fix(backtest): keep next-open limit remainders active on the execution day

crates/fidc-core/src/broker.rs

@@ -205,6 +205,7 @@ struct OpenOrder {
     decision_date: Option<NaiveDate>,
     order_created_date: Option<NaiveDate>,
     submission_time: Option<NaiveTime>,
+    accepted_date: NaiveDate,
     symbol: String,
     side: OrderSide,
     requested_quantity: u32,
@@ -221,6 +222,7 @@ struct OpenOrder {
 struct RestingOrderOrigin {
     created_date: Option<NaiveDate>,
     submission_time: Option<NaiveTime>,
+    accepted_date: NaiveDate,
 }
 
 #[derive(Debug, Default)]
@@ -646,11 +648,21 @@ impl<C, R> BrokerSimulator<C, R> {
             .or(self.intraday_execution_start_time)
     }
 
-    fn order_origin(&self) -> RestingOrderOrigin {
-        self.runtime_resting_order_origin.get().unwrap_or(RestingOrderOrigin {
-            created_date: self.runtime_order_created_date.get(),
-            submission_time: self.submission_time(),
-        })
+    fn order_origin(&self) -> (Option<NaiveDate>, Option<NaiveTime>) {
+        self.runtime_resting_order_origin.get().map_or(
+            (self.runtime_order_created_date.get(), self.submission_time()),
+            |origin| (origin.created_date, origin.submission_time),
+        )
+    }
+
+    fn accepted_order_date(&self, date: NaiveDate) -> NaiveDate {
+        self.runtime_resting_order_origin.get().map_or(date, |origin| origin.accepted_date)
+    }
+
+    fn resting_daily_open_order(&self) -> bool {
+        self.runtime_resting_order_origin.get().is_some()
+            && self.runtime_intraday_start_time.get().is_some()
+            && self.matching_type == MatchingType::NextBarOpen
     }
 
     fn execution_phase_for_submission(
@@ -681,8 +693,8 @@ impl<C, R> BrokerSimulator<C, R> {
         let origin = self.order_origin();
         self.execution_phase_for_submission(
             date,
-            origin.created_date,
-            origin.submission_time,
+            origin.0,
+            origin.1,
         )
     }
 
@@ -693,6 +705,8 @@ impl<C, R> BrokerSimulator<C, R> {
     fn effective_execution_price_field(&self, date: NaiveDate) -> PriceField {
         if self.is_post_close_fixed_price(date) {
             PriceField::Close
+        } else if self.resting_daily_open_order() {
+            PriceField::Last
         } else {
             self.execution_price_field
         }
@@ -705,8 +719,8 @@ impl<C, R> BrokerSimulator<C, R> {
         let origin = self.order_origin();
         self.post_close_execution_quote_window_for_submission(
             date,
-            origin.created_date,
-            origin.submission_time,
+            origin.0,
+            origin.1,
         )
         .map(|(start, end)| (date.and_time(start), date.and_time(end)))
     }
@@ -1389,6 +1403,7 @@ where
         match algo_request.map(|request| request.style) {
             Some(AlgoExecutionStyle::Vwap) => MatchingType::Vwap,
             Some(AlgoExecutionStyle::Twap) => MatchingType::Twap,
+            None if self.resting_daily_open_order() => MatchingType::CurrentBarClose,
             None => self.matching_type,
         }
     }
@@ -2420,7 +2435,7 @@ where
     }
 
     fn current_order_created_date(&self, date: NaiveDate) -> NaiveDate {
-        self.order_origin().created_date.unwrap_or(date)
+        self.order_origin().0.unwrap_or(date)
     }
 
