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Add tick best-price matching modes

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This commit is contained in:
boris
2026-04-23 02:24:29 -07:00
parent 252ba75f50
commit 948aca21e8
3 changed files with 280 additions and 7 deletions
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51
crates/fidc-core/src/broker.rs
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@@ -56,6 +56,9 @@ pub enum MatchingType {
CurrentBarClose,
NextBarOpen,
NextTickLast,
NextTickBestOwn,
NextTickBestCounterparty,
CounterpartyOffer,
Vwap,
}
@@ -271,9 +274,51 @@ where
quote: &IntradayExecutionQuote,
side: OrderSide,
) -> Option<f64> {
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 {