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修正显式订单测试成交量口径

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boris
2026-07-06 08:19:21 +08:00
parent 7c867f1788
commit afb531da59
1 changed files with 21 additions and 21 deletions
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crates/fidc-core/tests/explicit_order_flow.rs
+21 -21
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@@ -265,7 +265,7 @@ fn broker_executes_explicit_order_value_buy() {
ask1: 10.01, ask1: 10.01,
bid1_volume: 1, bid1_volume: 1,
ask1_volume: 1, ask1_volume: 1,
volume_delta: 1, volume_delta: 400,
amount_delta: 0.0, amount_delta: 0.0,
trading_phase: Some("continuous".to_string()), trading_phase: Some("continuous".to_string()),
}], }],
@@ -551,7 +551,7 @@ fn broker_executes_order_shares_and_order_lots() {
ask1: 10.01, ask1: 10.01,
bid1_volume: 1, bid1_volume: 1,
ask1_volume: 1, ask1_volume: 1,
volume_delta: 1, volume_delta: 400,
amount_delta: 0.0, amount_delta: 0.0,
trading_phase: Some("continuous".to_string()), trading_phase: Some("continuous".to_string()),
}], }],
@@ -985,7 +985,7 @@ fn broker_executes_target_portfolio_smart_with_algo_order_style() {
bid1: 9.99, bid1: 9.99,
ask1_volume: 1, ask1_volume: 1,
bid1_volume: 1, bid1_volume: 1,
volume_delta: 1, volume_delta: 400,
amount_delta: 0.0, amount_delta: 0.0,
trading_phase: Some("continuous".to_string()), trading_phase: Some("continuous".to_string()),
}, },
@@ -998,7 +998,7 @@ fn broker_executes_target_portfolio_smart_with_algo_order_style() {
bid1: 10.19, bid1: 10.19,
ask1_volume: 1, ask1_volume: 1,
bid1_volume: 1, bid1_volume: 1,
volume_delta: 1, volume_delta: 400,
amount_delta: 0.0, amount_delta: 0.0,
trading_phase: Some("continuous".to_string()), trading_phase: Some("continuous".to_string()),
}, },
@@ -1784,7 +1784,7 @@ fn broker_applies_tick_size_slippage_on_intraday_last_fills() {
ask1: 10.01, ask1: 10.01,
bid1_volume: 1, bid1_volume: 1,
ask1_volume: 1, ask1_volume: 1,
volume_delta: 1, volume_delta: 400,
amount_delta: 0.0, amount_delta: 0.0,
trading_phase: Some("continuous".to_string()), trading_phase: Some("continuous".to_string()),
}], }],
@@ -1937,7 +1937,7 @@ fn broker_rejects_intraday_last_order_without_execution_quotes() {
} }
#[test] #[test]
fn broker_executes_intraday_last_on_start_quote_without_trade_delta() { fn broker_executes_intraday_last_on_start_quote_with_trade_delta() {
let date = NaiveDate::from_ymd_opt(2024, 1, 10).unwrap(); let date = NaiveDate::from_ymd_opt(2024, 1, 10).unwrap();
let data = DataSet::from_components_with_actions_and_quotes( let data = DataSet::from_components_with_actions_and_quotes(
vec![Instrument { vec![Instrument {
@@ -2013,7 +2013,7 @@ fn broker_executes_intraday_last_on_start_quote_without_trade_delta() {
ask1: 15.21, ask1: 15.21,
bid1_volume: 8, bid1_volume: 8,
ask1_volume: 8, ask1_volume: 8,
volume_delta: 0, volume_delta: 800,
amount_delta: 0.0, amount_delta: 0.0,
trading_phase: Some("continuous".to_string()), trading_phase: Some("continuous".to_string()),
}], }],
@@ -2131,7 +2131,7 @@ fn broker_cancels_market_order_remainder_when_intraday_quote_liquidity_exhausted
ask1: 10.03, ask1: 10.03,
bid1_volume: 2, bid1_volume: 2,
ask1_volume: 2, ask1_volume: 2,
volume_delta: 1, volume_delta: 800,
amount_delta: 0.0, amount_delta: 0.0,
trading_phase: Some("continuous".to_string()), trading_phase: Some("continuous".to_string()),
}], }],
@@ -2368,7 +2368,7 @@ fn broker_splits_intraday_quote_fills_and_tracks_commission_by_order() {
ask1: 10.02, ask1: 10.02,
bid1_volume: 1, bid1_volume: 1,
ask1_volume: 1, ask1_volume: 1,
volume_delta: 1, volume_delta: 400,
amount_delta: 0.0, amount_delta: 0.0,
trading_phase: Some("continuous".to_string()), trading_phase: Some("continuous".to_string()),
}, },
@@ -2381,7 +2381,7 @@ fn broker_splits_intraday_quote_fills_and_tracks_commission_by_order() {
ask1: 10.04, ask1: 10.04,
bid1_volume: 1, bid1_volume: 1,
ask1_volume: 1, ask1_volume: 1,
volume_delta: 1, volume_delta: 400,
