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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
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@@ -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",