Emit rebalance clipping diagnostics

crates/fidc-core/src/broker.rs

@@ -16,6 +16,7 @@ pub struct BrokerExecutionReport {
     pub fill_events: Vec<FillEvent>,
     pub position_events: Vec<PositionEvent>,
     pub account_events: Vec<AccountEvent>,
+    pub diagnostics: Vec<String>,
 }
 
 #[derive(Debug, Clone, Copy)]
@@ -294,11 +295,12 @@ where
             return Ok(report);
         }
 
-        let target_quantities = if decision.rebalance {
+        let (target_quantities, rebalance_diagnostics) = if decision.rebalance {
             self.target_quantities(date, portfolio, data, &decision.target_weights)?
         } else {
-            BTreeMap::new()
+            (BTreeMap::new(), Vec::new())
         };
+        report.diagnostics.extend(rebalance_diagnostics);
 
         let mut sell_symbols = BTreeSet::new();
         sell_symbols.extend(portfolio.positions().keys().cloned());
@@ -437,10 +439,11 @@ where
         portfolio: &PortfolioState,
         data: &DataSet,
         target_weights: &BTreeMap<String, f64>,
-    ) -> Result<BTreeMap<String, u32>, BacktestError> {
+    ) -> Result<(BTreeMap<String, u32>, Vec<String>), BacktestError> {
         let equity = self.total_equity_at(date, portfolio, data, self.execution_price_field)?;
         let target_weight_sum = target_weights.values().copied().sum::<f64>();
         let mut desired_targets = BTreeMap::new();
+        let mut diagnostics = Vec::new();
         for (symbol, weight) in target_weights {
             let price = data
                 .price(date, symbol, self.execution_price_field)
@@ -500,6 +503,12 @@ where
                 order_step_size,
             );
             let provisional_target_qty = desired_qty.clamp(min_target_qty, max_target_qty);
+            if provisional_target_qty != desired_qty && diagnostics.len() < 16 {
+                diagnostics.push(format!(
+                    "rebalance_target_clipped symbol={} desired={} min={} max={} provisional={}",
+                    symbol, desired_qty, min_target_qty, max_target_qty, provisional_target_qty
+                ));
+            }
             if current_qty > provisional_target_qty {
                 projected_cash += self.estimated_sell_net_cash(
                     date,
@@ -535,12 +544,13 @@ where
             .filter(|constraint| constraint.provisional_target_qty > constraint.current_qty)
             .collect::<Vec<_>>();
         if buy_constraints.is_empty() {
-            return Ok(targets);
+            return Ok((targets, diagnostics));
         }
 
         let mut best_targets = targets.clone();
         let mut best_proportion_diff = f64::INFINITY;
-        let mut safety = if target_weight_sum > 0.95 { 1.2 } else { 1.0 };
+        let initial_safety = if target_weight_sum > 0.95 { 1.2 } else { 1.0 };
+        let mut safety = initial_safety;
         loop {
             let mut candidate_targets = targets.clone();
             let mut buy_cash_out = 0.0;
@@ -604,7 +614,30 @@ where
             safety = next_safety;
         }
 
-        Ok(best_targets)
+        if safety < initial_safety && diagnostics.len() < 16 {
+            diagnostics.push(format!(
+                "rebalance_safety_scaled final_safety={:.4} target_weight_sum={:.4} projected_cash={:.2}",
+                safety, target_weight_sum, projected_cash
+            ));
+        }
+
+        for constraint in &buy_constraints {
+            let final_target_qty = best_targets
+                .get(&constraint.symbol)
+                .copied()
+                .unwrap_or(constraint.current_qty);
+            if final_target_qty < constraint.provisional_target_qty && diagnostics.len() < 16 {
+                diagnostics.push(format!(
+                    "rebalance_buy_reduced symbol={} provisional={} final={} current={}",
+                    constraint.symbol,
+                    constraint.provisional_target_qty,
+                    final_target_qty,
+                    constraint.current_qty
+                ));
+            }
+        }
+
+        Ok((best_targets, diagnostics))
     }
 
     fn minimum_target_quantity(