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Refine jq microcap execution alignment

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This commit is contained in:
boris
2026-04-21 05:45:27 -07:00
parent 0fe681ff5f
commit b0c8ea1a51
3 changed files with 125 additions and 135 deletions
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76
crates/fidc-core/src/strategy.rs
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@@ -634,15 +634,40 @@ impl JqMicroCapStrategy {
if !sizing_price.is_finite() || sizing_price <= 0.0 {
return 0;
}
let requested_qty = self.round_lot_quantity(
let snapshot_requested_qty = self.round_lot_quantity(
((projected.cash().min(order_value)) / sizing_price).floor() as u32,
round_lot,
);
if requested_qty == 0 {
let projected_execution_price = self.projected_execution_price(market, OrderSide::Buy);
let mut projected_fill = self.projected_select_execution_fill(
ctx,
date,
symbol,
OrderSide::Buy,
u32::MAX,
round_lot,
Some(projected.cash()),
Some(order_value + 400.0),
execution_state,
);
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
{
break;
}
quantity = quantity.saturating_sub(round_lot);
}
if quantity == 0 {
return 0;
}
let execution_price = self.projected_execution_price(market, OrderSide::Buy);
let mut quantity = requested_qty;
let execution_price = projected_fill
.as_ref()
.map(|fill| fill.price)
.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);
@@ -695,11 +720,25 @@ impl JqMicroCapStrategy {
return None;
}
let market = ctx.data.market(date, symbol)?;
let fill = ProjectedExecutionFill {
price: self.projected_execution_price(market, OrderSide::Sell),
quantity,
next_cursor: date.and_time(self.intraday_execution_start_time()) + Duration::seconds(1),
};
let round_lot = self.projected_round_lot(ctx, symbol);
let fill = self
.projected_select_execution_fill(
ctx,
date,
symbol,
OrderSide::Sell,
quantity,
round_lot,
None,
None,
execution_state,
)
.unwrap_or(ProjectedExecutionFill {
price: self.projected_execution_price(market, OrderSide::Sell),
quantity,
next_cursor: date.and_time(self.intraday_execution_start_time())
+ Duration::seconds(1),
});
let gross_amount = fill.price * fill.quantity as f64;
let net_cash = gross_amount - self.sell_cost(gross_amount);
projected
@@ -770,14 +809,8 @@ impl JqMicroCapStrategy {
symbol: &str,
execution_state: &ProjectedExecutionState,
) -> Option<NaiveDateTime> {
execution_state
.execution_cursors
.get(symbol)
.copied()
.into_iter()
.chain(execution_state.global_execution_cursor)
.chain(Some(date.and_time(self.intraday_execution_start_time())))
.max()
let _ = (symbol, execution_state);
Some(date.and_time(self.intraday_execution_start_time()))
}
fn projected_select_execution_fill(
@@ -917,13 +950,8 @@ impl JqMicroCapStrategy {
}
fn uses_serial_execution_cursor(&self, reason: &str) -> bool {
matches!(
reason,
"stop_loss_exit"
| "take_profit_exit"
| "replacement_after_stop_loss_exit"
| "replacement_after_take_profit_exit"
)
let _ = reason;
false
}
fn trading_ratio(