Align open auction volume semantics

2026-04-23 00:14:11 -07:00
parent ec7085d10a
commit 3c0ced89bf
3 changed files with 102 additions and 2 deletions
--- a/crates/fidc-core/tests/explicit_order_flow.rs
+++ b/crates/fidc-core/tests/explicit_order_flow.rs
@@ -210,6 +210,106 @@ fn broker_uses_day_open_price_for_open_auction_matching() {
    assert!((report.account_events[0].total_equity - expected_total_equity).abs() < 1e-6);
 }

+#[test]
+fn broker_open_auction_uses_auction_volume_without_quote_liquidity() {
+    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 09:25:00".to_string()),
+            day_open: 9.8,
+            open: 10.0,
+            high: 10.1,
+            low: 9.7,
+            close: 10.0,
+            last_price: 10.0,
+            bid1: 0.0,
+            ask1: 0.0,
+            prev_close: 10.0,
+            volume: 1_000,
+            tick_volume: 1_000,
+            bid1_volume: 0,
+            ask1_volume: 0,
+            trading_phase: Some("open_auction".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::DayOpen,
+    )
+    .with_volume_percent(0.25);
+
+    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: 9_800.0,
+                    reason: "open_auction_volume".to_string(),
+                }],
+                notes: Vec::new(),
+                diagnostics: Vec::new(),
+            },
+        )
+        .expect("broker execution");
+
+    assert_eq!(report.fill_events.len(), 1);
+    assert_eq!(report.fill_events[0].quantity, 200);
+    assert_eq!(report.fill_events[0].price, 9.8);
+}
+
 #[test]
 fn broker_applies_price_ratio_slippage_on_snapshot_fills() {
    let date = NaiveDate::from_ymd_opt(2024, 1, 10).unwrap();