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) => {

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(),

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,
+    IntradayExecutionQuote, MatchingType, OrderIntent, PortfolioState, PriceField,
-    SlippageModel, StrategyDecision,
+    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();