     fn annotate_report_range(
@@ -2572,10 +2587,15 @@ where
             std::mem::take(&mut *open_orders)
         };
         for order in pending_orders {
+            if self.matching_type == MatchingType::NextBarOpen && self.runtime_intraday_start_time.get().is_none()
+                && order.accepted_date == date {
+                self.open_orders.borrow_mut().push(order);
+                continue;
+            }
             let close = self.resting_order_session_close(date, &order);
             let clock = self.submission_time();
             let past_day = order.time_in_force == OrderTimeInForce::Day
-                && order.order_created_date.is_some_and(|created| created < date);
+                && order.accepted_date < date;
             if past_day || clock.is_some_and(|time| time > close) {
                 if order.time_in_force == OrderTimeInForce::Day {
                     Self::emit_resting_day_expiry(report, date, &order, order.filled_quantity);
@@ -2611,6 +2631,7 @@ where
             let previous_origin = self.runtime_resting_order_origin.replace(Some(RestingOrderOrigin {
                 created_date: order.order_created_date,
                 submission_time: order.submission_time,
+                accepted_date: order.accepted_date,
             }));
             let previous_decision_date = self.runtime_decision_date.replace(order.decision_date);
             let execution_result = self.process_limit_shares_internal(
@@ -2651,6 +2672,7 @@ where
                     reopened.decision_date = order.decision_date;
                     reopened.order_created_date = order.order_created_date;
                     reopened.submission_time = order.submission_time;
+                    reopened.accepted_date = order.accepted_date;
                     reopened.requested_quantity = order.requested_quantity;
                     reopened.filled_quantity = cumulative_filled;
                     reopened.remaining_quantity = remaining_quantity;
@@ -2725,7 +2747,7 @@ where
     }
 
