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Align market order cancellation semantics

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This commit is contained in:
boris
2026-04-23 00:52:50 -07:00
parent 1b4d68406c
commit 16ae826724
2 changed files with 149 additions and 12 deletions
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44
crates/fidc-core/src/broker.rs
View File

@@ -942,7 +942,7 @@ where
side: OrderSide::Sell,
requested_quantity: requested_qty,
filled_quantity: 0,
status: OrderStatus::Rejected,
status: zero_fill_status_for_reason(&limit_reason),
reason: format!("{reason}: {limit_reason}"),
});
return Ok(());
@@ -1063,7 +1063,7 @@ where
*intraday_turnover.entry(symbol.to_string()).or_default() += filled_qty;
let status = if filled_qty < requested_qty {
OrderStatus::PartiallyFilled
final_partial_fill_status(partial_fill_reason.as_deref())
} else {
OrderStatus::Filled
};
@@ -1075,6 +1075,14 @@ where
"order_partial_fill symbol={symbol} side=sell requested={requested_qty} filled={filled_qty} reason={detail}"
));
format!("{reason}: partial fill due to {detail}")
} else if status == OrderStatus::Canceled && filled_qty < requested_qty {
let detail = partial_fill_reason
.as_deref()
.unwrap_or("remaining quantity could not be filled");
report.diagnostics.push(format!(
"order_remainder_canceled symbol={symbol} side=sell requested={requested_qty} filled={filled_qty} reason={detail}"
));
format!("{reason}: partial fill due to {detail}; remaining quantity canceled")
} else {
reason.to_string()
};
@@ -1340,7 +1348,7 @@ where
side: OrderSide::Buy,
requested_quantity: requested_qty,
filled_quantity: 0,
status: OrderStatus::Rejected,
status: zero_fill_status_for_reason(&limit_reason),
reason: format!("{reason}: {limit_reason}"),
});
return Ok(());
@@ -1488,7 +1496,7 @@ where
*intraday_turnover.entry(symbol.to_string()).or_default() += filled_qty;
let status = if filled_qty < requested_qty {
OrderStatus::PartiallyFilled
final_partial_fill_status(partial_fill_reason.as_deref())
} else {
OrderStatus::Filled
};
@@ -1500,6 +1508,14 @@ where
"order_partial_fill symbol={symbol} side=buy requested={requested_qty} filled={filled_qty} reason={detail}"
));
format!("{reason}: partial fill due to {detail}")
} else if status == OrderStatus::Canceled && filled_qty < requested_qty {
let detail = partial_fill_reason
.as_deref()
.unwrap_or("remaining quantity could not be filled");
report.diagnostics.push(format!(
"order_remainder_canceled symbol={symbol} side=buy requested={requested_qty} filled={filled_qty} reason={detail}"
));
format!("{reason}: partial fill due to {detail}; remaining quantity canceled")
} else {
reason.to_string()
};
@@ -2011,6 +2027,26 @@ fn merge_partial_fill_reason(current: Option<String>, next: Option<&str>) -> Opt
}
}
fn zero_fill_status_for_reason(reason: &str) -> OrderStatus {
match reason {
"tick no volume" | "tick volume limit" => OrderStatus::Canceled,
_ => OrderStatus::Rejected,
}
}
fn final_partial_fill_status(partial_reason: Option<&str>) -> OrderStatus {
match partial_reason {
Some(reason)
if reason.contains("market liquidity or volume limit")
|| reason.contains("intraday quote liquidity exhausted")
|| reason.contains("no execution quotes after start") =>
{
OrderStatus::Canceled
}
_ => OrderStatus::PartiallyFilled,
}
}
fn price_field_name(field: PriceField) -> &'static str {
match field {
PriceField::DayOpen => "day_open",

