Align order costs and rebalance priority with rqalpha

This commit is contained in:
boris
2026-04-22 23:36:20 -07:00
parent c85116c59d
commit ea2871a0f2
6 changed files with 436 additions and 36 deletions

View File

@@ -6,7 +6,7 @@ use crate::broker::{BrokerExecutionReport, BrokerSimulator};
use crate::cost::CostModel;
use crate::data::{BenchmarkSnapshot, DataSet, DataSetError, PriceField};
use crate::events::{AccountEvent, FillEvent, OrderEvent, OrderSide, OrderStatus, PositionEvent};
use crate::metrics::{compute_backtest_metrics, BacktestMetrics};
use crate::metrics::{BacktestMetrics, compute_backtest_metrics};
use crate::portfolio::{CashReceivable, HoldingSummary, PortfolioState};
use crate::rules::EquityRuleHooks;
use crate::strategy::{Strategy, StrategyContext};
@@ -574,6 +574,7 @@ where
notes.push(reason.clone());
report.order_events.push(OrderEvent {
date,
order_id: None,
symbol: symbol.clone(),
side: OrderSide::Sell,
requested_quantity: quantity,
@@ -583,6 +584,7 @@ where
});
report.fill_events.push(FillEvent {
date,
order_id: None,
symbol: symbol.clone(),
side: OrderSide::Sell,
quantity,