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Add VWAP matching mode

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This commit is contained in:
boris
2026-04-23 02:18:17 -07:00
parent b6ddd14d94
commit 252ba75f50
3 changed files with 173 additions and 4 deletions
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27
crates/fidc-core/src/broker.rs
View File

@@ -56,6 +56,7 @@ pub enum MatchingType {
CurrentBarClose,
NextBarOpen,
NextTickLast,
Vwap,
}
#[derive(Debug, Clone, Copy, PartialEq)]
@@ -69,6 +70,7 @@ pub struct BrokerSimulator<C, R> {
cost_model: C,
rules: R,
board_lot_size: u32,
matching_type: MatchingType,
execution_price_field: PriceField,
slippage_model: SlippageModel,
volume_percent: f64,
@@ -84,6 +86,7 @@ impl<C, R> BrokerSimulator<C, R> {
cost_model,
rules,
board_lot_size: 100,
matching_type: matching_type_from_price_field(PriceField::Open),
execution_price_field: PriceField::Open,
slippage_model: SlippageModel::None,
volume_percent: 0.25,
@@ -103,6 +106,7 @@ impl<C, R> BrokerSimulator<C, R> {
cost_model,
rules,
board_lot_size: 100,
matching_type: matching_type_from_price_field(execution_price_field),
execution_price_field,
slippage_model: SlippageModel::None,
volume_percent: 0.25,
@@ -138,6 +142,11 @@ impl<C, R> BrokerSimulator<C, R> {
self
}
pub fn with_matching_type(mut self, matching_type: MatchingType) -> Self {
self.matching_type = matching_type;
self
}
pub fn with_slippage_model(mut self, slippage_model: SlippageModel) -> Self {
self.slippage_model = slippage_model;
self
@@ -2404,7 +2413,14 @@ where
Some(ExecutionFill {
quantity: filled_qty,
next_cursor: last_timestamp.unwrap() + Duration::seconds(1),
legs,
legs: if self.matching_type == MatchingType::Vwap {
vec![ExecutionLeg {
price: gross_amount / filled_qty as f64,
quantity: filled_qty,
}]
} else {
legs
},
unfilled_reason: if filled_qty < requested_qty {
budget_block_reason.or(if saw_quote_after_cursor {
Some("intraday quote liquidity exhausted")
@@ -2423,6 +2439,15 @@ where
}
}
fn matching_type_from_price_field(field: PriceField) -> MatchingType {
match field {
PriceField::DayOpen => MatchingType::OpenAuction,
PriceField::Open => MatchingType::NextBarOpen,
PriceField::Close => MatchingType::CurrentBarClose,
PriceField::Last => MatchingType::NextTickLast,
}
}
fn merge_partial_fill_reason(current: Option<String>, next: Option<&str>) -> Option<String> {
match (current, next) {
(Some(existing), Some(next_reason)) if !existing.contains(next_reason) => {

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\" | \"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，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\" | \"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(),
},
ManualSection {
title: "when / unless / else".to_string(),

148
crates/fidc-core/tests/explicit_order_flow.rs
View File

@@ -2,8 +2,8 @@ use chrono::NaiveDate;
use fidc_core::{
BenchmarkSnapshot, BrokerSimulator, CandidateEligibility, ChinaAShareCostModel,
ChinaEquityRuleHooks, DailyFactorSnapshot, DailyMarketSnapshot, DataSet, Instrument,
IntradayExecutionQuote, OrderIntent, PortfolioState, PriceField, ProcessEventKind,
SlippageModel, StrategyDecision,
IntradayExecutionQuote, MatchingType, OrderIntent, PortfolioState, PriceField,
ProcessEventKind, SlippageModel, StrategyDecision,
};
use std::collections::{BTreeMap, BTreeSet};
@@ -1243,6 +1243,150 @@ fn broker_splits_intraday_quote_fills_and_tracks_commission_by_order() {
}));
}
#[test]
fn broker_aggregates_intraday_quote_fills_into_vwap_leg() {
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: 9.99,
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("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: 10.01,
bid1: 10.0,
ask1: 10.02,
bid1_volume: 1,
ask1_volume: 1,
volume_delta: 1,
amount_delta: 0.0,
trading_phase: Some("continuous".to_string()),
},
IntradayExecutionQuote {
date,
symbol: "000002.SZ".to_string(),
timestamp: date.and_hms_opt(10, 18, 6).unwrap(),
last_price: 10.03,
bid1: 10.02,
ask1: 10.04,
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::Vwap);
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: 2_500.0,
reason: "intraday_vwap_fill".to_string(),
}],
notes: Vec::new(),
diagnostics: Vec::new(),
},
)
.expect("broker execution");
assert_eq!(report.order_events.len(), 1);
assert_eq!(
report.order_events[0].status,
fidc_core::OrderStatus::Filled
);
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].commission - 5.0).abs() < 1e-9);
assert_eq!(report.account_events.len(), 1);
assert_eq!(
report
.process_events
.iter()
.filter(|event| event.kind == ProcessEventKind::Trade)
.count(),
1
);
}
#[test]
fn rebalance_optimizer_skips_unfunded_buy_when_existing_position_cannot_sell() {
let prev_date = NaiveDate::from_ymd_opt(2024, 1, 9).unwrap();