Align order lifecycle with rqalpha close semantics

crates/fidc-core/src/broker.rs

@@ -43,6 +43,8 @@ struct OpenOrder {
     order_id: u64,
     symbol: String,
     side: OrderSide,
+    requested_quantity: u32,
+    filled_quantity: u32,
     remaining_quantity: u32,
     limit_price: f64,
     reason: String,
@@ -947,7 +949,7 @@ where
             }
         };
         if let Some(order) = canceled {
-            self.emit_canceled_open_order(date, order, reason, report);
+            self.emit_user_canceled_open_order(date, order, reason, report);
         }
     }
 
@@ -973,7 +975,7 @@ where
             canceled
         };
         for order in canceled {
-            self.emit_canceled_open_order(date, order, reason, report);
+            self.emit_user_canceled_open_order(date, order, reason, report);
         }
     }
 
@@ -988,37 +990,86 @@ where
             std::mem::take(&mut *open_orders)
         };
         for order in canceled {
-            self.emit_canceled_open_order(date, order, reason, report);
+            self.emit_user_canceled_open_order(date, order, reason, report);
         }
     }
 
-    fn emit_canceled_open_order(
+    fn emit_user_canceled_open_order(
         &self,
         date: NaiveDate,
         order: OpenOrder,
         reason: &str,
         report: &mut BrokerExecutionReport,
     ) {
+        Self::emit_order_process_event(
+            report,
+            date,
+            ProcessEventKind::OrderPendingCancel,
+            order.order_id,
+            &order.symbol,
+            order.side,
+            format!("reason={reason}"),
+        );
         report.order_events.push(OrderEvent {
             date,
             order_id: Some(order.order_id),
             symbol: order.symbol.clone(),
             side: order.side,
-            requested_quantity: order.remaining_quantity,
+            requested_quantity: order.requested_quantity,
-            filled_quantity: 0,
+            filled_quantity: order.filled_quantity,
             status: OrderStatus::Canceled,
-            reason: format!("{reason}: canceled open order"),
+            reason: format!("{reason}: canceled by user"),
         });
         Self::emit_order_process_event(
             report,
             date,
+            ProcessEventKind::OrderCancellationPass,
+            order.order_id,
+            &order.symbol,
+            order.side,
+            format!(
+                "status=Canceled requested_quantity={} filled_quantity={}",
+                order.requested_quantity, order.filled_quantity
+            ),
+        );
+    }
+
+    pub fn after_trading(&self, date: NaiveDate) -> BrokerExecutionReport {
+        let mut report = BrokerExecutionReport::default();
+        let pending = {
+            let mut open_orders = self.open_orders.borrow_mut();
+            std::mem::take(&mut *open_orders)
+        };
+        for order in pending {
+            let market_close_reason = format!(
+                "Order Rejected: {} can not match. Market close.",
+                order.symbol
+            );
+            report.order_events.push(OrderEvent {
+                date,
+                order_id: Some(order.order_id),
+                symbol: order.symbol.clone(),
+                side: order.side,
+                requested_quantity: order.requested_quantity,
+                filled_quantity: order.filled_quantity,
+                status: OrderStatus::Rejected,
+                reason: market_close_reason.clone(),
+            });
+            Self::emit_order_process_event(
+                &mut report,
+                date,
                 ProcessEventKind::OrderUnsolicitedUpdate,
                 order.order_id,
                 &order.symbol,
                 order.side,
-            "status=Canceled reason=canceled open order",
+                format!(
+                    "status=Rejected requested_quantity={} filled_quantity={} reason={market_close_reason}",
+                    order.requested_quantity, order.filled_quantity
+                ),
             );
         }
+        report
+    }
 
