Add open auction matching mode

crates/fidc-core/src/broker.rs

@@ -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",

crates/fidc-core/src/data.rs

@@ -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)

crates/fidc-core/src/portfolio.rs

@@ -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",

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\")，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(),

crates/fidc-core/tests/explicit_order_flow.rs

@@ -107,6 +107,104 @@ fn broker_executes_explicit_order_value_buy() {
     assert!(portfolio.cash() < 1_000_000.0);
 }
 
+#[test]
+fn broker_uses_day_open_price_for_open_auction_matching() {
+    let date = NaiveDate::from_ymd_opt(2024, 1, 10).unwrap();
+    let data = DataSet::from_components(
+        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 09:25:00".to_string()),
+            day_open: 9.8,
+            open: 10.0,
+            high: 10.1,
+            low: 9.7,
+            close: 10.0,
+            last_price: 10.0,
+            bid1: 9.99,
+            ask1: 10.01,
+            prev_close: 10.0,
+            volume: 100_000,
+            tick_volume: 100_000,
+            bid1_volume: 80_000,
+            ask1_volume: 80_000,
+            trading_phase: Some("open_auction".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,
+        }],
+    )
+    .expect("dataset");
+    let mut portfolio = PortfolioState::new(1_000_000.0);
+    let broker = BrokerSimulator::new_with_execution_price(
+        ChinaAShareCostModel::default(),
+        ChinaEquityRuleHooks::default(),
+        PriceField::DayOpen,
+    );
+
+    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: 98_000.0,
+                    reason: "open_auction_match".to_string(),
+                }],
+                notes: Vec::new(),
+                diagnostics: Vec::new(),
+            },
+        )
+        .expect("broker execution");
+
+    assert_eq!(report.fill_events.len(), 1);
+    assert!((report.fill_events[0].price - 9.8).abs() < 1e-9);
+}
+
 #[test]
 fn broker_applies_price_ratio_slippage_on_snapshot_fills() {
     let date = NaiveDate::from_ymd_opt(2024, 1, 10).unwrap();