seventh version

internal/scheduler/scheduler.go

@@ -492,7 +492,7 @@ func (s *Scheduler) placeEntryOrders(ctx context.Context, now time.Time) error {
 			}
 			continue
 		}
-		pre, err := s.preTradeCheck(ctx, now, sig.InstrumentUID, portfolio, projectedOpenPositions, tradingStatus, book.ReceivedAt)
+		pre, err := s.preTradeCheck(ctx, now, sig.InstrumentUID, portfolio, projectedOpenPositions, false, tradingStatus, book.ReceivedAt)
 		if err != nil {
 			return err
 		}
@@ -567,7 +567,11 @@ func (s *Scheduler) monitorEntryOrders(ctx context.Context, now time.Time) error
 			return err
 		}
 		if monitored.FilledLots > order.FilledLots || monitored.Commission.GreaterThan(order.Commission) {
-			if err := s.recordEntryFill(ctx, instrument, monitored); err != nil {
+			fill := entryFillDelta(order, monitored)
+			if fill.FilledLots <= 0 && fill.Commission.IsZero() {
+				continue
+			}
+			if err := s.recordEntryFill(ctx, instrument, fill); err != nil {
 				return err
 			}
 		}
@@ -660,7 +664,7 @@ func (s *Scheduler) placeExitOrders(ctx context.Context, now time.Time) error {
 		if err != nil {
 			return err
 		}
-		pre, err := s.preTradeCheck(ctx, now, pos.InstrumentUID, portfolio, len(positionsList), tradingStatus, book.ReceivedAt)
+		pre, err := s.preTradeCheck(ctx, now, pos.InstrumentUID, portfolio, len(positionsList), true, tradingStatus, book.ReceivedAt)
 		if err != nil {
 			return err
 		}
@@ -1173,7 +1177,7 @@ func (s Scheduler) repostPreTradeCheck(ctx context.Context, now time.Time, order
 	if err != nil {
 		return err
 	}
-	pre, err := s.preTradeCheck(ctx, now, order.InstrumentUID, portfolio, len(openPositions), tradingStatus, book.ReceivedAt)
+	pre, err := s.preTradeCheck(ctx, now, order.InstrumentUID, portfolio, len(openPositions), order.Side == domain.SideSell, tradingStatus, book.ReceivedAt)
 	if err != nil {
 		return err
 	}
@@ -1194,7 +1198,7 @@ func (s Scheduler) checkEntryInstrumentBeforeOrder(instrument domain.Instrument,
 	return nil
 }
 
-func (s Scheduler) preTradeCheck(ctx context.Context, now time.Time, instrumentUID string, portfolio domain.Portfolio, openPositions int, tradingStatus domain.TradingStatus, quoteReceivedAt time.Time) (risk.PreTradeResult, error) {
+func (s Scheduler) preTradeCheck(ctx context.Context, now time.Time, instrumentUID string, portfolio domain.Portfolio, openPositions int, closingPosition bool, tradingStatus domain.TradingStatus, quoteReceivedAt time.Time) (risk.PreTradeResult, error) {
 	metrics, err := s.riskMetrics(ctx, now, portfolio)
 	if err != nil {
 		if haltErr := s.halt(ctx, "database_unavailable", fmt.Sprintf("pre-trade risk metrics unavailable: %s", err), instrumentUID); haltErr != nil {
@@ -1209,6 +1213,7 @@ func (s Scheduler) preTradeCheck(ctx context.Context, now time.Time, instrumentU
 	result := s.svc.Risk.PreTradeCheck(risk.PreTradeInput{
 		Portfolio:            portfolio,
 		OpenPositions:        openPositions,
+		ClosingPosition:      closingPosition,
 		DailyPnL:             metrics.dailyPnL,
 		WeeklyPnL:            metrics.weeklyPnL,
 		MonthlyDrawdownPct:   metrics.monthlyDrawdownPct,
@@ -1509,6 +1514,28 @@ func (s Scheduler) logWarn(msg string, args ...any) {
 	}
 }
 
+func entryFillDelta(previous, current domain.Order) domain.Order {
+	fill := current
+	fill.FilledLots = current.FilledLots - previous.FilledLots
+	if fill.FilledLots < 0 {
+		fill.FilledLots = 0
+	}
+	fill.Commission = current.Commission.Sub(previous.Commission)
+	if fill.Commission.IsNegative() {
+		fill.Commission = decimal.Zero
+	}
+	if fill.FilledLots > 0 {
+		currentValue := current.AvgFillPrice.Mul(decimal.NewFromInt(current.FilledLots))
+		previousValue := previous.AvgFillPrice.Mul(decimal.NewFromInt(previous.FilledLots))
+		fill.AvgFillPrice = currentValue.Sub(previousValue).Div(decimal.NewFromInt(fill.FilledLots))
+	}
+	fill.QuantityLots = current.QuantityLots - previous.FilledLots
+	if fill.QuantityLots < 0 {
+		fill.QuantityLots = 0
+	}
+	return fill
+}
+
 func exitFillDelta(previous, current domain.Order) domain.Order {
 	fill := current
 	fill.FilledLots = current.FilledLots - previous.FilledLots

internal/scheduler/scheduler_test.go

@@ -162,6 +162,36 @@ func TestExitFillDeltaUsesOnlyNewlyExecutedLots(t *testing.T) {
 	}
 }
 
+func TestEntryFillDeltaUsesOnlyNewlyExecutedLots(t *testing.T) {
+	previous := domain.Order{
+		QuantityLots:  10,
+		FilledLots:    4,
+		AvgFillPrice:  decimal.NewFromInt(100),
+		Commission:    decimal.NewFromFloat(0.40),
+		InstrumentUID: "uid",
+	}
+	current := domain.Order{
+		QuantityLots:  10,
+		FilledLots:    10,
+		AvgFillPrice:  decimal.NewFromInt(106),
+		Commission:    decimal.NewFromFloat(1.00),
+		InstrumentUID: "uid",
+	}
+	fill := entryFillDelta(previous, current)
+	if fill.FilledLots != 6 {
+		t.Fatalf("delta filled lots=%d, want 6", fill.FilledLots)
+	}
+	if fill.QuantityLots != 6 {
+		t.Fatalf("delta quantity lots=%d, want 6 remaining target", fill.QuantityLots)
+	}
+	if !fill.AvgFillPrice.Equal(decimal.NewFromInt(110)) {
+		t.Fatalf("delta avg fill price=%s, want 110", fill.AvgFillPrice)
+	}
+	if !fill.Commission.Equal(decimal.NewFromFloat(0.60)) {
+		t.Fatalf("delta commission=%s, want 0.60", fill.Commission)
+	}
+}
+
 func TestHardDeadlineMarksOpenPositionFailedAndHalts(t *testing.T) {
 	ctx := context.Background()
 	repo := testutil.NewMemoryRepository()
@@ -344,7 +374,7 @@ func TestPreTradeDailyLossBreachHalts(t *testing.T) {
 	_, err := s.preTradeCheck(ctx, now, "uid", domain.Portfolio{
 		Equity: decimal.NewFromInt(10000),
 		Cash:   decimal.NewFromInt(10000),
-	}, 0, domain.TradingStatusNormal, now)
+	}, 0, false, domain.TradingStatusNormal, now)
 	if !errors.Is(err, statemachine.ErrSystemHalted) {
 		t.Fatalf("err=%v, want ErrSystemHalted", err)
 	}