117
crates/fidc-core/tests/explicit_order_flow.rs
View File

@@ -511,7 +511,7 @@ fn broker_applies_tick_size_slippage_on_intraday_last_fills() {
}
#[test]
fn broker_emits_partial_fill_reason_when_intraday_quote_liquidity_exhausted() {
fn broker_cancels_market_order_remainder_when_intraday_quote_liquidity_exhausted() {
let date = NaiveDate::from_ymd_opt(2024, 1, 10).unwrap();
let data = DataSet::from_components_with_actions_and_quotes(
vec![Instrument {
@@ -623,21 +623,122 @@ fn broker_emits_partial_fill_reason_when_intraday_quote_liquidity_exhausted() {
assert_eq!(report.order_events.len(), 1);
assert_eq!(
report.order_events[0].status,
fidc_core::OrderStatus::PartiallyFilled
);
assert!(
report.order_events[0]
.reason
.contains("partial fill due to intraday quote liquidity exhausted")
fidc_core::OrderStatus::Canceled
);
assert!(report.order_events[0].reason.contains(
"partial fill due to intraday quote liquidity exhausted; remaining quantity canceled"
));
assert!(
report
.diagnostics
.iter()
.any(|item| item.contains("order_partial_fill symbol=000002.SZ side=buy"))
.any(|item| item.contains("order_remainder_canceled symbol=000002.SZ side=buy"))
);
}
#[test]
fn broker_cancels_market_buy_when_tick_has_no_volume() {
let date = NaiveDate::from_ymd_opt(2024, 1, 10).unwrap();
let data = DataSet::from_components(
vec![Instrument {
symbol: "000002.SZ".to_string(),
name: "Test".to_string(),
board: "SZ".to_string(),
round_lot: 100,
listed_at: None,
delisted_at: None,
status: "active".to_string(),
}],
vec![DailyMarketSnapshot {
date,
symbol: "000002.SZ".to_string(),
timestamp: Some("2024-01-10 10:18:00".to_string()),
day_open: 10.0,
open: 10.0,
high: 10.0,
low: 10.0,
close: 10.0,
last_price: 10.0,
bid1: 9.99,
ask1: 10.01,
prev_close: 10.0,
volume: 0,
tick_volume: 0,
bid1_volume: 0,
ask1_volume: 0,
trading_phase: Some("continuous".to_string()),
paused: false,
upper_limit: 11.0,
lower_limit: 9.0,
price_tick: 0.01,
}],
vec![DailyFactorSnapshot {
date,
symbol: "000002.SZ".to_string(),
market_cap_bn: 50.0,
free_float_cap_bn: 45.0,
pe_ttm: 15.0,
turnover_ratio: Some(2.0),
effective_turnover_ratio: Some(1.8),
extra_factors: BTreeMap::new(),
}],
vec![CandidateEligibility {
date,
symbol: "000002.SZ".to_string(),
is_st: false,
is_new_listing: false,
is_paused: false,
allow_buy: true,
allow_sell: true,
is_kcb: false,
is_one_yuan: false,
}],
vec![BenchmarkSnapshot {
date,
benchmark: "000300.SH".to_string(),
open: 100.0,
close: 100.0,
prev_close: 99.0,
volume: 1_000_000,
}],
)
.expect("dataset");
let mut portfolio = PortfolioState::new(1_000_000.0);
let broker = BrokerSimulator::new_with_execution_price(
ChinaAShareCostModel::default(),
ChinaEquityRuleHooks::default(),
PriceField::Open,
);
let report = broker
.execute(
date,
&mut portfolio,
&data,
&StrategyDecision {
rebalance: false,
target_weights: BTreeMap::new(),
exit_symbols: BTreeSet::new(),
order_intents: vec![OrderIntent::Value {
symbol: "000002.SZ".to_string(),
value: 10_000.0,
reason: "no_volume_buy".to_string(),
}],
notes: Vec::new(),
diagnostics: Vec::new(),
},
)
.expect("broker execution");
assert_eq!(report.fill_events.len(), 0);
assert_eq!(report.order_events.len(), 1);
assert_eq!(
report.order_events[0].status,
fidc_core::OrderStatus::Canceled
);
assert!(report.order_events[0].reason.contains("tick no volume"));
}
#[test]
fn broker_splits_intraday_quote_fills_and_tracks_commission_by_order() {
let date = NaiveDate::from_ymd_opt(2024, 1, 10).unwrap();