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Tighten market order residual fill semantics

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boris
2026-04-21 08:12:21 -07:00
parent 3652f80d85
commit c67932a2c9
2 changed files with 0 additions and 104 deletions
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29
crates/fidc-core/src/strategy.rs
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@@ -820,7 +820,6 @@ impl JqMicroCapStrategy {
let mut filled_qty = 0_u32;
let mut gross_amount = 0.0_f64;
let mut last_timestamp = None;
let mut last_quote_price = None;
for quote in quotes {
if start_cursor.is_some_and(|cursor| quote.timestamp < cursor) {
@@ -838,7 +837,6 @@ impl JqMicroCapStrategy {
OrderSide::Sell => quote.sell_price(),
};
if fallback_quote_price.is_some() {
last_quote_price = fallback_quote_price;
last_timestamp = Some(quote.timestamp);
}
@@ -893,33 +891,6 @@ impl JqMicroCapStrategy {
}
}
if filled_qty < requested_qty {
let remaining_qty = requested_qty.saturating_sub(filled_qty);
let mut residual_qty = self.round_lot_quantity(remaining_qty, lot);
if residual_qty > 0 {
if let Some(residual_price) = last_quote_price {
if let Some(cash) = cash_limit {
while residual_qty > 0 {
let candidate_gross =
gross_amount + residual_price * residual_qty as f64;
if gross_limit.is_some_and(|limit| candidate_gross > limit + 1e-6) {
residual_qty = residual_qty.saturating_sub(lot);
continue;
}
if candidate_gross <= cash + 1e-6 {
break;
}
residual_qty = residual_qty.saturating_sub(lot);
}
}
if residual_qty > 0 {
gross_amount += residual_price * residual_qty as f64;
filled_qty += residual_qty;
}
}
}
}
if filled_qty == 0 {
return None;
}