Add tick best-price matching modes

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<f64> {
-        let raw_price = match side {
+        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 {

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(),

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[0].price - 10.01).abs() < 1e-9);
-    assert!((report.fill_events[1].price - 10.04).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();