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work on engine

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This commit is contained in:
Boki 2025-07-04 12:38:46 -04:00
parent a1e5a21847
commit cbe8f0282c
12 changed files with 694 additions and 16 deletions
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18
apps/stock/engine/src/core/execution_handlers.rs
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@ -76,14 +76,22 @@ pub struct BacktestFillSimulator {
slippage_model: SlippageModel,
impact_model: MarketImpactModel,
microstructure_cache: Mutex<HashMap<String, MarketMicrostructure>>,
commission_rate: f64,
slippage_rate: f64,
}
impl BacktestFillSimulator {
pub fn new() -> Self {
Self::with_config(0.001, 0.0001) // Default values
}
pub fn with_config(commission_rate: f64, slippage_rate: f64) -> Self {
Self {
slippage_model: SlippageModel::default(),
impact_model: MarketImpactModel::new(ImpactModelType::SquareRoot),
microstructure_cache: Mutex::new(HashMap::new()),
commission_rate,
slippage_rate,
}
}
@ -146,10 +154,8 @@ impl FillSimulator for BacktestFillSimulator {
}
};
// Calculate realistic commission
let commission_rate = 0.0005; // 5 bps for institutional
let min_commission = 1.0;
let commission = (order.quantity * price * commission_rate).max(min_commission);
// Calculate commission using configured rate
let commission = order.quantity * price * self.commission_rate;
Some(Fill {
timestamp: Utc::now(), // Will be overridden by backtest engine
@ -167,7 +173,7 @@ impl FillSimulator for BacktestFillSimulator {
timestamp: Utc::now(),
price: *limit_price,
quantity: order.quantity,
commission: order.quantity * limit_price * 0.001,
commission: order.quantity * limit_price * self.commission_rate,
})
} else {
None
@ -179,7 +185,7 @@ impl FillSimulator for BacktestFillSimulator {
timestamp: Utc::now(),
price: *limit_price,
quantity: order.quantity,
commission: order.quantity * limit_price * 0.001,
commission: order.quantity * limit_price * self.commission_rate,
})
} else {
None