boris
62 lines
2.3 KiB
Rust
62 lines
2.3 KiB
Rust
use chrono::NaiveDateTime;
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use crate::engine::BacktestError;
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/// Cumulative TWAP entitlement depends on the frozen clock, not future quotes.
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pub(crate) struct TwapSchedule {
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start: NaiveDateTime,
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end: NaiveDateTime,
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quantity: u32,
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}
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impl TwapSchedule {
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pub(crate) fn new(
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start: Option<NaiveDateTime>,
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end: Option<NaiveDateTime>,
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quantity: u32,
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) -> Result<Self, BacktestError> {
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let (Some(start), Some(end)) = (start, end) else {
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return Err(BacktestError::Execution("TWAP requires an explicit start and end clock".into()));
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};
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if end < start || start.date() != end.date() {
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return Err(BacktestError::Execution("TWAP requires an ordered same-session clock window".into()));
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}
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Ok(Self { start, end, quantity })
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}
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pub(crate) fn due_quantity(&self, at: NaiveDateTime, filled: u32) -> u32 {
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if at < self.start {
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return 0;
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}
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let entitlement = if at >= self.end {
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self.quantity
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} else {
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let elapsed = (at - self.start).num_microseconds().expect("same-day interval") as u128;
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let duration = (self.end - self.start).num_microseconds().expect("same-day interval") as u128;
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(u128::from(self.quantity) * elapsed / duration) as u32
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};
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entitlement.saturating_sub(filled)
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}
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}
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#[cfg(test)]
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mod tests {
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use super::*;
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use chrono::{Duration, NaiveDate};
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#[test]
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fn clock_entitlements_are_exact_and_allow_backlog_without_future_quote_counts() {
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let start = NaiveDate::from_ymd_opt(2025, 1, 2).unwrap().and_hms_opt(10, 0, 0).unwrap();
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let end = start + Duration::minutes(10);
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let schedule = TwapSchedule::new(Some(start), Some(end), 1_000).unwrap();
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assert_eq!(schedule.due_quantity(start, 0), 0);
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assert_eq!(schedule.due_quantity(start + Duration::minutes(2), 0), 200);
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assert_eq!(schedule.due_quantity(start + Duration::minutes(5), 100), 400);
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assert_eq!(schedule.due_quantity(end, 100), 900);
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assert_eq!(schedule.due_quantity(end, 1_000), 0);
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assert!(TwapSchedule::new(Some(start), None, 1_000).is_err());
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assert!(TwapSchedule::new(Some(end), Some(start), 1_000).is_err());
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assert_eq!(TwapSchedule::new(Some(start), Some(start), 1_000).unwrap().due_quantity(start, 0), 1_000);
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}
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}
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