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Add rqalpha-style order reject lifecycle events

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This commit is contained in:
boris
2026-04-23 03:45:46 -07:00
parent b657205103
commit 2bbfa35187
3 changed files with 84 additions and 8 deletions
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51
crates/fidc-core/src/broker.rs
View File

@@ -950,6 +950,15 @@ where
};
if let Some(order) = canceled {
self.emit_user_canceled_open_order(date, order, reason, report);
} else {
report.process_events.push(ProcessEvent {
date,
kind: ProcessEventKind::OrderCancellationReject,
order_id: Some(order_id),
symbol: None,
side: None,
detail: format!("reason={reason} status=not_found"),
});
}
}
@@ -974,6 +983,16 @@ where
*open_orders = retained;
canceled
};
if canceled.is_empty() {
report.process_events.push(ProcessEvent {
date,
kind: ProcessEventKind::OrderCancellationReject,
order_id: None,
symbol: Some(symbol.to_string()),
side: None,
detail: format!("reason={reason} status=no_open_orders_for_symbol"),
});
}
for order in canceled {
self.emit_user_canceled_open_order(date, order, reason, report);
}
@@ -989,6 +1008,16 @@ where
let mut open_orders = self.open_orders.borrow_mut();
std::mem::take(&mut *open_orders)
};
if canceled.is_empty() {
report.process_events.push(ProcessEvent {
date,
kind: ProcessEventKind::OrderCancellationReject,
order_id: None,
symbol: None,
side: None,
detail: format!("reason={reason} status=no_open_orders"),
});
}
for order in canceled {
self.emit_user_canceled_open_order(date, order, reason, report);
}
@@ -1090,6 +1119,14 @@ where
});
}
fn creation_reject_kind(emit_creation_events: bool) -> ProcessEventKind {
if emit_creation_events {
ProcessEventKind::OrderCreationReject
} else {
ProcessEventKind::OrderUnsolicitedUpdate
}
}
fn target_quantities(
&self,
date: NaiveDate,
@@ -1578,7 +1615,7 @@ where
Self::emit_order_process_event(
report,
date,
ProcessEventKind::OrderUnsolicitedUpdate,
Self::creation_reject_kind(emit_creation_events),
order_id,
symbol,
OrderSide::Sell,
@@ -1674,7 +1711,7 @@ where
Self::emit_order_process_event(
report,
date,
ProcessEventKind::OrderUnsolicitedUpdate,
Self::creation_reject_kind(emit_creation_events),
order_id,
symbol,
OrderSide::Sell,
@@ -1735,7 +1772,7 @@ where
Self::emit_order_process_event(
report,
date,
ProcessEventKind::OrderUnsolicitedUpdate,
Self::creation_reject_kind(emit_creation_events),
order_id,
symbol,
OrderSide::Sell,
@@ -1843,7 +1880,7 @@ where
Self::emit_order_process_event(
report,
date,
ProcessEventKind::OrderUnsolicitedUpdate,
Self::creation_reject_kind(emit_creation_events),
order_id,
symbol,
OrderSide::Sell,
@@ -2653,7 +2690,7 @@ where
Self::emit_order_process_event(
report,
date,
ProcessEventKind::OrderUnsolicitedUpdate,
Self::creation_reject_kind(emit_creation_events),
order_id,
symbol,
OrderSide::Buy,
@@ -2738,7 +2775,7 @@ where
Self::emit_order_process_event(
report,
date,
ProcessEventKind::OrderUnsolicitedUpdate,
Self::creation_reject_kind(emit_creation_events),
order_id,
symbol,
OrderSide::Buy,
@@ -2871,7 +2908,7 @@ where
Self::emit_order_process_event(
report,
date,
ProcessEventKind::OrderUnsolicitedUpdate,
Self::creation_reject_kind(emit_creation_events),
order_id,
symbol,
OrderSide::Buy,

2
crates/fidc-core/src/events.rs
View File

@@ -110,8 +110,10 @@ pub enum ProcessEventKind {
PostSettlement,
OrderPendingNew,
OrderCreationPass,
OrderCreationReject,
OrderPendingCancel,
OrderCancellationPass,
OrderCancellationReject,
OrderUnsolicitedUpdate,
Trade,
}

39
crates/fidc-core/tests/explicit_order_flow.rs
View File

@@ -648,7 +648,7 @@ fn broker_cancels_buy_when_open_hits_upper_limit() {
.contains("open at or above upper limit")
);
assert!(report.process_events.iter().any(|event| {
event.kind == ProcessEventKind::OrderUnsolicitedUpdate
event.kind == ProcessEventKind::OrderCreationReject
&& event.symbol.as_deref() == Some("000002.SZ")
&& event.side == Some(fidc_core::OrderSide::Buy)
}));
@@ -2974,6 +2974,43 @@ fn broker_cancels_open_order_by_order_id() {
assert!(portfolio.position("000002.SZ").is_none());
}
#[test]
fn broker_emits_cancellation_reject_for_unknown_order() {
let day1 = NaiveDate::from_ymd_opt(2024, 1, 10).unwrap();
let data = two_day_limit_order_data(10.0, 10.1);
let broker = BrokerSimulator::new_with_execution_price(
ChinaAShareCostModel::default(),
ChinaEquityRuleHooks::default(),
PriceField::Open,
);
let mut portfolio = PortfolioState::new(1_000_000.0);
let report = broker
.execute(
day1,
&mut portfolio,
&data,
&StrategyDecision {
rebalance: false,
target_weights: BTreeMap::new(),
exit_symbols: BTreeSet::new(),
order_intents: vec![OrderIntent::CancelOrder {
order_id: 999_999,
reason: "user_cancel".to_string(),
}],
notes: Vec::new(),
diagnostics: Vec::new(),
},
)
.expect("cancel reject execution");
assert!(report.order_events.is_empty());
assert!(report.fill_events.is_empty());
assert!(report.process_events.iter().any(|event| {
event.kind == ProcessEventKind::OrderCancellationReject && event.order_id == Some(999_999)
}));
}
#[test]
fn broker_reserves_sellable_quantity_for_open_limit_sells() {
let date = NaiveDate::from_ymd_opt(2024, 1, 10).unwrap();