diff --git a/crates/fidc-core/src/broker.rs b/crates/fidc-core/src/broker.rs index 0e57ff4..3e5e53c 100644 --- a/crates/fidc-core/src/broker.rs +++ b/crates/fidc-core/src/broker.rs @@ -56,6 +56,7 @@ pub enum MatchingType { CurrentBarClose, NextBarOpen, NextTickLast, + Vwap, } #[derive(Debug, Clone, Copy, PartialEq)] @@ -69,6 +70,7 @@ pub struct BrokerSimulator { cost_model: C, rules: R, board_lot_size: u32, + matching_type: MatchingType, execution_price_field: PriceField, slippage_model: SlippageModel, volume_percent: f64, @@ -84,6 +86,7 @@ impl BrokerSimulator { cost_model, rules, board_lot_size: 100, + matching_type: matching_type_from_price_field(PriceField::Open), execution_price_field: PriceField::Open, slippage_model: SlippageModel::None, volume_percent: 0.25, @@ -103,6 +106,7 @@ impl BrokerSimulator { cost_model, rules, board_lot_size: 100, + matching_type: matching_type_from_price_field(execution_price_field), execution_price_field, slippage_model: SlippageModel::None, volume_percent: 0.25, @@ -138,6 +142,11 @@ impl BrokerSimulator { self } + pub fn with_matching_type(mut self, matching_type: MatchingType) -> Self { + self.matching_type = matching_type; + self + } + pub fn with_slippage_model(mut self, slippage_model: SlippageModel) -> Self { self.slippage_model = slippage_model; self @@ -2404,7 +2413,14 @@ where Some(ExecutionFill { quantity: filled_qty, next_cursor: last_timestamp.unwrap() + Duration::seconds(1), - legs, + legs: if self.matching_type == MatchingType::Vwap { + vec![ExecutionLeg { + price: gross_amount / filled_qty as f64, + quantity: filled_qty, + }] + } else { + legs + }, unfilled_reason: if filled_qty < requested_qty { budget_block_reason.or(if saw_quote_after_cursor { Some("intraday quote liquidity exhausted") @@ -2423,6 +2439,15 @@ where } } +fn matching_type_from_price_field(field: PriceField) -> MatchingType { + match field { + PriceField::DayOpen => MatchingType::OpenAuction, + PriceField::Open => MatchingType::NextBarOpen, + PriceField::Close => MatchingType::CurrentBarClose, + PriceField::Last => MatchingType::NextTickLast, + } +} + fn merge_partial_fill_reason(current: Option, next: Option<&str>) -> Option { match (current, next) { (Some(existing), Some(next_reason)) if !existing.contains(next_reason) => { diff --git a/crates/fidc-core/src/strategy_ai.rs b/crates/fidc-core/src/strategy_ai.rs index 69e0867..47c9f81 100644 --- a/crates/fidc-core/src/strategy_ai.rs +++ b/crates/fidc-core/src/strategy_ai.rs @@ -108,7 +108,7 @@ pub fn built_in_strategy_manual() -> StrategyAiManual { }, ManualSection { title: "execution.matching_type / execution.slippage".to_string(), - detail: "设置撮合模式和滑点。支持 execution.matching_type(\"next_tick_last\" | \"current_bar_close\" | \"next_bar_open\" | \"open_auction\")，其中 open_auction 使用当日集合竞价开盘价 day_open 进行撮合，且不额外施加滑点，并按竞价成交量而不是盘口一档流动性限制成交；滑点支持 execution.slippage(\"none\") / execution.slippage(\"price_ratio\", 0.001) / execution.slippage(\"tick_size\", 1)。".to_string(), + detail: "设置撮合模式和滑点。支持 execution.matching_type(\"next_tick_last\" | \"vwap\" | \"current_bar_close\" | \"next_bar_open\" | \"open_auction\")。