Align order costs and rebalance priority with rqalpha

crates/fidc-core/src/cost.rs

@@ -1,3 +1,5 @@
+use std::collections::BTreeMap;
+
 use chrono::NaiveDate;
 
 use crate::events::OrderSide;
@@ -18,6 +20,17 @@ impl TradingCost {
 
 pub trait CostModel {
     fn calculate(&self, date: NaiveDate, side: OrderSide, gross_amount: f64) -> TradingCost;
+
+    fn calculate_with_order_state(
+        &self,
+        date: NaiveDate,
+        side: OrderSide,
+        gross_amount: f64,
+        _order_id: Option<u64>,
+        _commission_state: &mut BTreeMap<u64, f64>,
+    ) -> TradingCost {
+        self.calculate(date, side, gross_amount)
+    }
 }
 
 #[derive(Debug, Clone, Copy)]
@@ -67,6 +80,43 @@ impl ChinaAShareCostModel {
         }
         gross_amount * self.stamp_tax_rate_for(date)
     }
+
+    pub fn commission_for_order_fill(
+        &self,
+        gross_amount: f64,
+        order_id: Option<u64>,
+        commission_state: &mut BTreeMap<u64, f64>,
+    ) -> f64 {
+        if gross_amount <= 0.0 {
+            return 0.0;
+        }
+
+        let raw_commission = gross_amount * self.commission_rate;
+        let Some(order_id) = order_id else {
+            return raw_commission.max(self.minimum_commission);
+        };
+
+        let remaining_minimum = commission_state
+            .entry(order_id)
+            .or_insert(self.minimum_commission);
+        if raw_commission > *remaining_minimum {
+            let charged = if (*remaining_minimum - self.minimum_commission).abs() < 1e-12 {
+                raw_commission
+            } else {
+                raw_commission - *remaining_minimum
+            };
+            *remaining_minimum = 0.0;
+            charged
+        } else {
+            let charged = if (*remaining_minimum - self.minimum_commission).abs() < 1e-12 {
+                self.minimum_commission
+            } else {
+                0.0
+            };
+            *remaining_minimum -= raw_commission;
+            charged
+        }
+    }
 }
 
 impl CostModel for ChinaAShareCostModel {
@@ -86,4 +136,28 @@ impl CostModel for ChinaAShareCostModel {
             stamp_tax,
         }
     }
+
+    fn calculate_with_order_state(
+        &self,
+        date: NaiveDate,
+        side: OrderSide,
+        gross_amount: f64,
+        order_id: Option<u64>,
+        commission_state: &mut BTreeMap<u64, f64>,
+    ) -> TradingCost {
+        if gross_amount <= 0.0 {
+            return TradingCost {
+                commission: 0.0,
+                stamp_tax: 0.0,
+            };
+        }
+
+        let commission = self.commission_for_order_fill(gross_amount, order_id, commission_state);
+        let stamp_tax = self.stamp_tax_for(date, side, gross_amount);
+
+        TradingCost {
+            commission,
+            stamp_tax,
+        }
+    }
 }