Split intraday fills across execution quotes
This commit is contained in:
boris
@@ -20,10 +20,16 @@ pub struct BrokerExecutionReport {
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}
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#[derive(Debug, Clone, Copy)]
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struct ExecutionFill {
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struct ExecutionLeg {
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price: f64,
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quantity: u32,
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}
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#[derive(Debug, Clone)]
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struct ExecutionFill {
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quantity: u32,
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next_cursor: NaiveDateTime,
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legs: Vec<ExecutionLeg>,
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unfilled_reason: Option<&'static str>,
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}
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@@ -968,7 +974,6 @@ where
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return Ok(());
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}
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let cash_before = portfolio.cash();
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let fill = self.resolve_execution_fill(
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date,
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symbol,
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@@ -985,32 +990,87 @@ where
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None,
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None,
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);
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let (filled_qty, execution_price) = if let Some(fill) = fill {
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let (filled_qty, execution_legs) = if let Some(fill) = fill {
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execution_cursors.insert(symbol.to_string(), fill.next_cursor);
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if self.uses_serial_execution_cursor(reason) {
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*global_execution_cursor = Some(fill.next_cursor);
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}
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partial_fill_reason =
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merge_partial_fill_reason(partial_fill_reason, fill.unfilled_reason);
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(fill.quantity, fill.price)
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(fill.quantity, fill.legs)
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} else {
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(filled_qty, self.sell_price(snapshot))
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(
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filled_qty,
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vec![ExecutionLeg {
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price: self.sell_price(snapshot),
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quantity: filled_qty,
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}],
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)
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};
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let gross_amount = execution_price * filled_qty as f64;
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let cost = self.cost_model.calculate_with_order_state(
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date,
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OrderSide::Sell,
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gross_amount,
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Some(order_id),
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commission_state,
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);
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let net_cash = gross_amount - cost.total();
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if execution_legs.len() > 1 {
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report.diagnostics.push(format!(
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"order_split_fill symbol={symbol} side=sell order_id={order_id} fills={}",
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execution_legs.len()
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));
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}
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for leg in &execution_legs {
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let leg_cash_before = portfolio.cash();
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let gross_amount = leg.price * leg.quantity as f64;
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let cost = self.cost_model.calculate_with_order_state(
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date,
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OrderSide::Sell,
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gross_amount,
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Some(order_id),
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commission_state,
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);
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let net_cash = gross_amount - cost.total();
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let realized_pnl = portfolio
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.position_mut(symbol)
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.sell(leg.quantity, leg.price)
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.map_err(BacktestError::Execution)?;
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portfolio.apply_cash_delta(net_cash);
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let realized_pnl = portfolio
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.position_mut(symbol)
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.sell(filled_qty, execution_price)
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.map_err(BacktestError::Execution)?;
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portfolio.apply_cash_delta(net_cash);
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report.fill_events.push(FillEvent {
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date,
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order_id: Some(order_id),
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symbol: symbol.to_string(),
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side: OrderSide::Sell,
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quantity: leg.quantity,
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price: leg.price,
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gross_amount,
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commission: cost.commission,
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stamp_tax: cost.stamp_tax,
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net_cash_flow: net_cash,
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reason: reason.to_string(),
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});
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report.position_events.push(PositionEvent {
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date,
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symbol: symbol.to_string(),
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delta_quantity: -(leg.quantity as i32),
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quantity_after: portfolio
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.position(symbol)
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.map(|pos| pos.quantity)
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.unwrap_or(0),
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average_cost: portfolio
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.position(symbol)
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.map(|pos| pos.average_cost)
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.unwrap_or(0.0),
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realized_pnl_delta: realized_pnl,
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reason: reason.to_string(),
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});
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report.account_events.push(AccountEvent {
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date,
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cash_before: leg_cash_before,
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cash_after: portfolio.cash(),
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total_equity: self.total_equity_at(
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date,
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portfolio,
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data,
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self.account_mark_price_field(),
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)?,
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note: format!("sell {symbol} {reason}"),
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});
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}
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portfolio.prune_flat_positions();
