From 948aca21e8d9c03a2adde4ff5ced1990bfc407f3 Mon Sep 17 00:00:00 2001 From: boris Date: Thu, 23 Apr 2026 02:24:29 -0700 Subject: [PATCH] Add tick best-price matching modes --- crates/fidc-core/src/broker.rs | 51 +++- crates/fidc-core/src/strategy_ai.rs | 2 +- crates/fidc-core/tests/explicit_order_flow.rs | 234 +++++++++++++++++- 3 files changed, 280 insertions(+), 7 deletions(-) diff --git a/crates/fidc-core/src/broker.rs b/crates/fidc-core/src/broker.rs index 3e5e53c..9ecc3fc 100644 --- a/crates/fidc-core/src/broker.rs +++ b/crates/fidc-core/src/broker.rs @@ -56,6 +56,9 @@ pub enum MatchingType { CurrentBarClose, NextBarOpen, NextTickLast, + NextTickBestOwn, + NextTickBestCounterparty, + CounterpartyOffer, Vwap, } @@ -271,9 +274,51 @@ where quote: &IntradayExecutionQuote, side: OrderSide, ) -> Option { - let raw_price = match side { - OrderSide::Buy => quote.buy_price(), - OrderSide::Sell => quote.sell_price(), + let raw_price = match self.matching_type { + MatchingType::NextTickBestOwn => match side { + OrderSide::Buy => { + if quote.bid1.is_finite() && quote.bid1 > 0.0 { + Some(quote.bid1) + } else { + quote + .last_price + .is_finite() + .then_some(quote.last_price) + .filter(|price| *price > 0.0) + } + } + OrderSide::Sell => { + if quote.ask1.is_finite() && quote.ask1 > 0.0 { + Some(quote.ask1) + } else { + quote + .last_price + .is_finite() + .then_some(quote.last_price) + .filter(|price| *price > 0.0) + } + } + }, + MatchingType::NextTickBestCounterparty | MatchingType::CounterpartyOffer => { + match side { + OrderSide::Buy => quote.buy_price(), + OrderSide::Sell => quote.sell_price(), + } + } + MatchingType::NextTickLast | MatchingType::Vwap => { + if quote.last_price.is_finite() && quote.last_price > 0.0 { + Some(quote.last_price) + } else { + match side { + OrderSide::Buy => quote.buy_price(), + OrderSide::Sell => quote.sell_price(), + } + } + } + _ => match side { + OrderSide::Buy => quote.buy_price(), + OrderSide::Sell => quote.sell_price(), + }, }?; let execution_price = self.quote_execution_price(snapshot, side, raw_price); if execution_price.is_finite() && execution_price > 0.0 { diff --git a/crates/fidc-core/src/strategy_ai.rs b/crates/fidc-core/src/strategy_ai.rs index 47c9f81..3306a74 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\" | \"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(), + 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)。".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 34e0bce..5bde8f4 100644 --- a/crates/fidc-core/tests/explicit_order_flow.rs +++ b/crates/fidc-core/tests/explicit_order_flow.rs @@ -1214,8 +1214,8 @@ fn broker_splits_intraday_quote_fills_and_tracks_commission_by_order() { assert_eq!(report.fill_events.len(), 2); assert_eq!(report.fill_events[0].quantity, 100); assert_eq!(report.fill_events[1].quantity, 100); - assert!((report.fill_events[0].price - 10.02).abs() < 1e-9); - assert!((report.fill_events[1].price - 10.04).abs() < 1e-9); + assert!((report.fill_events[0].price - 10.01).abs() < 1e-9); + assert!((report.fill_events[1].price - 10.03).abs() < 1e-9); assert!((report.fill_events[0].commission - 5.0).abs() < 1e-9); assert_eq!(report.fill_events[1].commission, 0.0); assert_eq!(report.account_events.len(), 2); @@ -1374,7 +1374,7 @@ fn broker_aggregates_intraday_quote_fills_into_vwap_leg() { ); 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].price - 10.02).abs() < 1e-9); assert!((report.fill_events[0].commission - 5.0).abs() < 1e-9); assert_eq!(report.account_events.len(), 1); assert_eq!( @@ -1387,6 +1387,234 @@ fn broker_aggregates_intraday_quote_fills_into_vwap_leg() { ); } +#[test] +fn broker_uses_best_own_price_for_intraday_matching() { + 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: 9.98, + ask1: 10.02, + 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: 10.00, + bid1: 9.98, + ask1: 10.02, + 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::NextTickBestOwn); + + 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: 1_500.0, + reason: "best_own_fill".to_string(), + }], + notes: Vec::new(), + diagnostics: Vec::new(), + }, + ) + .expect("broker execution"); + + assert_eq!(report.fill_events.len(), 1); + assert_eq!(report.fill_events[0].quantity, 100); + assert!((report.fill_events[0].price - 9.98).abs() < 1e-9); +} + +#[test] +fn broker_uses_best_counterparty_price_for_intraday_matching() { + 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: 9.98, + ask1: 10.02, + 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: 10.00, + bid1: 9.98, + ask1: 10.02, + 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::NextTickBestCounterparty); + + 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: 1_500.0, + reason: "best_counterparty_fill".to_string(), + }], + notes: Vec::new(), + diagnostics: Vec::new(), + }, + ) + .expect("broker execution"); + + assert_eq!(report.fill_events.len(), 1); + assert_eq!(report.fill_events[0].quantity, 100); + assert!((report.fill_events[0].price - 10.02).abs() < 1e-9); +} + #[test] fn rebalance_optimizer_skips_unfunded_buy_when_existing_position_cannot_sell() { let prev_date = NaiveDate::from_ymd_opt(2024, 1, 9).unwrap();