     fn emit_resting_day_expiry(report: &mut BrokerExecutionReport, date: NaiveDate, order: &OpenOrder, filled: u32) {
-        let detail = format!("DAY order expired at session end: {} remaining_quantity={}", order.symbol, order.requested_quantity.saturating_sub(filled));
+        let detail = format!("DAY order expired at market close: {} remaining_quantity={}", order.symbol, order.requested_quantity.saturating_sub(filled));
         report.order_events.push(OrderEvent {
             date, decision_date: order.decision_date, order_created_date: order.order_created_date,
             execution_date: Some(date), order_id: Some(order.order_id), symbol: order.symbol.clone(),
@@ -4056,6 +4078,9 @@ where
         side: OrderSide,
         algo_request: Option<&AlgoExecutionRequest>,
     ) -> f64 {
+        if self.matching_type == MatchingType::NextBarOpen && !self.resting_daily_open_order() && algo_request.is_none() {
+            return self.execution_limit_check_price(snapshot, side);
+        }
         let matching_type = self.matching_type_for_algo_request(algo_request);
         let start_cursor = algo_request
             .and_then(|request| request.start_time)
@@ -4653,7 +4678,8 @@ where
                 if Self::keeps_remainder_open(remainder_policy) {
                     self.upsert_open_order(OpenOrder {
                         order_id,
-                        submission_time: self.order_origin().submission_time,
+                        submission_time: if self.matching_type == MatchingType::NextBarOpen { NaiveTime::from_hms_opt(9,30,0) } else { self.order_origin().1 },
+                        accepted_date: self.accepted_order_date(date),
                         decision_date: Some(self.current_decision_date(date)),
                         order_created_date: Some(self.current_order_created_date(date)),
                         symbol: symbol.to_string(),
@@ -4743,7 +4769,8 @@ where
                     .unwrap_or("no sellable quantity");
                 self.upsert_open_order(OpenOrder {
                     order_id,
-                    submission_time: self.order_origin().submission_time,
+                    submission_time: if self.matching_type == MatchingType::NextBarOpen { NaiveTime::from_hms_opt(9,30,0) } else { self.order_origin().1 },
+                    accepted_date: self.accepted_order_date(date),
                     decision_date: Some(self.current_decision_date(date)),
                     order_created_date: Some(self.current_order_created_date(date)),
                     symbol: symbol.to_string(),
@@ -4915,7 +4942,8 @@ where
             {
                 self.upsert_open_order(OpenOrder {
                     order_id,
-                    submission_time: self.order_origin().submission_time,
+                    submission_time: if self.matching_type == MatchingType::NextBarOpen { NaiveTime::from_hms_opt(9,30,0) } else { self.order_origin().1 },
+                    accepted_date: self.accepted_order_date(date),
                     decision_date: Some(self.current_decision_date(date)),
                     order_created_date: Some(self.current_order_created_date(date)),
                     symbol: symbol.to_string(),
@@ -5086,7 +5114,8 @@ where
         if keep_open {
             self.upsert_open_order(OpenOrder {
                 order_id,
-                submission_time: self.order_origin().submission_time,
+                submission_time: if self.matching_type == MatchingType::NextBarOpen { NaiveTime::from_hms_opt(9,30,0) } else { self.order_origin().1 },
+                accepted_date: self.accepted_order_date(date),
                 decision_date: Some(self.current_decision_date(date)),
                 order_created_date: Some(self.current_order_created_date(date)),
                 symbol: symbol.to_string(),
@@ -6475,7 +6504,8 @@ where
                 if Self::keeps_remainder_open(remainder_policy) {
                     self.upsert_open_order(OpenOrder {
                         order_id,
-                        submission_time: self.order_origin().submission_time,
+                        submission_time: if self.matching_type == MatchingType::NextBarOpen { NaiveTime::from_hms_opt(9,30,0) } else { self.order_origin().1 },
+                        accepted_date: self.accepted_order_date(date),
                         decision_date: Some(self.current_decision_date(date)),
                         order_created_date: Some(self.current_order_created_date(date)),
                         symbol: symbol.to_string(),
@@ -6714,7 +6744,8 @@ where
             {
                 self.upsert_open_order(OpenOrder {
                     order_id,
-                    submission_time: self.order_origin().submission_time,
+                    submission_time: if self.matching_type == MatchingType::NextBarOpen { NaiveTime::from_hms_opt(9,30,0) } else { self.order_origin().1 },
+                    accepted_date: self.accepted_order_date(date),
                     decision_date: Some(self.current_decision_date(date)),
                     order_created_date: Some(self.current_order_created_date(date)),
                     symbol: symbol.to_string(),
@@ -6887,7 +6918,8 @@ where
         if keep_open {
             self.upsert_open_order(OpenOrder {
                 order_id,
-                submission_time: self.order_origin().submission_time,
+                submission_time: if self.matching_type == MatchingType::NextBarOpen { NaiveTime::from_hms_opt(9,30,0) } else { self.order_origin().1 },
+                accepted_date: self.accepted_order_date(date),
                 decision_date: Some(self.current_decision_date(date)),
                 order_created_date: Some(self.current_order_created_date(date)),
                 symbol: symbol.to_string(),
@@ -7551,7 +7583,7 @@ where
                 .map(|start_time| date.and_time(start_time))
         });
         let start_cursor = if let Some(origin) = self.runtime_resting_order_origin.get()
-            && origin.created_date == Some(date)
+            && origin.accepted_date == date
             && let Some(submitted) = origin.submission_time
         {
             Some(start_cursor.map_or(date.and_time(submitted), |cursor| cursor.max(date.and_time(submitted))))
@@ -8071,6 +8103,7 @@ where
     }
 
     pub(crate) fn matching_type_uses_intraday_quotes(&self) -> bool {
+        if self.resting_daily_open_order() { return true; }
         matches!(
             self.matching_type,
             MatchingType::MinuteLast
@@ -8082,6 +8115,10 @@ where
             && self.intraday_execution_start_time.is_some())
     }
 
+    pub(crate) fn drives_resting_quote_clock(&self) -> bool {
+        self.matching_type_uses_intraday_quotes() || self.matching_type == MatchingType::NextBarOpen
+    }
+
     fn quote_quantity_limited(&self, matching_type: MatchingType) -> bool {
         match matching_type {
             MatchingType::OpenAuction
@@ -8214,6 +8251,7 @@ mod tests {
             decision_date: None,
             order_created_date: None,
             submission_time: None,
+            accepted_date: chrono::NaiveDate::from_ymd_opt(2025,1,2).unwrap(),
             symbol: "000001.SZ".to_string(),
             side: OrderSide::Buy,
             requested_quantity: 200,
@@ -8791,6 +8829,30 @@ mod tests {
         assert!(broker.runtime_resting_order_origin.get().is_none());
     }
 