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*intraday_turnover.entry(symbol.to_string()).or_default() += filled_qty;
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@@ -1041,46 +1101,6 @@ where
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status,
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reason: order_reason,
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});
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report.fill_events.push(FillEvent {
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date,
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order_id: Some(order_id),
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symbol: symbol.to_string(),
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side: OrderSide::Sell,
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quantity: filled_qty,
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price: execution_price,
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gross_amount,
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commission: cost.commission,
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stamp_tax: cost.stamp_tax,
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net_cash_flow: net_cash,
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reason: reason.to_string(),
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});
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report.position_events.push(PositionEvent {
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date,
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symbol: symbol.to_string(),
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delta_quantity: -(filled_qty as i32),
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quantity_after: portfolio
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.position(symbol)
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.map(|pos| pos.quantity)
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.unwrap_or(0),
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average_cost: portfolio
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.position(symbol)
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.map(|pos| pos.average_cost)
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.unwrap_or(0.0),
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realized_pnl_delta: realized_pnl,
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reason: reason.to_string(),
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});
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report.account_events.push(AccountEvent {
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date,
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cash_before,
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cash_after: portfolio.cash(),
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total_equity: self.total_equity_at(
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date,
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portfolio,
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data,
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self.account_mark_price_field(),
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)?,
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note: format!("sell {symbol} {reason}"),
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});
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Ok(())
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}
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@@ -1355,14 +1375,14 @@ where
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Some(portfolio.cash()),
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value_budget.map(|budget| budget + 400.0),
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);
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let (filled_qty, execution_price) = if let Some(fill) = fill {
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let (filled_qty, execution_legs) = if let Some(fill) = fill {
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execution_cursors.insert(symbol.to_string(), fill.next_cursor);
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if self.uses_serial_execution_cursor(reason) {
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*global_execution_cursor = Some(fill.next_cursor);
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}
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partial_fill_reason =
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merge_partial_fill_reason(partial_fill_reason, fill.unfilled_reason);
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(fill.quantity, fill.price)
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(fill.quantity, fill.legs)
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} else {
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let execution_price = self.snapshot_execution_price(snapshot, OrderSide::Buy);
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let filled_qty = self.affordable_buy_quantity(
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@@ -1386,7 +1406,13 @@ where
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),
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);
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}
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(filled_qty, execution_price)
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(
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filled_qty,
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vec![ExecutionLeg {
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price: execution_price,
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quantity: filled_qty,
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}],
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)
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};
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if filled_qty == 0 {
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report.order_events.push(OrderEvent {
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@@ -1407,21 +1433,70 @@ where
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return Ok(());
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}
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let cash_before = portfolio.cash();
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let gross_amount = execution_price * filled_qty as f64;
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let cost = self.cost_model.calculate_with_order_state(
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date,
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OrderSide::Buy,
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gross_amount,
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Some(order_id),
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commission_state,
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);
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let cash_out = gross_amount + cost.total();
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if execution_legs.len() > 1 {
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report.diagnostics.push(format!(
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"order_split_fill symbol={symbol} side=buy order_id={order_id} fills={}",
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execution_legs.len()
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));
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}
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for leg in &execution_legs {
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let leg_cash_before = portfolio.cash();
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let gross_amount = leg.price * leg.quantity as f64;
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let cost = self.cost_model.calculate_with_order_state(
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date,
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OrderSide::Buy,
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gross_amount,
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Some(order_id),
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commission_state,
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);
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let cash_out = gross_amount + cost.total();
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portfolio.apply_cash_delta(-cash_out);
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portfolio
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.position_mut(symbol)
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.buy(date, filled_qty, execution_price);
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portfolio.apply_cash_delta(-cash_out);
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portfolio
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.position_mut(symbol)
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.buy(date, leg.quantity, leg.price);
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report.fill_events.push(FillEvent {
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date,
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order_id: Some(order_id),
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symbol: symbol.to_string(),
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side: OrderSide::Buy,
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quantity: leg.quantity,
