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修正FIDC执行日风控配置

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boris
2026-07-06 20:05:11 +08:00
parent cb189e3de4
commit 3ef4029c4a
4 changed files with 48 additions and 5 deletions
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crates/fidc-core/src/broker.rs
+19 -1
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@@ -185,6 +185,7 @@ pub struct BrokerSimulator<C, R> {
liquidity_limit: bool,
strict_value_budget: bool,
rebalance_cash_mode: RebalanceCashMode,
sell_then_buy_delay_slippage_rate: f64,
aiquant_execution_rules: bool,
same_day_buy_close_mark_at_fill: bool,
risk_config: FidcRiskControlConfig,
@@ -213,6 +214,7 @@ impl<C, R> BrokerSimulator<C, R> {
liquidity_limit: true,
strict_value_budget: false,
rebalance_cash_mode: RebalanceCashMode::default(),
sell_then_buy_delay_slippage_rate: 0.0,
aiquant_execution_rules: false,
same_day_buy_close_mark_at_fill: false,
risk_config: FidcRiskControlConfig::default(),
@@ -245,6 +247,7 @@ impl<C, R> BrokerSimulator<C, R> {
liquidity_limit: true,
strict_value_budget: false,
rebalance_cash_mode: RebalanceCashMode::default(),
sell_then_buy_delay_slippage_rate: 0.0,
aiquant_execution_rules: false,
same_day_buy_close_mark_at_fill: false,
risk_config: FidcRiskControlConfig::default(),
@@ -284,6 +287,15 @@ impl<C, R> BrokerSimulator<C, R> {
self
}
pub fn with_sell_then_buy_delay_slippage_rate(mut self, rate: f64) -> Self {
self.sell_then_buy_delay_slippage_rate = if rate.is_finite() && rate > 0.0 {
rate.min(0.999_999)
} else {
0.0
};
self
}
pub fn with_aiquant_execution_rules(mut self, enabled: bool) -> Self {
self.aiquant_execution_rules = enabled;
self
@@ -533,7 +545,7 @@ where
}
let order_value = quantity.and_then(|qty| (qty > 0).then_some(raw_price * qty as f64));
let adjusted = match self.slippage_model {
let mut adjusted = match self.slippage_model {
SlippageModel::None => raw_price,
SlippageModel::PriceRatio(ratio) => {
let ratio = ratio.max(0.0);
@@ -559,6 +571,12 @@ where
}
}
};
if side == OrderSide::Buy
&& self.effective_rebalance_cash_mode() == RebalanceCashMode::SellThenBuy
&& self.sell_then_buy_delay_slippage_rate > 0.0
{
adjusted *= 1.0 + self.sell_then_buy_delay_slippage_rate;
}
self.clamp_execution_price(snapshot, side, adjusted)
}