按实际委托时间选择盘后撮合阶段

README.md

@@ -83,6 +83,8 @@
 
 Source Lake 日线成交量保留原始可用性合同：源 `volume=null` 与真实 `volume=0` 含义不同。依赖成交量的 rolling 窗口只要包含源空值就返回缺失，不得把空值补成 0；停牌日明确提供的 0 成交量仍是合法观测。该合同随 runner 快照版本冻结，旧快照不能跨版本复用。
 
+盘后固定价格不是策略类型，也不是 `matchingType`。自 2026-07-06 起，只有实际同日提交时间落在 15:00–15:30 的普通委托才由 broker 进入盘后固定价格执行阶段；15:00–15:04 的委托等待到 15:05，15:05–15:30 按官方收盘价和真实盘后成交量撮合，不叠加滑点，未成交余量不跨日。窗口外委托继续沿用连续竞价、当前收盘或下一交易日开盘合同；`next_bar_open` 策略即使在 15:00 生成信号，也不得被改写为同日盘后委托。缺失盘后行情时必须明确不成交，禁止回退全天成交量或 15:00 前分钟行情。
+
 `holdUntilExit=true` 与 `stopTakeReferencePriceMode=signal_day_post_adjusted_close` 组合表示持久模型组合语义：股票进入模型目标后即记录信号日和后复权参考价，不以买单是否成交为前提。涨停、停牌或其他执行风控导致买单未成交时，模型成员仍占用目标槽位、每天累计模型持有日并继续生成目标仓位；达到止盈、止损或最大模型持有期后才从模型组合移除。实际订单仍由成交日风控独立决定，不得用实际持仓集合覆盖模型目标集合。
 
 ## 内置微盘策略

crates/fidc-core/src/broker.rs

@@ -255,6 +255,12 @@ pub enum MatchingType {
     Twap,
 }
 
+#[derive(Debug, Clone, Copy, PartialEq, Eq)]
+enum EquityExecutionPhase {
+    ContinuousAuction,
+    PostCloseFixedPrice,
+}
+
 #[derive(Debug, Clone, Copy, PartialEq, Eq)]
 pub enum RebalanceCashMode {
     SamePointNet,
@@ -544,7 +550,81 @@ impl<C, R> BrokerSimulator<C, R> {
         }
     }
 