amount_delta: 0.0, amount_delta: 0.0,
trading_phase: Some("continuous".to_string()), trading_phase: Some("continuous".to_string()),
}, },
@@ -2531,7 +2531,7 @@ fn broker_aggregates_intraday_quote_fills_into_vwap_leg() {
ask1: 10.02, ask1: 10.02,
bid1_volume: 1, bid1_volume: 1,
ask1_volume: 1, ask1_volume: 1,
volume_delta: 1, volume_delta: 400,
amount_delta: 0.0, amount_delta: 0.0,
trading_phase: Some("continuous".to_string()), trading_phase: Some("continuous".to_string()),
}, },
@@ -2544,7 +2544,7 @@ fn broker_aggregates_intraday_quote_fills_into_vwap_leg() {
ask1: 10.04, ask1: 10.04,
bid1_volume: 1, bid1_volume: 1,
ask1_volume: 1, ask1_volume: 1,
volume_delta: 1, volume_delta: 400,
amount_delta: 0.0, amount_delta: 0.0,
trading_phase: Some("continuous".to_string()), trading_phase: Some("continuous".to_string()),
}, },
@@ -2678,7 +2678,7 @@ fn broker_executes_algo_vwap_value_with_time_window() {
ask1: 9.99, ask1: 9.99,
bid1_volume: 1, bid1_volume: 1,
ask1_volume: 1, ask1_volume: 1,
volume_delta: 1, volume_delta: 400,
amount_delta: 0.0, amount_delta: 0.0,
trading_phase: Some("continuous".to_string()), trading_phase: Some("continuous".to_string()),
}, },
@@ -2691,7 +2691,7 @@ fn broker_executes_algo_vwap_value_with_time_window() {
ask1: 10.02, ask1: 10.02,
bid1_volume: 1, bid1_volume: 1,
ask1_volume: 1, ask1_volume: 1,
volume_delta: 1, volume_delta: 400,
amount_delta: 0.0, amount_delta: 0.0,
trading_phase: Some("continuous".to_string()), trading_phase: Some("continuous".to_string()),
}, },
@@ -2704,7 +2704,7 @@ fn broker_executes_algo_vwap_value_with_time_window() {
ask1: 10.04, ask1: 10.04,
bid1_volume: 1, bid1_volume: 1,
ask1_volume: 1, ask1_volume: 1,
volume_delta: 1, volume_delta: 400,
amount_delta: 0.0, amount_delta: 0.0,
trading_phase: Some("continuous".to_string()), trading_phase: Some("continuous".to_string()),
}, },
@@ -2717,7 +2717,7 @@ fn broker_executes_algo_vwap_value_with_time_window() {
ask1: 10.11, ask1: 10.11,
bid1_volume: 1, bid1_volume: 1,
ask1_volume: 1, ask1_volume: 1,
volume_delta: 1, volume_delta: 400,
amount_delta: 0.0, amount_delta: 0.0,
trading_phase: Some("continuous".to_string()), trading_phase: Some("continuous".to_string()),
}, },
@@ -2838,7 +2838,7 @@ fn broker_executes_algo_twap_percent_across_window_quotes() {
ask1: 12.01, ask1: 12.01,
bid1_volume: 1, bid1_volume: 1,
ask1_volume: 1, ask1_volume: 1,
volume_delta: 1, volume_delta: 400,
amount_delta: 0.0, amount_delta: 0.0,
trading_phase: Some("continuous".to_string()), trading_phase: Some("continuous".to_string()),
}, },
@@ -2851,7 +2851,7 @@ fn broker_executes_algo_twap_percent_across_window_quotes() {
ask1: 12.04, ask1: 12.04,
bid1_volume: 1, bid1_volume: 1,
ask1_volume: 1, ask1_volume: 1,
volume_delta: 1, volume_delta: 400,
amount_delta: 0.0, amount_delta: 0.0,
trading_phase: Some("continuous".to_string()), trading_phase: Some("continuous".to_string()),
}, },
@@ -2864,7 +2864,7 @@ fn broker_executes_algo_twap_percent_across_window_quotes() {
ask1: 12.07, ask1: 12.07,
bid1_volume: 1, bid1_volume: 1,
ask1_volume: 1, ask1_volume: 1,
volume_delta: 1, volume_delta: 400,
amount_delta: 0.0, amount_delta: 0.0,
trading_phase: Some("continuous".to_string()), trading_phase: Some("continuous".to_string()),
}, },
@@ -2999,7 +2999,7 @@ fn broker_uses_best_own_price_for_intraday_matching() {
ask1: 10.02, ask1: 10.02,
bid1_volume: 1, bid1_volume: 1,
ask1_volume: 1, ask1_volume: 1,
volume_delta: 1, volume_delta: 400,
amount_delta: 0.0, amount_delta: 0.0,
trading_phase: Some("continuous".to_string()), trading_phase: Some("continuous".to_string()),
}], }],
@@ -3116,7 +3116,7 @@ fn broker_uses_best_counterparty_price_for_intraday_matching() {
ask1: 10.02, ask1: 10.02,
bid1_volume: 1, bid1_volume: 1,
ask1_volume: 1, ask1_volume: 1,
volume_delta: 1, volume_delta: 400,
amount_delta: 0.0, amount_delta: 0.0,
trading_phase: Some("continuous".to_string()), trading_phase: Some("continuous".to_string()),
}], }],