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统一调度时刻使用已知tick

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boris
2026-06-13 21:41:37 +08:00
parent 89c2ff58f8
commit 4f5e3f7162
2 changed files with 31 additions and 15 deletions
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crates/fidc-core/src/broker.rs
+2 -3
View File
@@ -4680,9 +4680,8 @@ where
let quote_quantity_limited =
self.quote_quantity_limited_for_window(matching_type, start_cursor, end_cursor);
let lot = round_lot.max(1);
let use_decision_time_quote = matching_type == MatchingType::NextTickLast
&& start_cursor.is_some()
&& end_cursor.is_none_or(|end| start_cursor.is_some_and(|start| end <= start));
let use_decision_time_quote =
matching_type == MatchingType::NextTickLast && start_cursor.is_some();
let eligible_quotes: Vec<&IntradayExecutionQuote> = if use_decision_time_quote {
self.latest_known_quote_at_or_before(
quotes,
crates/fidc-core/src/platform_expr_strategy.rs
+29 -12
View File
@@ -1064,7 +1064,8 @@ impl PlatformExprStrategy {
ctx.data
.execution_quotes_on(date, symbol)
.iter()
.find(|quote| quote.timestamp >= start_cursor)
.filter(|quote| quote.timestamp <= start_cursor)
.max_by_key(|quote| quote.timestamp)
}
fn aiquant_scheduled_buy_price(
@@ -1110,14 +1111,17 @@ impl PlatformExprStrategy {
let start_cursor =
self.projected_execution_start_cursor(ctx, date, symbol, execution_state);
let quotes = ctx.data.execution_quotes_on(date, symbol);
let selected_quotes = quotes
.iter()
.filter(|quote| quote.timestamp <= start_cursor)
.max_by_key(|quote| quote.timestamp)
.into_iter()
.collect::<Vec<_>>();
let mut filled_qty = 0_u32;
let mut gross_amount = 0.0_f64;
let mut last_timestamp = None;
for quote in quotes {
if quote.timestamp < start_cursor {
continue;
}
for quote in selected_quotes {
let Some(quote_price) = self.projected_quote_execution_price(quote, side) else {
continue;
};
@@ -1191,7 +1195,7 @@ impl PlatformExprStrategy {
})
}
fn has_execution_quote_at_or_after(
fn has_execution_quote_at_or_before(
&self,
ctx: &StrategyContext<'_>,
date: NaiveDate,
@@ -1203,7 +1207,7 @@ impl PlatformExprStrategy {
ctx.data
.execution_quotes_on(date, symbol)
.iter()
.any(|quote| quote.timestamp >= start_cursor)
.any(|quote| quote.timestamp <= start_cursor)
}
fn project_target_zero(
@@ -1241,7 +1245,7 @@ impl PlatformExprStrategy {
execution_state,
)
.or_else(|| {
if !self.has_execution_quote_at_or_after(ctx, date, symbol, execution_state) {
if !self.has_execution_quote_at_or_before(ctx, date, symbol, execution_state) {
Some(ProjectedExecutionFill {
price: self.projected_execution_price(market, OrderSide::Sell),
quantity,
@@ -1442,7 +1446,7 @@ impl PlatformExprStrategy {
execution_state,
)
.or_else(|| {
if !self.has_execution_quote_at_or_after(ctx, date, symbol, execution_state) {
if !self.has_execution_quote_at_or_before(ctx, date, symbol, execution_state) {
Some(ProjectedExecutionFill {
price: execution_price,
quantity,
@@ -7914,6 +7918,19 @@ mod tests {
amount_delta: 1_000.0,
trading_phase: Some("continuous".to_string()),
},
IntradayExecutionQuote {
date,
symbol: symbol.to_string(),
timestamp: date.and_hms_opt(14, 58, 59).expect("valid timestamp"),
last_price: 19.8,
bid1: 19.79,
ask1: 19.8,
bid1_volume: 1_000,
ask1_volume: 1_000,
volume_delta: 100,
amount_delta: 2_000.0,
trading_phase: Some("continuous".to_string()),
},
IntradayExecutionQuote {
date,
symbol: symbol.to_string(),
@@ -7964,9 +7981,9 @@ mod tests {
let strategy = PlatformExprStrategy::new(cfg);
let quote = strategy
.aiquant_scheduled_quote(&ctx, date, symbol)
.expect("quote at or after 14:59");
assert_eq!(quote.timestamp, date.and_hms_opt(14, 59, 2).unwrap());
assert_eq!(quote.last_price, 20.0);
.expect("latest known quote at or before 14:59");
assert_eq!(quote.timestamp, date.and_hms_opt(14, 58, 59).unwrap());
assert_eq!(quote.last_price, 19.8);
}
#[test]