+    #[test]
+    fn next_open_day_limit_remainder_matches_intraday_with_execution_day_ttl() {
+        let date=chrono::NaiveDate::from_ymd_opt(2026,7,7).unwrap();
+        let signal=date.pred_opt().unwrap();
+        let mut snapshot=dated_limit_test_snapshot(date);
+        snapshot.open=10.2;snapshot.close=9.8;snapshot.last_price=9.8;snapshot.upper_limit=20.;snapshot.lower_limit=1.;
+        let mut quote=limit_test_quote(9.8,9.8,9.8);quote.date=date;quote.timestamp=date.and_hms_opt(10,0,0).unwrap();
+        let data=DataSet::from_components_with_actions_and_quotes(vec![limit_test_instrument()],vec![snapshot],Vec::new(),
+            vec![dated_limit_test_candidate(date,false,false,true,true)],vec![dated_limit_test_benchmark(date)],Vec::new(),vec![quote]).unwrap();
+        let broker=BrokerSimulator::new(ChinaAShareCostModel::default(),ChinaEquityRuleHooks)
+            .with_matching_type(MatchingType::NextBarOpen).with_volume_limit(false).with_liquidity_limit(false);
+        let mut portfolio=PortfolioState::new(100000.);
+        let decision=StrategyDecision{order_intents:vec![OrderIntent::LimitTargetShares{symbol:"000001.SZ".into(),target_quantity:100,limit_price:10.,reason:"next-open-entry".into()}],..StrategyDecision::default()};
+        let report=broker.execute_with_event_dates(date,signal,signal,&mut portfolio,&data,&decision).unwrap();
+        assert!(report.fill_events.is_empty());assert!(broker.has_open_orders());
+        let report=broker.execute_between_with_event_dates(date,signal,signal,&mut portfolio,&data,&StrategyDecision::default(),
+            NaiveTime::from_hms_opt(10,0,0),NaiveTime::from_hms_opt(10,0,0)).unwrap();
+        assert_eq!(report.fill_events.len(),1,"{report:?}");
+        assert_eq!(report.fill_events[0].price,9.8);
+        assert_eq!(report.fill_events[0].execution_timestamp,date.and_hms_opt(10,0,0));
+        assert_eq!(report.fill_events[0].order_created_date,Some(signal));
+        assert!(!broker.has_open_orders());
+    }
+
     #[test]
     fn post_close_order_uses_close_without_slippage_and_waits_until_matching_window() {
         let date = chrono::NaiveDate::from_ymd_opt(2026, 7, 6).expect("valid date");

crates/fidc-core/src/engine.rs

@@ -2850,11 +2850,11 @@ where
             )?;
 