-    fn effective_remainder_policy(&self, allow_pending_limit: bool) -> RemainderPolicy {
+    fn submission_time(&self) -> Option<NaiveTime> {
+        self.runtime_intraday_start_time
+            .get()
+            .or(self.intraday_execution_start_time)
+    }
+
+    fn execution_phase(&self, date: NaiveDate) -> EquityExecutionPhase {
+        let effective_date = NaiveDate::from_ymd_opt(2026, 7, 6).expect("valid effective date");
+        let window_start = NaiveTime::from_hms_opt(15, 0, 0).expect("valid window start");
+        let window_end = NaiveTime::from_hms_opt(15, 30, 0).expect("valid window end");
+        let submitted_same_day = self
+            .runtime_order_created_date
+            .get()
+            .is_none_or(|created_date| created_date == date);
+
+        if date >= effective_date
+            && submitted_same_day
+            && !matches!(
+                self.matching_type,
+                MatchingType::OpenAuction | MatchingType::NextBarOpen
+            )
+            && self
+                .submission_time()
+                .is_some_and(|time| time >= window_start && time <= window_end)
+        {
+            EquityExecutionPhase::PostCloseFixedPrice
+        } else {
+            EquityExecutionPhase::ContinuousAuction
+        }
+    }
+
+    fn is_post_close_fixed_price(&self, date: NaiveDate) -> bool {
+        self.execution_phase(date) == EquityExecutionPhase::PostCloseFixedPrice
+    }
+
+    fn effective_execution_price_field(&self, date: NaiveDate) -> PriceField {
+        if self.is_post_close_fixed_price(date) {
+            PriceField::Close
+        } else {
+            self.execution_price_field
+        }
+    }
+
+    fn post_close_execution_window(
+        &self,
+        date: NaiveDate,
+    ) -> Option<(NaiveDateTime, NaiveDateTime)> {
+        self.post_close_execution_quote_window(date)
+            .map(|(start, end)| (date.and_time(start), date.and_time(end)))
+    }
+
+    pub(crate) fn post_close_execution_quote_window(
+        &self,
+        date: NaiveDate,
+    ) -> Option<(NaiveTime, NaiveTime)> {
+        if !self.is_post_close_fixed_price(date) {
+            return None;
+        }
+        let matching_start = NaiveTime::from_hms_opt(15, 5, 0).expect("valid matching start");
+        let matching_end = NaiveTime::from_hms_opt(15, 30, 0).expect("valid matching end");
+        let submitted_at = self.submission_time()?;
+        Some((submitted_at.max(matching_start), matching_end))
+    }
+
+    fn effective_remainder_policy(
+        &self,
+        date: NaiveDate,
+        allow_pending_limit: bool,
+    ) -> RemainderPolicy {
+        if self.is_post_close_fixed_price(date) {
+            return match self.runtime_time_in_force.get() {
+                Some(OrderTimeInForce::Fok) => RemainderPolicy::FillOrKill,
+                _ => RemainderPolicy::Cancel,
+            };
+        }
         match self.runtime_time_in_force.get() {
             Some(OrderTimeInForce::Fok) => RemainderPolicy::FillOrKill,
             Some(OrderTimeInForce::Gtc) => RemainderPolicy::KeepUntilCanceled,
@@ -613,15 +693,15 @@ where
     R: EquityRuleHooks,
 {
     fn buy_price(&self, snapshot: &crate::data::DailyMarketSnapshot) -> f64 {
-        snapshot.buy_price(self.execution_price_field)
+        snapshot.buy_price(self.effective_execution_price_field(snapshot.date))
     }
 
     fn sell_price(&self, snapshot: &crate::data::DailyMarketSnapshot) -> f64 {
-        snapshot.sell_price(self.execution_price_field)
+        snapshot.sell_price(self.effective_execution_price_field(snapshot.date))
     }
 
     fn sizing_price(&self, snapshot: &crate::data::DailyMarketSnapshot) -> f64 {
-        snapshot.price(self.execution_price_field)
+        snapshot.price(self.effective_execution_price_field(snapshot.date))
     }
 
     fn value_buy_sizing_price(
@@ -651,6 +731,9 @@ where
         symbol: &str,
         snapshot: &crate::data::DailyMarketSnapshot,
     ) -> f64 {
+        if self.is_post_close_fixed_price(date) {
+            return snapshot.close;
+        }
         if self.matching_type == MatchingType::NextBarOpen {
             let execution_price = snapshot.price(PriceField::Open);
             if execution_price.is_finite() && execution_price > 0.0 {
@@ -907,6 +990,9 @@ where
         snapshot: &crate::data::DailyMarketSnapshot,
         side: OrderSide,
     ) -> f64 {
+        if self.is_post_close_fixed_price(date) {
+            return snapshot.close;
+        }
         let start_cursor = self
             .runtime_intraday_start_time
             .get()
@@ -940,6 +1026,9 @@ where
         snapshot: &crate::data::DailyMarketSnapshot,
         side: OrderSide,
     ) -> f64 {
+        if self.is_post_close_fixed_price(snapshot.date) {
+            return snapshot.close;
+        }
         if self.execution_price_field == PriceField::Last
             && self.intraday_execution_start_time.is_some()
         {
@@ -956,7 +1045,7 @@ where
         snapshot: &crate::data::DailyMarketSnapshot,
         side: OrderSide,
     ) -> f64 {
-        let price = snapshot.price(self.execution_price_field);
+        let price = snapshot.price(self.effective_execution_price_field(snapshot.date));
         if price.is_finite() && price > 0.0 {
             price
         } else {
@@ -983,6 +1072,10 @@ where
             return self.clamp_execution_price(snapshot, side, raw_price);
         }
 