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price: leg.price,
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gross_amount,
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commission: cost.commission,
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stamp_tax: cost.stamp_tax,
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net_cash_flow: -cash_out,
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reason: reason.to_string(),
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});
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report.position_events.push(PositionEvent {
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date,
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symbol: symbol.to_string(),
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delta_quantity: leg.quantity as i32,
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quantity_after: portfolio
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.position(symbol)
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.map(|pos| pos.quantity)
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.unwrap_or(0),
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average_cost: portfolio
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.position(symbol)
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.map(|pos| pos.average_cost)
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.unwrap_or(0.0),
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realized_pnl_delta: 0.0,
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reason: reason.to_string(),
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});
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report.account_events.push(AccountEvent {
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date,
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cash_before: leg_cash_before,
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cash_after: portfolio.cash(),
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total_equity: self.total_equity_at(
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date,
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portfolio,
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data,
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self.account_mark_price_field(),
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)?,
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note: format!("buy {symbol} {reason}"),
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});
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}
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*intraday_turnover.entry(symbol.to_string()).or_default() += filled_qty;
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let status = if filled_qty < requested_qty {
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@@ -1451,46 +1526,6 @@ where
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status,
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reason: order_reason,
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});
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report.fill_events.push(FillEvent {
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date,
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order_id: Some(order_id),
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symbol: symbol.to_string(),
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side: OrderSide::Buy,
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quantity: filled_qty,
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price: execution_price,
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gross_amount,
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commission: cost.commission,
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stamp_tax: cost.stamp_tax,
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net_cash_flow: -cash_out,
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reason: reason.to_string(),
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});
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report.position_events.push(PositionEvent {
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date,
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symbol: symbol.to_string(),
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delta_quantity: filled_qty as i32,
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quantity_after: portfolio
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.position(symbol)
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.map(|pos| pos.quantity)
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.unwrap_or(0),
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average_cost: portfolio
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.position(symbol)
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.map(|pos| pos.average_cost)
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.unwrap_or(0.0),
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realized_pnl_delta: 0.0,
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reason: reason.to_string(),
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});
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report.account_events.push(AccountEvent {
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date,
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cash_before,
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cash_after: portfolio.cash(),
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total_equity: self.total_equity_at(
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date,
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portfolio,
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data,
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self.account_mark_price_field(),
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)?,
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note: format!("buy {symbol} {reason}"),
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});
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Ok(())
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}
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@@ -1734,9 +1769,12 @@ where
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.map(|start_time| date.and_time(start_time) + Duration::seconds(1))
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.unwrap_or_else(|| date.and_hms_opt(0, 0, 1).expect("valid midnight"));
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return Some(ExecutionFill {
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price: execution_price,
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quantity,
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next_cursor,
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legs: vec![ExecutionLeg {
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price: execution_price,
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quantity,
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}],
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unfilled_reason: self.buy_reduction_reason(
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cash_limit.unwrap_or(f64::INFINITY),
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gross_limit,
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@@ -1793,6 +1831,7 @@ where
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let mut filled_qty = 0_u32;
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let mut gross_amount = 0.0_f64;
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let mut last_timestamp = None;
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let mut legs = Vec::new();
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let mut budget_block_reason = None;
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let mut saw_quote_after_cursor = false;
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@@ -1865,6 +1904,10 @@ where
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gross_amount += quote_price * take_qty as f64;
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filled_qty += take_qty;
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last_timestamp = Some(quote.timestamp);
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legs.push(ExecutionLeg {
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price: quote_price,
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quantity: take_qty,
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});
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if filled_qty >= requested_qty {
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break;
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@@ -1876,9 +1919,9 @@ where
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}
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Some(ExecutionFill {
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price: gross_amount / filled_qty as f64,
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quantity: filled_qty,
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next_cursor: last_timestamp.unwrap() + Duration::seconds(1),
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legs,
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unfilled_reason: if filled_qty < requested_qty {
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budget_block_reason.or(if saw_quote_after_cursor {
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Some("intraday quote liquidity exhausted")
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