             if should_run_minute_events(&intraday_schedule_rules, &self.subscriptions)
-                || (self.broker.has_open_orders() && self.broker.matching_type_uses_intraday_quotes())
+                || (self.broker.has_open_orders() && self.broker.drives_resting_quote_clock())
             {
                 let unfiltered_minute_stream = self.subscriptions.is_empty();
                 let mut full_minute_symbols = self.subscriptions.clone();
-                if self.broker.matching_type_uses_intraday_quotes() {
+                if self.broker.drives_resting_quote_clock() {
                     full_minute_symbols.extend(self.broker.open_order_views().into_iter().map(|order| order.symbol));
                 }
                 if self.execution_quote_loader.is_some() && !full_minute_symbols.is_empty() {
@@ -3125,7 +3125,7 @@ where
                         .map(|order| order.symbol)
                         .filter(|symbol| !full_minute_symbols.contains(symbol))
                         .collect::<BTreeSet<_>>();
-                    if !newly_pending.is_empty() && self.broker.matching_type_uses_intraday_quotes() {
+                    if !newly_pending.is_empty() && self.broker.drives_resting_quote_clock() {
                         full_minute_symbols.extend(newly_pending.iter().cloned());
                         if self.execution_quote_loader.is_some() {
                             self.load_missing_execution_quotes(execution_date, None, None, &mut newly_pending)?;
@@ -5904,10 +5904,11 @@ mod tests {
                 }], ..StrategyDecision::default() })
             }
         }
-        for scenario in 0..4 {
+        for scenario in 0..5 {
         let partial = scenario == 1;
-        let closing_only = scenario >= 2;
-        let date = if closing_only { d(2026, 7, 6) } else { d(2026, 6, 1) };
+        let closing_only = matches!(scenario,2|3);
+        let delayed = scenario == 4;
+        let date = if closing_only { d(2026, 7, 6) } else if delayed { d(2026, 6, 2) } else { d(2026, 6, 1) };
         let quote = |hour, minute, price| IntradayExecutionQuote {
             date, symbol: SYMBOL.into(), timestamp: date.and_hms_opt(hour, minute, 0).unwrap(),
             last_price: price, bid1: price, ask1: price, bid1_volume: 10_000, ask1_volume: 10_000,
@@ -5920,17 +5921,20 @@ mod tests {
         let last = if closing_only { quote(15, 0, if scenario == 2 { 9.8 } else { 10.2 }) } else { quote(10, 1, 9.8) };
         let mut post_close = quote(15, 5, 9.7);
         post_close.trading_phase = Some("post_close_fixed_price".into());
-        let mut data = dataset_from_market_and_candidates(vec![market(date, 10.2, 9.8)], vec![candidate(date)]);
+        let prior = date.pred_opt().unwrap();
+        let markets = if delayed {vec![market(prior,10.2,10.2),market(date,10.2,9.8)]} else {vec![market(date,10.2,9.8)]};
+        let candidates = if delayed {vec![candidate(prior),candidate(date)]} else {vec![candidate(date)]};
+        let mut data = dataset_from_market_and_candidates(markets,candidates);
         data.add_execution_quotes(vec![first.clone()]);
         let broker = BrokerSimulator::new(ChinaAShareCostModel::default(), ChinaEquityRuleHooks)
-            .with_matching_type(MatchingType::CurrentBarClose)
-            .with_intraday_execution_start_time(NaiveTime::from_hms_opt(9, 30, 0).unwrap())
+            .with_matching_type(if delayed {MatchingType::NextBarOpen} else {MatchingType::CurrentBarClose})
             .with_volume_limit(partial).with_volume_percent(0.01).with_liquidity_limit(false).with_inactive_limit(false);
+        let broker = if delayed {broker} else {broker.with_intraday_execution_start_time(NaiveTime::from_hms_opt(9,30,0).unwrap())};
         let requests = Arc::new(Mutex::new(Vec::new()));
         let captured = Arc::clone(&requests);
         let mut engine = BacktestEngine::new(data, RestingLimit { quantity: if partial { 300 } else { 100 } }, broker, BacktestConfig {
-            initial_cash: 100_000.0, benchmark_code: "000852.SH".into(), start_date: Some(date), end_date: Some(date),
-            decision_lag_trading_days: 0, execution_price_field: PriceField::Close,
+            initial_cash: 100_000.0, benchmark_code: "000852.SH".into(), start_date: Some(if delayed {prior} else {date}), end_date: Some(date),
+            decision_lag_trading_days: usize::from(delayed), execution_price_field: if delayed {PriceField::Open} else {PriceField::Close},
         }).with_execution_quote_loader(move |request| {
             captured.lock().unwrap().push((request.start_time, request.end_time));
             Ok(vec![earlier.clone(), first.clone(), unchanged.clone(), later.clone(), last.clone(), post_close.clone()])