     fn emit_order_process_event(
         report: &mut BrokerExecutionReport,
@@ -1583,6 +1634,8 @@ where
                         order_id,
                         symbol: symbol.to_string(),
                         side: OrderSide::Sell,
+                        requested_quantity: requested_qty,
+                        filled_quantity: 0,
                         remaining_quantity: requested_qty,
                         limit_price: limit_price.expect("limit price for pending limit sell"),
                         reason: reason.to_string(),
@@ -1642,6 +1695,8 @@ where
                     order_id,
                     symbol: symbol.to_string(),
                     side: OrderSide::Sell,
+                    requested_quantity: requested_qty,
+                    filled_quantity: 0,
                     remaining_quantity: requested_qty,
                     limit_price: limit_price.expect("limit price for pending limit sell"),
                     reason: reason.to_string(),
@@ -1748,6 +1803,8 @@ where
                     order_id,
                     symbol: symbol.to_string(),
                     side: OrderSide::Sell,
+                    requested_quantity: requested_qty,
+                    filled_quantity: 0,
                     remaining_quantity: requested_qty,
                     limit_price: limit_price.expect("limit price for pending limit sell"),
                     reason: reason.to_string(),
@@ -1883,6 +1940,8 @@ where
                 order_id,
                 symbol: symbol.to_string(),
                 side: OrderSide::Sell,
+                requested_quantity: requested_qty,
+                filled_quantity: filled_qty,
                 remaining_quantity: remaining_qty,
                 limit_price: limit_price.expect("limit price for pending limit sell"),
                 reason: reason.to_string(),
@@ -2639,6 +2698,8 @@ where
                         order_id,
                         symbol: symbol.to_string(),
                         side: OrderSide::Buy,
+                        requested_quantity: requested_qty,
+                        filled_quantity: 0,
                         remaining_quantity: requested_qty,
                         limit_price: limit_price.expect("limit price for pending limit buy"),
                         reason: reason.to_string(),
@@ -2770,6 +2831,8 @@ where
                     order_id,
                     symbol: symbol.to_string(),
                     side: OrderSide::Buy,
+                    requested_quantity: requested_qty,
+                    filled_quantity: 0,
                     remaining_quantity: requested_qty,
                     limit_price: limit_price.expect("limit price for pending limit buy"),
                     reason: reason.to_string(),
@@ -2902,6 +2965,8 @@ where
                 order_id,
                 symbol: symbol.to_string(),
                 side: OrderSide::Buy,
+                requested_quantity: requested_qty,
+                filled_quantity: filled_qty,
                 remaining_quantity: remaining_qty,
                 limit_price: limit_price.expect("limit price for pending limit buy"),
                 reason: reason.to_string(),

crates/fidc-core/src/engine.rs

@@ -330,11 +330,6 @@ where
                 ProcessEventKind::PostOnDay,
                 "on_day:post",
             );
-            let daily_fill_count = report.fill_events.len();
-            let day_orders = report.order_events.clone();
-            let day_fills = report.fill_events.clone();
-            let broker_diagnostics = report.diagnostics.clone();
-            self.extend_result(&mut result, report);
 
             portfolio.update_prices(execution_date, &self.data, PriceField::Close)?;
 
@@ -358,6 +353,13 @@ where
                 ProcessEventKind::AfterTrading,
                 "after_trading",
             );
+            let mut close_report = self.broker.after_trading(execution_date);
+            process_events.append(&mut close_report.process_events);
+            report.order_events.extend(close_report.order_events);
+            report.fill_events.extend(close_report.fill_events);
+            report.position_events.extend(close_report.position_events);
+            report.account_events.extend(close_report.account_events);
+            report.diagnostics.extend(close_report.diagnostics);
             push_phase_event(
                 &mut process_events,
                 execution_date,
@@ -383,6 +385,11 @@ where
                 ProcessEventKind::PostSettlement,
                 "settlement:post",
             );
+            let daily_fill_count = report.fill_events.len();
+            let day_orders = report.order_events.clone();
+            let day_fills = report.fill_events.clone();
+            let broker_diagnostics = report.diagnostics.clone();
+            self.extend_result(&mut result, report);
 