+        if self.is_post_close_fixed_price(snapshot.date) {
+            return self.clamp_execution_price(snapshot, side, raw_price);
+        }
+
         let order_value = quantity.and_then(|qty| (qty > 0).then_some(raw_price * qty as f64));
         let mut adjusted = match self.slippage_model {
             SlippageModel::None => raw_price,
@@ -1069,11 +1162,15 @@ where
 
     fn select_quote_reference_price(
         &self,
-        _snapshot: &crate::data::DailyMarketSnapshot,
+        snapshot: &crate::data::DailyMarketSnapshot,
         quote: &IntradayExecutionQuote,
         side: OrderSide,
         matching_type: MatchingType,
     ) -> Option<f64> {
+        if self.is_post_close_fixed_price(snapshot.date) {
+            return (snapshot.close.is_finite() && snapshot.close > 0.0)
+                .then_some(snapshot.close);
+        }
         let raw_price = match matching_type {
             MatchingType::MinuteBestOwn => match side {
                 OrderSide::Buy => {
@@ -4014,7 +4111,7 @@ where
         algo_request: Option<&AlgoExecutionRequest>,
         report: &mut BrokerExecutionReport,
     ) -> Result<(), BacktestError> {
-        let remainder_policy = self.effective_remainder_policy(allow_pending_limit);
+        let remainder_policy = self.effective_remainder_policy(date, allow_pending_limit);
         let Some(position) = portfolio.position(symbol) else {
             return Ok(());
         };
@@ -5725,7 +5822,7 @@ where
         algo_request: Option<&AlgoExecutionRequest>,
         report: &mut BrokerExecutionReport,
     ) -> Result<(), BacktestError> {
-        let remainder_policy = self.effective_remainder_policy(allow_pending_limit);
+        let remainder_policy = self.effective_remainder_policy(date, allow_pending_limit);
         if portfolio
             .position(symbol)
             .is_none_or(|position| position.quantity == 0)
@@ -6925,23 +7022,29 @@ where
         limit_price: Option<f64>,
     ) -> Option<ExecutionFill> {
         let matching_type = self.matching_type_for_algo_request(algo_request);
-        let use_intraday_quotes =
-            algo_request.is_some() || self.execution_price_field == PriceField::Last;
+        let post_close_window = self.post_close_execution_window(date);
+        let use_intraday_quotes = post_close_window.is_some()
+            || algo_request.is_some()
+            || self.execution_price_field == PriceField::Last;
         if !use_intraday_quotes {
             return None;
         }
 
         let runtime_start_time = self.runtime_intraday_start_time.get();
         let runtime_end_time = self.runtime_intraday_end_time.get();
-        let start_cursor = algo_request
+        let start_cursor = post_close_window.map(|window| window.0).or_else(|| {
+            algo_request
                 .and_then(|request| request.start_time)
                 .or(runtime_start_time)
                 .or(self.intraday_execution_start_time)
-            .map(|start_time| date.and_time(start_time));
-        let end_cursor = algo_request
+                .map(|start_time| date.and_time(start_time))
+        });
+        let end_cursor = post_close_window.map(|window| window.1).or_else(|| {
+            algo_request
                 .and_then(|request| request.end_time)
                 .or(runtime_end_time)
-            .map(|end_time| date.and_time(end_time));
+                .map(|end_time| date.and_time(end_time))
+        });
         let quotes = data.execution_quotes_on(date, symbol);
 
         if let Some(fill) = self.select_execution_fill_with_ledger(
@@ -6965,7 +7068,8 @@ where
             return Some(fill);
         }
 
