merge: integrate causal capacity model with current order clocks and intent planning

crates/fidc-core/src/engine.rs

@@ -122,6 +122,7 @@ impl DailyEquityPoint {
 
 #[derive(Debug, Clone)]
 pub struct BacktestResult {
+    pub capacity_audit: crate::execution_capacity::CapacityAuditSummary,
     pub strategy_name: String,
     pub equity_curve: Vec<DailyEquityPoint>,
     pub benchmark_series: Vec<BenchmarkSnapshot>,
@@ -280,6 +281,7 @@ pub struct AnalyzerRiskSummary {
 
 #[derive(Debug, Clone, Serialize)]
 pub struct AnalyzerReport {
+    pub capacity_audit: crate::execution_capacity::CapacityAuditSummary,
     pub strategy_name: String,
     pub trades: Vec<AnalyzerTradeRow>,
     pub positions: Vec<AnalyzerPositionRow>,
@@ -294,6 +296,7 @@ pub struct AnalyzerReport {
 impl BacktestResult {
     pub fn analyzer_report(&self) -> AnalyzerReport {
         AnalyzerReport {
+            capacity_audit: self.capacity_audit.clone(),
             strategy_name: self.strategy_name.clone(),
             trades: self
                 .fills
@@ -2102,6 +2105,7 @@ where
             .map(|(execution_date, _)| *execution_date)
             .collect::<Vec<_>>();
         let mut result = BacktestResult {
+            capacity_audit: self.broker.capacity_audit_summary(),
             strategy_name: self.strategy.name().to_string(),
             benchmark_series: self
                 .data
@@ -3423,6 +3427,16 @@ where
                 execution_date,
             );
             let daily_fill_count = result.fills.len() - day_fill_start;
+            for audit in self.broker.audit_completed_session_capacity(execution_date, &self.data)? {
+                result.capacity_audit.observe(&audit);
+                // Keep every audit in the durable event store, independent of
+                // debug phase retention. It never changes earlier executions.
+                result.process_events.push(ProcessEvent {
+                    date: execution_date, kind: ProcessEventKind::SessionCapacityAudit,
+                    order_id: None, symbol: Some(audit.symbol.clone()), side: None,
+                    detail: serde_json::to_string(&audit).map_err(|error| BacktestError::Execution(error.to_string()))?,
+                });
+            }
             let daily_order_count = result.order_events.len() - day_order_start;
             let execution_risk_decisions =
                 risk_decisions_from_order_events(&result.order_events[day_order_start..]);
@@ -7038,6 +7052,7 @@ mod tests {
         let third = d(2025, 1, 6);
         let fourth = d(2025, 1, 7);
         let broker = scheduled_next_open_broker(FidcRiskControlConfig::default())
+            .with_volume_capacity_mode(crate::execution_capacity::VolumeCapacityMode::SessionCapacityAudit)
             .with_volume_limit(true)
             .with_volume_percent(0.25);
         let result = run_scheduled_round_trip_next_open_with_dataset_and_broker(
@@ -7065,12 +7080,13 @@ mod tests {
     }
 
     #[test]
-    fn next_bar_open_sell_volume_limit_rejects_execution_day_zero_volume() {
+    fn next_bar_open_session_audit_flags_zero_volume_without_rewriting_fills() {
         let first = d(2025, 1, 2);
         let second = d(2025, 1, 3);
         let third = d(2025, 1, 6);
         let fourth = d(2025, 1, 7);
         let broker = scheduled_next_open_broker(FidcRiskControlConfig::default())
+            .with_volume_capacity_mode(crate::execution_capacity::VolumeCapacityMode::SessionCapacityAudit)
             .with_volume_limit(true)
             .with_volume_percent(0.25);
         let result = run_scheduled_round_trip_next_open_with_dataset_and_broker(
@@ -7091,7 +7107,10 @@ mod tests {
             broker,
         );
 
-        assert_round_trip_sell_canceled_with_reason(&result, "daily volume limit");
+        assert!(result.fills.iter().any(|fill| fill.side == OrderSide::Sell && fill.date == fourth));
+        assert_eq!(result.capacity_audit.audit_passed, Some(false));
+        assert_eq!(result.capacity_audit.failed_symbol_sessions, 1);
+        assert!(result.process_events.iter().any(|event| event.kind == crate::ProcessEventKind::SessionCapacityAudit));
     }
 
     #[test]