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Align jq microcap sizing and snapshot pricing

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This commit is contained in:
boris
2026-04-21 06:36:17 -07:00
parent ba36bd5981
commit 3652f80d85
2 changed files with 16 additions and 52 deletions
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39
crates/fidc-core/src/strategy.rs
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@@ -580,8 +580,7 @@ impl JqMicroCapStrategy {
let mut quantity = self.round_lot_quantity((cash / sizing_price).floor() as u32, 100);
while quantity > 0 {
let gross_amount = execution_price * quantity as f64;
let cash_out = gross_amount + self.buy_commission(gross_amount);
if cash_out <= cash + 1e-6 {
if gross_amount <= cash + 1e-6 {
return quantity;
}
quantity = quantity.saturating_sub(100);
@@ -594,23 +593,10 @@ impl JqMicroCapStrategy {
market: &crate::data::DailyMarketSnapshot,
side: OrderSide,
) -> f64 {
let tick = market.effective_price_tick();
let base_price = market.price(PriceField::Last);
let adjusted = match side {
OrderSide::Buy => base_price + tick * 2.0,
OrderSide::Sell => base_price - tick,
};
let lower = if market.lower_limit.is_finite() && market.lower_limit > 0.0 {
market.lower_limit
} else {
tick
};
let upper = if market.upper_limit.is_finite() && market.upper_limit > 0.0 {
market.upper_limit
} else {
f64::INFINITY
};
adjusted.clamp(lower, upper)
match side {
OrderSide::Buy => market.buy_price(PriceField::Last),
OrderSide::Sell => market.sell_price(PriceField::Last),
}
}
fn project_order_value(
@@ -654,9 +640,8 @@ impl JqMicroCapStrategy {
let mut quantity = snapshot_requested_qty;
while quantity > 0 {
let gross_amount = projected_execution_price * quantity as f64;
let cash_out = gross_amount + self.buy_commission(gross_amount);
if gross_amount <= order_value + 400.0
&& cash_out <= projected.cash() + 1e-6
&& gross_amount <= projected.cash() + 1e-6
{
break;
}
@@ -671,8 +656,7 @@ impl JqMicroCapStrategy {
.unwrap_or(projected_execution_price);
while quantity > 0 {
let gross_amount = execution_price * quantity as f64;
let cash_out = gross_amount + self.buy_commission(gross_amount);
if cash_out <= projected.cash() + 1e-6 {
if gross_amount <= projected.cash() + 1e-6 {
break;
}
quantity = quantity.saturating_sub(round_lot);
@@ -687,7 +671,7 @@ impl JqMicroCapStrategy {
};
let gross_amount = fill.price * fill.quantity as f64;
let cash_out = gross_amount + self.buy_commission(gross_amount);
if cash_out > projected.cash() + 1e-6 {
if gross_amount > projected.cash() + 1e-6 {
return 0;
}
projected.apply_cash_delta(-cash_out);
@@ -890,8 +874,7 @@ impl JqMicroCapStrategy {
take_qty = take_qty.saturating_sub(lot);
continue;
}
let candidate_cash_out = candidate_gross + self.buy_commission(candidate_gross);
if candidate_cash_out <= cash + 1e-6 {
if candidate_gross <= cash + 1e-6 {
break;
}
take_qty = take_qty.saturating_sub(lot);
@@ -923,9 +906,7 @@ impl JqMicroCapStrategy {
residual_qty = residual_qty.saturating_sub(lot);
continue;
}
let candidate_cash_out =
candidate_gross + self.buy_commission(candidate_gross);
if candidate_cash_out <= cash + 1e-6 {
if candidate_gross <= cash + 1e-6 {
break;
}
residual_qty = residual_qty.saturating_sub(lot);