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Add futures depth matching and mod loader

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boris
2026-04-23 21:51:45 -07:00
parent ed8ac385e4
commit 895aee1388
7 changed files with 537 additions and 20 deletions
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7
crates/fidc-core/src/strategy_ai.rs
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@@ -120,7 +120,7 @@ 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\" | \"next_tick_best_own\" | \"next_tick_best_counterparty\" | \"counterparty_offer\" | \"vwap\" | \"current_bar_close\" | \"next_bar_open\" | \"open_auction\")。其中 next_tick_last 使用 tick 的 last_price；next_tick_best_own / next_tick_best_counterparty 会按 L1 买一卖一近似 rqalpha 的 tick 最优价语义，counterparty_offer 当前也按 L1 对手方报价近似实现；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) / execution.slippage(\"limit_price\")，其中 limit_price 会在限价单成交时按挂单价模拟 rqalpha 的最坏成交价。".to_string(),
detail: "设置撮合模式和滑点。支持 execution.matching_type(\"next_tick_last\" | \"next_tick_best_own\" | \"next_tick_best_counterparty\" | \"counterparty_offer\" | \"vwap\" | \"current_bar_close\" | \"next_bar_open\" | \"open_auction\")。其中 next_tick_last 使用 tick 的 last_price；next_tick_best_own / next_tick_best_counterparty 会按 L1 买一卖一近似 rqalpha 的 tick 最优价语义；counterparty_offer 在存在 order_book_depth 多档盘口数据时会按真实档位逐档扫单并计算加权成交价，不存在 depth 时回退 L1 对手方报价；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) / execution.slippage(\"limit_price\")，其中 limit_price 会在限价单成交时按挂单价模拟 rqalpha 的最坏成交价。".to_string(),
},
ManualSection {
title: "trading.rotation / order.* / cancel.* / update_universe / subscribe".to_string(),
@@ -238,6 +238,11 @@ pub fn built_in_strategy_manual() -> StrategyAiManual {
detail: "股票指标因子原表，可映射进 factors[...]。".to_string(),
fields: vec![],
},
ManualFactorSource {
table: "order_book_depth.csv / order_book_depth/".to_string(),
detail: "可选多档盘口数据源，字段为 date,symbol,timestamp,level,bid_price,bid_volume,ask_price,ask_volume。存在该数据时，期货 counterparty_offer / next_tick_best_counterparty 可按真实多档盘口逐档扫单；不存在时不会伪造 depth。".to_string(),
fields: vec![],
},
],
examples: vec![
ManualExample {