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Fix percent-equity fee and margin lifecycle parity #133

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Merged
luisleo526 merged 1 commit into from
Jul 23, 2026
Merged

Fix percent-equity fee and margin lifecycle parity #133

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78 changes: 51 additions & 27 deletions include/pineforge/engine.hpp
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Original file line number Diff line number Diff line change
Expand Up @@ -435,7 +435,8 @@ struct PendingOrder {
std::numeric_limits<double>::quiet_NaN();
// TV margin-admission snapshot for a FROZEN default-sized market order
// (KI-54). Captured at the same placement point as frozen_default_qty:
// sizing_equity = current_equity() + open_profit(close(S)) [account ccy]
// sizing_equity = current_equity() + open_profit(close(S))
// - paid commission on surviving open lots [account ccy]
// sizing_price = close(S) + slippage*mintick*(+1 buy/-1 sell)
// At fill time the broker re-checks (see the gate in
// apply_filled_order_to_state for the full evidence trail)
Expand Down Expand Up @@ -506,7 +507,7 @@ struct PendingOrder {
// 99.94%); mdfe3757 306/306.
bool explicit_flat_admission_candidate = false;
// Placement-time equity snapshot (account ccy) for the explicit-qty gate:
// current_equity() + open_profit(close(S)) == realized equity when flat
// percent_commission_live_equity(close(S)) == realized equity when flat
// Captured at the explicit-qty MARKET placement point. NaN = no snapshot.
double explicit_placement_equity = std::numeric_limits<double>::quiet_NaN();
// Slipped signal close at placement (frozen_sizing_price convention:
Expand Down Expand Up @@ -635,17 +636,31 @@ class BacktestEngine {
bool opening_affordability_pending_ = false;
bool opening_affordability_eligible_ = false;
// The queued event came from a successful, commissioned, omitted-qty
// percent_of_equity=100 high-level MARKET long that was created and filled
// from true flat. process_margin_call combines this one-shot provenance
// with the actual margin/commission arithmetic before applying TV's
// fee-created, floor-zero one-contract fallback. Reversals, adds,
// percent_of_equity=100 high-level MARKET long that filled from flat.
// It covers the proven true-flat form and the separately proven
// close-then-open form. process_margin_call combines this one-shot
// provenance with the actual margin/commission arithmetic before applying
// TV's fee-created, floor-zero one-contract fallback. Adds,
// explicit/priced/RAW orders and zero/CASH commission stay outside it.
bool opening_affordability_commissioned_default_flat_long_ = false;
bool commissioned_all_in_market_long_opening_affordability_ = false;
// The queued event came from a successful omitted-qty, 100%-of-equity
// MARKET reversal from SHORT to LONG at 100% long margin with zero opening
// commission. TV applies a one-contract post-fill affordability trim when
// this exact reversal has a positive but sub-lot restore amount.
bool opening_affordability_default_long_reversal_ = false;
// A close-then-open SHORT whose omitted 100%-of-equity MARKET order was
// placed while LONG after a full strategy.close in the same Pine
// evaluation, and therefore reaches the fill from FLAT with zero
// deferred-flip carry. The one-shot bit queues the fill-price affordability
// pass and then one ordinary adverse-price pass on that same bar, even when
// the opening check itself is a no-op.
bool close_then_short_opening_requires_adverse_retry_ = false;
// Position-lifecycle provenance for a commissioned, omitted-qty,
// percent-of-equity=100 MARKET short that fills from flat at 100% short
// margin. Unlike the one-shot close-then-short opening event, this remains
// live across partial margin trims and clears when the position lifecycle
// ends or a later add changes its shape.
bool commissioned_all_in_market_short_lifecycle_ = false;
double opening_affordability_raw_fill_base_ =
std::numeric_limits<double>::quiet_NaN();
int64_t position_entry_time_ = 0;
Expand Down Expand Up @@ -1394,6 +1409,16 @@ class BacktestEngine {
pe.entry_commission_account = calc_commission(pe.price, pe.qty);
}

// Sum the already-paid percent entry commission attributable to the
// still-open pyramid slices. FIFO partial exits scale each surviving
// snapshot. Cash commission types remain outside this TV-pinned rule.
double surviving_open_percent_commission_account() const;

