修正回测部分成交终态合同

2026-08-26 18:28:19 +08:00
parent 8303a6477b
commit bc0f5f6089
3 changed files with 103 additions and 37 deletions
@@ -106,6 +106,49 @@ pub struct OrderEvent {
    pub reason: String,
 }

+impl OrderEvent {
+    pub fn validate(&self) -> Result<(), String> {
+        if self.symbol.trim().is_empty() || self.requested_quantity == 0 {
+            return Err(format!(
+                "invalid order identity/quantity order_id={:?} symbol={} requested={}",
+                self.order_id, self.symbol, self.requested_quantity
+            ));
+        }
+        if self.filled_quantity > self.requested_quantity {
+            return Err(format!(
+                "order overfill order_id={:?} requested={} filled={}",
+                self.order_id, self.requested_quantity, self.filled_quantity
+            ));
+        }
+        let quantity_valid = match self.status {
+            OrderStatus::Pending => self.filled_quantity < self.requested_quantity,
+            OrderStatus::Filled => self.filled_quantity == self.requested_quantity,
+            OrderStatus::PartiallyFilled => {
+                self.filled_quantity > 0 && self.filled_quantity < self.requested_quantity
+            }
+            OrderStatus::Canceled => self.filled_quantity < self.requested_quantity,
+            OrderStatus::Rejected => self.filled_quantity == 0,
+        };
+        if !quantity_valid {
+            return Err(format!(
+                "order status/quantity mismatch order_id={:?} status={} requested={} filled={}",
+                self.order_id,
+                self.status.as_str(),
+                self.requested_quantity,
+                self.filled_quantity
+            ));
+        }
+        if self.reason.trim().is_empty() {
+            return Err(format!(
+                "order reason is empty order_id={:?} status={}",
+                self.order_id,
+                self.status.as_str()
+            ));
+        }
+        Ok(())
+    }
+}
+
 #[derive(Debug, Clone, Serialize, Deserialize)]
 pub struct FillEvent {
    #[serde(with = "date_format")]
@@ -250,3 +293,44 @@ pub struct ProcessEvent {
    pub side: Option<OrderSide>,
    pub detail: String,
 }
+
+#[cfg(test)]
+mod tests {
+    use chrono::NaiveDate;
+
+    use super::{OrderEvent, OrderSide, OrderStatus};
+
+    fn order_event(status: OrderStatus, filled_quantity: u32) -> OrderEvent {
+        OrderEvent {
+            date: NaiveDate::from_ymd_opt(2025, 1, 2).unwrap(),
+            decision_date: None,
+            order_created_date: None,
+            execution_date: None,
+            order_id: Some(1),
+            symbol: "600000.SH".to_string(),
+            side: OrderSide::Buy,
+            requested_quantity: 100,
+            filled_quantity,
+            status,
+            reason: "test".to_string(),
+        }
+    }
+
+    #[test]
+    fn order_event_status_quantity_contract_is_explicit() {
+        assert!(order_event(OrderStatus::Pending, 0).validate().is_ok());
+        assert!(
+            order_event(OrderStatus::PartiallyFilled, 40)
+                .validate()
+                .is_ok()
+        );
+        assert!(order_event(OrderStatus::Filled, 100).validate().is_ok());
+        assert!(order_event(OrderStatus::Canceled, 40).validate().is_ok());
+        assert!(order_event(OrderStatus::Rejected, 0).validate().is_ok());
+
+        assert!(order_event(OrderStatus::PartiallyFilled, 0).validate().is_err());
+        assert!(order_event(OrderStatus::Filled, 99).validate().is_err());
+        assert!(order_event(OrderStatus::Canceled, 100).validate().is_err());
+        assert!(order_event(OrderStatus::Rejected, 1).validate().is_err());
+    }
+}