其中 vwap 会在盘中执行价链路上聚合多笔成交为单条 VWAP 成交；open_auction 使用当日集合竞价开盘价 day_open 进行撮合，且不额外施加滑点，并按竞价成交量而不是盘口一档流动性限制成交；滑点支持 execution.slippage(\"none\") / execution.slippage(\"price_ratio\", 0.001) / execution.slippage(\"tick_size\", 1)。".to_string(), }, ManualSection { title: "when / unless / else".to_string(), diff --git a/crates/fidc-core/tests/explicit_order_flow.rs b/crates/fidc-core/tests/explicit_order_flow.rs index 8802a39..34e0bce 100644 --- a/crates/fidc-core/tests/explicit_order_flow.rs +++ b/crates/fidc-core/tests/explicit_order_flow.rs @@ -2,8 +2,8 @@ use chrono::NaiveDate; use fidc_core::{ BenchmarkSnapshot, BrokerSimulator, CandidateEligibility, ChinaAShareCostModel, ChinaEquityRuleHooks, DailyFactorSnapshot, DailyMarketSnapshot, DataSet, Instrument, - IntradayExecutionQuote, OrderIntent, PortfolioState, PriceField, ProcessEventKind, - SlippageModel, StrategyDecision, + IntradayExecutionQuote, MatchingType, OrderIntent, PortfolioState, PriceField, + ProcessEventKind, SlippageModel, StrategyDecision, }; use std::collections::{BTreeMap, BTreeSet}; @@ -1243,6 +1243,150 @@ fn broker_splits_intraday_quote_fills_and_tracks_commission_by_order() { })); } +#[test] +fn broker_aggregates_intraday_quote_fills_into_vwap_leg() { + let date = NaiveDate::from_ymd_opt(2024, 1, 10).unwrap(); + let data = DataSet::from_components_with_actions_and_quotes( + 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 10:18:00".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, + }], + Vec::new(), + vec![ + IntradayExecutionQuote { + date, + symbol: "000002.SZ".to_string(), + timestamp: date.and_hms_opt(10, 18, 3).unwrap(), + last_price: 10.01, + bid1: 10.0, + ask1: 10.02, + bid1_volume: 1, + ask1_volume: 1, + volume_delta: 1, + amount_delta: 0.0, + trading_phase: Some("continuous".to_string()), + }, + IntradayExecutionQuote { + date, + symbol: "000002.SZ".to_string(), + timestamp: date.and_hms_opt(10, 18, 6).unwrap(), + last_price: 10.03, + bid1: 10.02, + ask1: 10.04, + bid1_volume: 1, + ask1_volume: 1, + volume_delta: 1, + amount_delta: 0.0, + trading_phase: Some("continuous".to_string()), + }, + ], + ) + .expect("dataset"); + let mut portfolio = PortfolioState::new(1_000_000.0); + let broker = BrokerSimulator::new_with_execution_price( + ChinaAShareCostModel::default(), + ChinaEquityRuleHooks::default(), + PriceField::Last, + ) + .with_matching_type(MatchingType::Vwap); + + let report = broker + .execute( + date, + &mut portfolio, + &data, + &StrategyDecision { + rebalance: false, + target_weights: BTreeMap::new(), + exit_symbols: BTreeSet::new(), + order_intents: vec![OrderIntent::Value { + symbol: "000002.SZ".to_string(), + value: 2_500.0, + reason: "intraday_vwap_fill".to_string(), + }], + notes: Vec::new(), + diagnostics: Vec::new(), + }, + ) + .expect("broker execution"); + + assert_eq!(report.order_events.len(), 1); + assert_eq!( + report.order_events[0].status, + fidc_core::OrderStatus::Filled + ); + assert_eq!(report.fill_events.len(), 1); + assert_eq!(report.fill_events[0].quantity, 200); + assert!((report.fill_events[0].price - 10.03).abs() < 1e-9); + assert!((report.fill_events[0].commission - 5.0).abs() < 1e-9); + assert_eq!(report.account_events.len(), 1); + assert_eq!( + report + .process_events + .iter() + .filter(|event| event.kind == ProcessEventKind::Trade) + .count(), + 1 + ); +} + #[test] fn rebalance_optimizer_skips_unfunded_buy_when_existing_position_cannot_sell() { let prev_date = NaiveDate::from_ymd_opt(2024, 1, 9).unwrap();