Reserve sellable quantity for open orders

2026-04-23 03:17:09 -07:00
parent 14326c0847
commit f65267accf
2 changed files with 139 additions and 4 deletions
--- a/crates/fidc-core/tests/explicit_order_flow.rs
+++ b/crates/fidc-core/tests/explicit_order_flow.rs
@@ -2864,3 +2864,119 @@ fn broker_cancels_open_order_by_order_id() {
    );
    assert!(portfolio.position("000002.SZ").is_none());
 }
+
+#[test]
+fn broker_reserves_sellable_quantity_for_open_limit_sells() {
+    let date = NaiveDate::from_ymd_opt(2024, 1, 10).unwrap();
+    let prev_date = NaiveDate::from_ymd_opt(2024, 1, 9).unwrap();
+    let data = DataSet::from_components(
+        vec![Instrument {
+            symbol: "000002.SZ".to_string(),
+            name: "Test".to_string(),
+            board: "SZ".to_string(),
+            round_lot: 100,
+            listed_at: None,
+            delisted_at: None,
+            status: "active".to_string(),
+        }],
+        vec![DailyMarketSnapshot {
+            date,
+            symbol: "000002.SZ".to_string(),
+            timestamp: Some("2024-01-10 09:30:00".to_string()),
+            day_open: 10.0,
+            open: 10.0,
+            high: 10.2,
+            low: 9.8,
+            close: 10.0,
+            last_price: 10.0,
+            bid1: 9.99,
+            ask1: 10.01,
+            prev_close: 10.0,
+            volume: 100_000,
+            tick_volume: 100_000,
+            bid1_volume: 80_000,
+            ask1_volume: 80_000,
+            trading_phase: Some("continuous".to_string()),
+            paused: false,
+            upper_limit: 11.0,
+            lower_limit: 9.0,
+            price_tick: 0.01,
+        }],
+        vec![DailyFactorSnapshot {
+            date,
+            symbol: "000002.SZ".to_string(),
+            market_cap_bn: 50.0,
+            free_float_cap_bn: 45.0,
+            pe_ttm: 15.0,
+            turnover_ratio: Some(2.0),
+            effective_turnover_ratio: Some(1.8),
+            extra_factors: BTreeMap::new(),
+        }],
+        vec![CandidateEligibility {
+            date,
+            symbol: "000002.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,
+            benchmark: "000300.SH".to_string(),
+            open: 100.0,
+            close: 100.0,
+            prev_close: 99.0,
+            volume: 1_000_000,
+        }],
+    )
+    .expect("dataset");
+    let broker = BrokerSimulator::new_with_execution_price(
+        ChinaAShareCostModel::default(),
+        ChinaEquityRuleHooks::default(),
+        PriceField::Open,
+    );
+    let mut portfolio = PortfolioState::new(1_000_000.0);
+    portfolio
+        .position_mut("000002.SZ")
+        .buy(prev_date, 300, 10.0);
+
+    let report = broker
+        .execute(
+            date,
+            &mut portfolio,
+            &data,
+            &StrategyDecision {
+                rebalance: false,
+                target_weights: BTreeMap::new(),
+                exit_symbols: BTreeSet::new(),
+                order_intents: vec![
+                    OrderIntent::LimitShares {
+                        symbol: "000002.SZ".to_string(),
+                        quantity: -200,
+                        limit_price: 10.5,
+                        reason: "reserve_sell".to_string(),
+                    },
+                    OrderIntent::Shares {
+                        symbol: "000002.SZ".to_string(),
+                        quantity: -200,
+                        reason: "second_sell".to_string(),
+                    },
+                ],
+                notes: Vec::new(),
+                diagnostics: Vec::new(),
+            },
+        )
+        .expect("broker execution");
+
+    assert_eq!(report.order_events.len(), 2);
+    assert_eq!(report.order_events[0].status, OrderStatus::Pending);
+    assert_eq!(report.order_events[1].status, OrderStatus::PartiallyFilled);
+    assert_eq!(report.order_events[1].filled_quantity, 100);
+    assert_eq!(
+        portfolio.position("000002.SZ").expect("position").quantity,
+        200
+    );
+}