Add VWAP matching mode

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<C, R> {
     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<C, R> BrokerSimulator<C, R> {
             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<C, R> BrokerSimulator<C, R> {
             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<C, R> BrokerSimulator<C, R> {
         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<String>, next: Option<&str>) -> Option<String> {
     match (current, next) {
         (Some(existing), Some(next_reason)) if !existing.contains(next_reason) => {