             let benchmark =
                 self.data

crates/fidc-core/src/events.rs

@@ -110,6 +110,8 @@ pub enum ProcessEventKind {
     PostSettlement,
     OrderPendingNew,
     OrderCreationPass,
+    OrderPendingCancel,
+    OrderCancellationPass,
     OrderUnsolicitedUpdate,
     Trade,
 }

crates/fidc-core/tests/engine_hooks.rs

@@ -6,7 +6,7 @@ use chrono::NaiveDate;
 use fidc_core::{
     BacktestConfig, BacktestEngine, BenchmarkSnapshot, BrokerSimulator, CandidateEligibility,
     ChinaAShareCostModel, ChinaEquityRuleHooks, DailyFactorSnapshot, DailyMarketSnapshot, DataSet,
-    Instrument, PriceField, ProcessEventKind, ScheduleRule, ScheduleStage, Strategy,
+    Instrument, OrderIntent, PriceField, ProcessEventKind, ScheduleRule, ScheduleStage, Strategy,
     StrategyContext, StrategyDecision,
 };
 
@@ -120,6 +120,10 @@ struct ScheduledProbeStrategy {
     log: Rc<RefCell<Vec<String>>>,
 }
 
+struct LimitCarryStrategy {
+    issued: bool,
+}
+
 impl Strategy for ScheduledProbeStrategy {
     fn name(&self) -> &str {
         "scheduled-probe"
@@ -152,6 +156,35 @@ impl Strategy for ScheduledProbeStrategy {
     }
 }
 
+impl Strategy for LimitCarryStrategy {
+    fn name(&self) -> &str {
+        "limit-carry"
+    }
+
+    fn on_day(
+        &mut self,
+        _ctx: &StrategyContext<'_>,
+    ) -> Result<StrategyDecision, fidc_core::BacktestError> {
+        if self.issued {
+            return Ok(StrategyDecision::default());
+        }
+        self.issued = true;
+        Ok(StrategyDecision {
+            rebalance: false,
+            target_weights: BTreeMap::new(),
+            exit_symbols: BTreeSet::new(),
+            order_intents: vec![OrderIntent::LimitShares {
+                symbol: "000001.SZ".to_string(),
+                quantity: 200,
+                limit_price: 9.8,
+                reason: "carry_limit".to_string(),
+            }],
+            notes: Vec::new(),
+            diagnostics: Vec::new(),
+        })
+    }
+}
+
 #[test]
 fn engine_runs_strategy_hooks_in_daily_order() {
     let date1 = d(2025, 1, 2);
@@ -443,6 +476,173 @@ fn engine_executes_open_auction_decisions_before_on_day() {
     assert_eq!(result.fills[0].quantity, 100);
 }
 
