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Tighten market order residual fill semantics

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This commit is contained in:
boris
2026-04-21 08:12:21 -07:00
parent 3652f80d85
commit c67932a2c9
2 changed files with 0 additions and 104 deletions
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75
crates/fidc-core/src/broker.rs
View File

@@ -716,7 +716,6 @@ where
let mut filled_qty = 0_u32;
let mut gross_amount = 0.0_f64;
let mut last_timestamp = None;
let mut last_quote_price = None;
for quote in quotes {
if start_cursor.is_some_and(|cursor| quote.timestamp < cursor) {
@@ -728,10 +727,6 @@ where
} else {
quote.buy_price()
};
if fallback_quote_price.is_some() {
last_quote_price = fallback_quote_price;
last_timestamp = Some(quote.timestamp);
}
if quote.volume_delta == 0 {
continue;
@@ -784,35 +779,6 @@ where
}
}
if filled_qty < requested_qty {
let remaining_qty = requested_qty.saturating_sub(filled_qty);
let mut residual_qty = self.round_buy_quantity(remaining_qty, lot);
if residual_qty > 0 {
if let Some(residual_price) = last_quote_price {
if let Some(cash) = cash_limit {
while residual_qty > 0 {
let candidate_gross =
gross_amount + residual_price * residual_qty as f64;
if gross_limit.is_some_and(|limit| candidate_gross > limit + 1e-6) {
residual_qty = residual_qty.saturating_sub(lot);
continue;
}
let candidate_cost =
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);
}
}
if residual_qty > 0 {
gross_amount += residual_price * residual_qty as f64;
filled_qty += residual_qty;
}
}
}
}
if filled_qty == 0 {
return None;
}
@@ -1177,22 +1143,12 @@ where
let mut filled_qty = 0_u32;
let mut gross_amount = 0.0_f64;
let mut last_timestamp = None;
let mut last_quote_price = None;
for quote in quotes {
if start_cursor.is_some_and(|cursor| quote.timestamp < cursor) {
continue;
}
let fallback_quote_price = match side {
OrderSide::Buy => quote.buy_price(),
OrderSide::Sell => quote.sell_price(),
};
if fallback_quote_price.is_some() {
last_quote_price = fallback_quote_price;
last_timestamp = Some(quote.timestamp);
}
// Approximate JoinQuant market-order fills with the evolving L1 book after
// the decision time instead of trade VWAP. This keeps quantities/prices
// closer to the observed 10:18 execution logs.
@@ -1256,37 +1212,6 @@ where
}
}
if filled_qty < requested_qty {
let remaining_qty = requested_qty.saturating_sub(filled_qty);
let mut residual_qty = self.round_buy_quantity(remaining_qty, lot);
if residual_qty > 0 {
if let Some(residual_price) = last_quote_price {
if let Some(cash) = cash_limit {
while residual_qty > 0 {
let candidate_gross =
gross_amount + residual_price * residual_qty as f64;
if gross_limit.is_some_and(|limit| candidate_gross > limit + 1e-6) {
residual_qty = residual_qty.saturating_sub(lot);
continue;
}
if candidate_gross <= cash + 1e-6 {
break;
}
residual_qty = residual_qty.saturating_sub(lot);
}
}
if residual_qty > 0 {
let execution_price = match side {
OrderSide::Buy => residual_price,
OrderSide::Sell => residual_price,
};
gross_amount += execution_price * residual_qty as f64;
filled_qty += residual_qty;
}
}
}
}
if filled_qty == 0 {
return None;
}

29
crates/fidc-core/src/strategy.rs
View File

@@ -820,7 +820,6 @@ impl JqMicroCapStrategy {
let mut filled_qty = 0_u32;
let mut gross_amount = 0.0_f64;
let mut last_timestamp = None;
let mut last_quote_price = None;
for quote in quotes {
if start_cursor.is_some_and(|cursor| quote.timestamp < cursor) {
@@ -838,7 +837,6 @@ impl JqMicroCapStrategy {
OrderSide::Sell => quote.sell_price(),
};
if fallback_quote_price.is_some() {
last_quote_price = fallback_quote_price;
last_timestamp = Some(quote.timestamp);
}
@@ -893,33 +891,6 @@ impl JqMicroCapStrategy {
}
}
if filled_qty < requested_qty {
let remaining_qty = requested_qty.saturating_sub(filled_qty);
let mut residual_qty = self.round_lot_quantity(remaining_qty, lot);
if residual_qty > 0 {
if let Some(residual_price) = last_quote_price {
if let Some(cash) = cash_limit {
while residual_qty > 0 {
let candidate_gross =
gross_amount + residual_price * residual_qty as f64;
if gross_limit.is_some_and(|limit| candidate_gross > limit + 1e-6) {
residual_qty = residual_qty.saturating_sub(lot);
continue;
}
if candidate_gross <= cash + 1e-6 {
break;
}
residual_qty = residual_qty.saturating_sub(lot);
}
}
if residual_qty > 0 {
gross_amount += residual_price * residual_qty as f64;
filled_qty += residual_qty;
}
}
}
}
if filled_qty == 0 {
return None;
}