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Add open auction matching mode

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This commit is contained in:
boris
2026-04-23 00:00:26 -07:00
parent 1b4ce9826a
commit fa4126a662
5 changed files with 111 additions and 2 deletions
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3
crates/fidc-core/src/broker.rs
View File

@@ -40,6 +40,7 @@ struct TargetConstraint {
#[derive(Debug, Clone, Copy, PartialEq, Eq)]
pub enum MatchingType {
OpenAuction,
CurrentBarClose,
NextBarOpen,
NextTickLast,
@@ -1270,6 +1271,7 @@ where
date,
symbol: position.symbol.clone(),
field: match field {
PriceField::DayOpen => "day_open",
PriceField::Open => "open",
PriceField::Close => "close",
PriceField::Last => "last",
@@ -1611,6 +1613,7 @@ where
fn price_field_name(field: PriceField) -> &'static str {
match field {
PriceField::DayOpen => "day_open",
PriceField::Open => "open",
PriceField::Close => "close",
PriceField::Last => "last",

9
crates/fidc-core/src/data.rs
View File

@@ -81,6 +81,7 @@ pub enum DataSetError {
#[derive(Debug, Clone, Copy, PartialEq, Eq)]
pub enum PriceField {
DayOpen,
Open,
Close,
Last,
@@ -115,6 +116,7 @@ pub struct DailyMarketSnapshot {
impl DailyMarketSnapshot {
pub fn price(&self, field: PriceField) -> f64 {
match field {
PriceField::DayOpen => self.day_open,
PriceField::Open => self.open,
PriceField::Close => self.close,
PriceField::Last => self.last_price,
@@ -488,6 +490,7 @@ impl SymbolPriceSeries {
fn values_for(&self, field: PriceField) -> &[f64] {
match field {
PriceField::DayOpen => &self.opens,
PriceField::Open => &self.opens,
PriceField::Close => &self.closes,
PriceField::Last => &self.last_prices,
@@ -504,6 +507,7 @@ impl SymbolPriceSeries {
fn prefix_for(&self, field: PriceField) -> &[f64] {
match field {
PriceField::DayOpen => &self.open_prefix,
PriceField::Open => &self.open_prefix,
PriceField::Close => &self.close_prefix,
PriceField::Last => &self.last_prefix,
@@ -561,7 +565,7 @@ impl BenchmarkPriceSeries {
}
let start = end - lookback;
let prefix = match field {
PriceField::Open => &self.open_prefix,
PriceField::DayOpen | PriceField::Open => &self.open_prefix,
PriceField::Close | PriceField::Last => &self.close_prefix,
};
let sum = prefix[end] - prefix[start];
@@ -959,6 +963,9 @@ impl DataSet {
.market_series_by_symbol
.get(symbol)
.and_then(|series| series.decision_volume_rolling_average(date, lookback)),
"day_open" | "dayopen" => {
self.market_moving_average(date, symbol, lookback, PriceField::DayOpen)
}
"open" => self.market_moving_average(date, symbol, lookback, PriceField::Open),
"last" | "last_price" => {
self.market_moving_average(date, symbol, lookback, PriceField::Last)

1
crates/fidc-core/src/portfolio.rs
View File

@@ -264,6 +264,7 @@ impl PortfolioState {
let price = data.price(date, &position.symbol, field).ok_or_else(|| {
DataSetError::MissingSnapshot {
kind: match field {
PriceField::DayOpen => "day open price",
PriceField::Open => "open price",
PriceField::Close => "close price",
PriceField::Last => "last price",

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\" | \"current_bar_close\" | \"next_bar_open\")，以及 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；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(),