+#[test]
+fn engine_rejects_pending_limit_orders_at_market_close() {
+    let date1 = d(2025, 1, 2);
+    let date2 = d(2025, 1, 3);
+    let data = DataSet::from_components(
+        vec![Instrument {
+            symbol: "000001.SZ".to_string(),
+            name: "Anchor".to_string(),
+            board: "SZ".to_string(),
+            round_lot: 100,
+            listed_at: Some(d(2020, 1, 1)),
+            delisted_at: None,
+            status: "active".to_string(),
+        }],
+        vec![
+            DailyMarketSnapshot {
+                date: date1,
+                symbol: "000001.SZ".to_string(),
+                timestamp: Some("2025-01-02 10:18:00".to_string()),
+                day_open: 10.0,
+                open: 10.0,
+                high: 10.1,
+                low: 9.9,
+                close: 10.0,
+                last_price: 10.0,
+                bid1: 10.0,
+                ask1: 10.0,
+                prev_close: 10.0,
+                volume: 100_000,
+                tick_volume: 100_000,
+                bid1_volume: 100_000,
+                ask1_volume: 100_000,
+                trading_phase: Some("continuous".to_string()),
+                paused: false,
+                upper_limit: 11.0,
+                lower_limit: 9.0,
+                price_tick: 0.01,
+            },
+            DailyMarketSnapshot {
+                date: date2,
+                symbol: "000001.SZ".to_string(),
+                timestamp: Some("2025-01-03 10:18:00".to_string()),
+                day_open: 9.7,
+                open: 9.7,
+                high: 9.8,
+                low: 9.6,
+                close: 9.7,
+                last_price: 9.7,
+                bid1: 9.7,
+                ask1: 9.7,
+                prev_close: 10.0,
+                volume: 100_000,
+                tick_volume: 100_000,
+                bid1_volume: 100_000,
+                ask1_volume: 100_000,
+                trading_phase: Some("continuous".to_string()),
+                paused: false,
+                upper_limit: 10.67,
+                lower_limit: 9.0,
+                price_tick: 0.01,
+            },
+        ],
+        vec![
+            DailyFactorSnapshot {
+                date: date1,
+                symbol: "000001.SZ".to_string(),
+                market_cap_bn: 20.0,
+                free_float_cap_bn: 18.0,
+                pe_ttm: 10.0,
+                turnover_ratio: Some(1.0),
+                effective_turnover_ratio: Some(1.0),
+                extra_factors: BTreeMap::new(),
+            },
+            DailyFactorSnapshot {
+                date: date2,
+                symbol: "000001.SZ".to_string(),
+                market_cap_bn: 21.0,
+                free_float_cap_bn: 19.0,
+                pe_ttm: 10.0,
+                turnover_ratio: Some(1.0),
+                effective_turnover_ratio: Some(1.0),
+                extra_factors: BTreeMap::new(),
+            },
+        ],
+        vec![
+            CandidateEligibility {
+                date: date1,
+                symbol: "000001.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,
+            },
+            CandidateEligibility {
+                date: date2,
+                symbol: "000001.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: date1,
+                benchmark: "000300.SH".to_string(),
+                open: 100.0,
+                close: 100.0,
+                prev_close: 99.0,
+                volume: 1_000_000,
+            },
+            BenchmarkSnapshot {
+                date: date2,
+                benchmark: "000300.SH".to_string(),
+                open: 101.0,
+                close: 101.0,
+                prev_close: 100.0,
+                volume: 1_100_000,
+            },
+        ],
+    )
+    .expect("dataset");
+
+    let broker = BrokerSimulator::new_with_execution_price(
+        ChinaAShareCostModel::default(),
+        ChinaEquityRuleHooks::default(),
+        PriceField::Open,
+    );
+    let strategy = LimitCarryStrategy { issued: false };
+    let mut engine = BacktestEngine::new(
+        data,
+        strategy,
+        broker,
+        BacktestConfig {
+            initial_cash: 100_000.0,
+            benchmark_code: "000300.SH".to_string(),
+            start_date: Some(date1),
+            end_date: Some(date2),
+            decision_lag_trading_days: 0,
+            execution_price_field: PriceField::Open,
+        },
+    );
+
+    let result = engine.run().expect("backtest run");
+    assert!(result.fills.is_empty());
+    assert!(result.holdings_summary.is_empty());
+    assert!(
+        result.order_events.iter().any(|event| {
+            event.date == date1 && event.status == fidc_core::OrderStatus::Pending
+        })
+    );
+    assert!(result.order_events.iter().any(|event| {
+        event.date == date1
+            && event.status == fidc_core::OrderStatus::Rejected
+            && event.reason.contains("Market close")
+    }));
+    assert!(result.process_events.iter().any(|event| {
+        event.date == date1 && event.kind == ProcessEventKind::OrderUnsolicitedUpdate
+    }));
+}
+
 #[test]
 fn engine_runs_scheduled_rules_for_daily_weekly_and_monthly_triggers() {
     let date1 = d(2025, 1, 30);

crates/fidc-core/tests/explicit_order_flow.rs

@@ -2740,7 +2740,7 @@ fn two_day_limit_order_data(day1_open: f64, day2_open: f64) -> DataSet {
 }
 