// TradingView debits percent entry commission at fill, while PineForge
// realizes both commission legs in net_profit_sum_ when the lot closes.
// Use this fee-net ledger for percent-of-equity sizing and broker margin.
double percent_commission_live_equity(double mark_price) const;

// --- Position sizing helper ---
// PERCENT_OF_EQUITY / CASH size a budget that is denominated in ACCOUNT
// currency (equity, and a strategy.cash default_qty_value are both
Expand Down Expand Up @@ -1461,23 +1486,14 @@ class BacktestEngine {
case QtyType::FIXED:
return apply_qty_step(default_qty_value_);
case QtyType::PERCENT_OF_EQUITY: {
// TradingView's percent-of-equity default sizing uses
// strategy.equity, i.e. initial capital + closed PnL +
// mark-to-market open PnL. Keep current_equity() as the
// closed-equity accessor used elsewhere, but size new default
// percent orders from the live equity snapshot so pyramid adds
// and same-bar/re-entry sizing see unrealized PnL.
//
// KNOWN RESIDUAL (unresolved, do not "fix" without a probe):
// for an entry sized while a position is open AND commission_
// type=percent, TV appears to also deduct the entry fee already
// charged on the open lot (it debits at fill; we book both legs
// at close). Three independent reconstructions of TV's equity
// chain disagreed on whether that term belongs here — adding it
// made one strategy's predicted quantities exact and two others
// markedly worse, and it cut end-to-end coverage. Settle it
// with a clean-room TV probe (the KI-52 method), not algebra.
double equity = current_equity() + open_profit(current_bar_.close);
// KI-56's clean-room v6 flat/holding pair proves that an
// omitted percent-of-equity add sizes from mark-to-market
// equity AFTER the paid percent commission on surviving lots.
// This is a ledger rule, independent of pct=100, margin, or
// how the already-open position was sized.
const double equity =
percent_commission_live_equity(current_bar_.close);
if (!std::isfinite(equity)) return 0.0;
double cash = reserve_percent_commission(equity * (default_qty_value_ / 100.0)) / active_account_currency_fx();
// Reject (qty 0) on a non-finite / non-positive fill price — a
// degenerate $0/NaN print must NOT size as the raw % number.
Expand Down Expand Up @@ -1561,7 +1577,7 @@ class BacktestEngine {
o.frozen_default_qty = calc_qty(o.sizing_price);
if (!std::isnan(o.sizing_equity)) {
o.sizing_equity =
current_equity() + open_profit(current_bar_.close);
percent_commission_live_equity(current_bar_.close);
}
o.sizing_fx = active_account_currency_fx();
}
Expand Down Expand Up @@ -2281,6 +2297,11 @@ class BacktestEngine {
double calc_qty_for_type(double fill_price, double qty_value, int qty_type) const;

private:
enum class PositionReductionCause {
SCRIPT_ORDER,
MARGIN_CALL,
};

void execute_market_entry(const std::string& id, bool is_long, double fill_price,
double explicit_qty,
int explicit_qty_type,
Expand All @@ -2294,7 +2315,9 @@ class BacktestEngine {
bool explicit_qty_prequantized,
uint64_t entry_incarnation);
void execute_market_exit(double fill_price);
void execute_partial_exit_qty(double fill_price, double qty_to_close);
void execute_partial_exit_qty(
double fill_price, double qty_to_close,
PositionReductionCause cause = PositionReductionCause::SCRIPT_ORDER);
void execute_partial_exit(double fill_price, double qty_percent);
void execute_partial_exit_by_entry(double fill_price, const std::string& from_entry);
void execute_partial_exit_by_entry_qty(double fill_price,
Expand Down Expand Up @@ -2509,7 +2532,8 @@ class BacktestEngine {
void reset_run_state();
double account_currency_fx_at(int64_t timestamp_ms) const;
double active_account_currency_fx() const;
void settle_position_after_partial_exit();
void settle_position_after_partial_exit(
double qty_before, PositionReductionCause cause);
void enter_market_from_flat(const std::string& id, bool is_long,
double fill_price, double explicit_qty,
int explicit_qty_type,
Expand Down
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