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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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47
crates/fidc-core/src/broker.rs
View File

@@ -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 {

2
crates/fidc-core/src/strategy_ai.rs
View File

@@ -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(),

234
crates/fidc-core/tests/explicit_order_flow.rs
View File

@@ -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();