Refine open auction execution semantics

crates/fidc-core/src/broker.rs

@@ -169,6 +169,10 @@ where
         self.apply_slippage(snapshot, side, raw_price)
     }
 
+    fn is_open_auction_matching(&self) -> bool {
+        self.execution_price_field == PriceField::DayOpen
+    }
+
     fn apply_slippage(
         &self,
         snapshot: &crate::data::DailyMarketSnapshot,
@@ -179,6 +183,10 @@ where
             return raw_price;
         }
 
+        if self.is_open_auction_matching() {
+            return self.clamp_execution_price(snapshot, side, raw_price);
+        }
+
         let adjusted = match self.slippage_model {
             SlippageModel::None => raw_price,
             SlippageModel::PriceRatio(ratio) => {
@@ -882,7 +890,12 @@ where
             date,
             cash_before,
             cash_after: portfolio.cash(),
-            total_equity: self.total_equity_at(date, portfolio, data, PriceField::Open)?,
+            total_equity: self.total_equity_at(
+                date,
+                portfolio,
+                data,
+                self.account_mark_price_field(),
+            )?,
             note: format!("sell {symbol} {reason}"),
         });
         Ok(())
@@ -1251,7 +1264,12 @@ where
             date,
             cash_before,
             cash_after: portfolio.cash(),
-            total_equity: self.total_equity_at(date, portfolio, data, PriceField::Open)?,
+            total_equity: self.total_equity_at(
+                date,
+                portfolio,
+                data,
+                self.account_mark_price_field(),
+            )?,
             note: format!("buy {symbol} {reason}"),
         });
         Ok(())
@@ -1305,6 +1323,14 @@ where
             .unwrap_or(self.board_lot_size.max(1))
     }
 
+    fn account_mark_price_field(&self) -> PriceField {
+        if self.is_open_auction_matching() {
+            PriceField::DayOpen
+        } else {
+            PriceField::Open
+        }
+    }
+
     fn round_buy_quantity(
         &self,
         quantity: u32,

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\" | \"current_bar_close\" | \"next_bar_open\" | \"open_auction\")，其中 open_auction 使用当日集合竞价开盘价 day_open 进行撮合；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\" | \"current_bar_close\" | \"next_bar_open\" | \"open_auction\")，其中 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；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(),