Align jq microcap sizing and snapshot pricing

crates/fidc-core/src/broker.rs

@@ -121,23 +121,10 @@ where
         if self.execution_price_field == PriceField::Last
             && self.intraday_execution_start_time.is_some()
         {
-            let tick = snapshot.effective_price_tick();
+            return match side {
-            let base_price = snapshot.price(PriceField::Last);
+                OrderSide::Buy => self.buy_price(snapshot),
-            let adjusted = match side {
+                OrderSide::Sell => self.sell_price(snapshot),
-                OrderSide::Buy => base_price + tick * 2.0,
-                OrderSide::Sell => base_price - tick,
             };
-            let lower = if snapshot.lower_limit.is_finite() && snapshot.lower_limit > 0.0 {
-                snapshot.lower_limit
-            } else {
-                tick
-            };
-            let upper = if snapshot.upper_limit.is_finite() && snapshot.upper_limit > 0.0 {
-                snapshot.upper_limit
-            } else {
-                f64::INFINITY
-            };
-            return adjusted.clamp(lower, upper);
         }
 
         match side {
@@ -1053,8 +1040,7 @@ where
                 quantity = quantity.saturating_sub(lot);
                 continue;
             }
-            let cost = self.cost_model.calculate(OrderSide::Buy, gross);
+            if gross <= cash + 1e-6 {
-            if gross + cost.total() <= cash + 1e-6 {
                 return quantity;
             }
             quantity = quantity.saturating_sub(lot);
@@ -1251,8 +1237,7 @@ where
                         take_qty = take_qty.saturating_sub(lot);
                         continue;
                     }
-                    let candidate_cost = self.cost_model.calculate(OrderSide::Buy, candidate_gross);
+                    if candidate_gross <= cash + 1e-6 {
-                    if candidate_gross + candidate_cost.total() <= cash + 1e-6 {
                         break;
                     }
                     take_qty = take_qty.saturating_sub(lot);
@@ -1284,9 +1269,7 @@ where
                                 residual_qty = residual_qty.saturating_sub(lot);
                                 continue;
                             }
-                            let candidate_cost =
+                            if candidate_gross <= cash + 1e-6 {
-                                self.cost_model.calculate(OrderSide::Buy, candidate_gross);
-                            if candidate_gross + candidate_cost.total() <= cash + 1e-6 {
                                 break;
                             }
                             residual_qty = residual_qty.saturating_sub(lot);

crates/fidc-core/src/strategy.rs

@@ -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 gross_amount <= cash + 1e-6 {
-            if cash_out <= 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();
+        match side {
-        let base_price = market.price(PriceField::Last);
+            OrderSide::Buy => market.buy_price(PriceField::Last),
-        let adjusted = match side {
+            OrderSide::Sell => market.sell_price(PriceField::Last),
-            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)
     }
 
     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 gross_amount <= projected.cash() + 1e-6 {
-            if cash_out <= 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_gross <= cash + 1e-6 {
-                    if candidate_cash_out <= 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 =
+                            if candidate_gross <= cash + 1e-6 {
-                                candidate_gross + self.buy_commission(candidate_gross);
-                            if candidate_cash_out <= cash + 1e-6 {
                                 break;
                             }
                             residual_qty = residual_qty.saturating_sub(lot);