 #[test]
-fn broker_keeps_limit_buy_open_until_price_becomes_marketable() {
+fn broker_rejects_open_limit_buy_at_market_close() {
     let day1 = NaiveDate::from_ymd_opt(2024, 1, 10).unwrap();
     let day2 = NaiveDate::from_ymd_opt(2024, 1, 11).unwrap();
     let data = two_day_limit_order_data(10.0, 9.7);
@@ -2776,6 +2776,20 @@ fn broker_keeps_limit_buy_open_until_price_becomes_marketable() {
     assert_eq!(day1_report.order_events[0].status, OrderStatus::Pending);
     let order_id = day1_report.order_events[0].order_id.expect("order id");
 
+    let close_report = broker.after_trading(day1);
+    assert!(close_report.fill_events.is_empty());
+    assert_eq!(close_report.order_events.len(), 1);
+    assert_eq!(close_report.order_events[0].order_id, Some(order_id));
+    assert_eq!(close_report.order_events[0].status, OrderStatus::Rejected);
+    assert!(
+        close_report.order_events[0]
+            .reason
+            .contains("Order Rejected: 000002.SZ can not match. Market close.")
+    );
+    assert!(close_report.process_events.iter().any(|event| {
+        event.kind == ProcessEventKind::OrderUnsolicitedUpdate && event.order_id == Some(order_id)
+    }));
+
     let day2_report = broker
         .execute(
             day2,
@@ -2791,15 +2805,9 @@ fn broker_keeps_limit_buy_open_until_price_becomes_marketable() {
             },
         )
         .expect("day2 execution");
-    assert_eq!(day2_report.fill_events.len(), 1);
+    assert!(day2_report.fill_events.is_empty());
-    assert_eq!(day2_report.fill_events[0].order_id, Some(order_id));
+    assert!(day2_report.order_events.is_empty());
-    assert_eq!(day2_report.order_events.len(), 1);
+    assert!(portfolio.position("000002.SZ").is_none());
-    assert_eq!(day2_report.order_events[0].status, OrderStatus::Filled);
-    assert_eq!(day2_report.order_events[0].order_id, Some(order_id));
-    assert_eq!(
-        portfolio.position("000002.SZ").expect("position").quantity,
-        200
-    );
 }
 
 #[test]
@@ -2901,7 +2909,6 @@ fn broker_executes_limit_value_and_limit_percent_intents() {
 #[test]
 fn broker_cancels_open_order_by_order_id() {
     let day1 = NaiveDate::from_ymd_opt(2024, 1, 10).unwrap();
-    let day2 = NaiveDate::from_ymd_opt(2024, 1, 11).unwrap();
     let data = two_day_limit_order_data(10.0, 10.1);
     let broker = BrokerSimulator::new_with_execution_price(
         ChinaAShareCostModel::default(),
@@ -2934,7 +2941,7 @@ fn broker_cancels_open_order_by_order_id() {
 
     let day2_report = broker
         .execute(
-            day2,
+            day1,
             &mut portfolio,
             &data,
             &StrategyDecision {
@@ -2958,6 +2965,12 @@ fn broker_cancels_open_order_by_order_id() {
             .iter()
             .any(|event| event.order_id == Some(order_id) && event.status == OrderStatus::Canceled)
     );
+    assert!(day2_report.process_events.iter().any(|event| {
+        event.kind == ProcessEventKind::OrderPendingCancel && event.order_id == Some(order_id)
+    }));
+    assert!(day2_report.process_events.iter().any(|event| {
+        event.kind == ProcessEventKind::OrderCancellationPass && event.order_id == Some(order_id)
+    }));
     assert!(portfolio.position("000002.SZ").is_none());
 }