unwrap())));
    assert_eq!(
        report
            .process_events
            .iter()
            .filter(|event| event.kind == ProcessEventKind::Trade)
            .count(),
-        3
+        2
    );
 }