-        if algo_request.is_some()
+        if post_close_window.is_some()
+            || algo_request.is_some()
             || runtime_start_time.is_some()
             || runtime_end_time.is_some()
             || self.intraday_execution_start_time.is_some()
@@ -7088,7 +7192,8 @@ where
             && start_cursor.is_some()
             && end_cursor.is_some()
             && start_cursor == end_cursor;
-        let use_decision_time_quote = start_cursor.is_some()
+        let use_decision_time_quote = !self.is_post_close_fixed_price(snapshot.date)
+            && start_cursor.is_some()
             && (matching_type == MatchingType::MinuteLast || exact_time_order_quote);
         let eligible_quotes: Vec<&IntradayExecutionQuote> = if use_decision_time_quote {
             self.latest_known_quote_at_or_before(
@@ -7531,9 +7636,11 @@ fn sell_reason(decision: &StrategyDecision, symbol: &str) -> &'static str {
 mod tests {
     use std::collections::BTreeMap;
 
+    use chrono::NaiveTime;
+
     use super::{
-        BrokerExecutionReport, BrokerSimulator, IntradayExecutionLedger, MatchingType, OpenOrder,
-        RebalanceCashMode, SlippageModel,
+        BrokerExecutionReport, BrokerSimulator, EquityExecutionPhase, IntradayExecutionLedger,
+        MatchingType, OpenOrder, RebalanceCashMode, SlippageModel,
     };
     use crate::cost::ChinaAShareCostModel;
     use crate::data::{
@@ -7769,6 +7876,124 @@ mod tests {
         }
     }
 
+    #[test]
+    fn post_close_phase_is_derived_from_actual_same_day_submission_time() {
+        let date = chrono::NaiveDate::from_ymd_opt(2026, 7, 6).expect("valid date");
+        let before_effective = chrono::NaiveDate::from_ymd_opt(2026, 7, 3).expect("valid date");
+        let broker = BrokerSimulator::new(ChinaAShareCostModel::default(), ChinaEquityRuleHooks)
+            .with_matching_type(MatchingType::CurrentBarClose)
+            .with_slippage_model(SlippageModel::PriceRatio(0.25));
+        broker.runtime_order_created_date.set(Some(date));
+        let mut snapshot = dated_limit_test_snapshot(date);
+        snapshot.close = 10.0;
+        snapshot.upper_limit = 20.0;
+
+        for (hour, minute) in [(14, 59), (15, 31)] {
+            broker
+                .runtime_intraday_start_time
+                .set(NaiveTime::from_hms_opt(hour, minute, 0));
+            assert_eq!(
+                broker.execution_phase(date),
+                EquityExecutionPhase::ContinuousAuction
+            );
+            assert_eq!(
+                broker.snapshot_execution_price(&snapshot, OrderSide::Buy, Some(100)),
+                12.5
+            );
+        }
+        for (hour, minute) in [(15, 0), (15, 5), (15, 30)] {
+            broker
+                .runtime_intraday_start_time
+                .set(NaiveTime::from_hms_opt(hour, minute, 0));
+            assert_eq!(
+                broker.execution_phase(date),
+                EquityExecutionPhase::PostCloseFixedPrice
+            );
+            assert_eq!(
+                broker.snapshot_execution_price(&snapshot, OrderSide::Buy, Some(100)),
+                10.0
+            );
+        }
+        broker
+            .runtime_order_created_date
+            .set(Some(before_effective));
+        assert_eq!(
+            broker.execution_phase(before_effective),
+            EquityExecutionPhase::ContinuousAuction
+        );
+
+        let next_open = BrokerSimulator::new(
+            ChinaAShareCostModel::default(),
+            ChinaEquityRuleHooks,
+        )
+        .with_matching_type(MatchingType::NextBarOpen)
+        .with_intraday_execution_start_time(
+            NaiveTime::from_hms_opt(15, 0, 0).expect("valid signal time"),
+        );
+        next_open
+            .runtime_order_created_date
+            .set(Some(date.pred_opt().expect("previous date")));
+        assert_eq!(
+            next_open.execution_phase(date),
+            EquityExecutionPhase::ContinuousAuction,
+            "a 15:00 signal for next-open execution is not a same-day post-close order"
+        );
+    }
+
+    #[test]
+    fn post_close_order_uses_close_without_slippage_and_waits_until_matching_window() {
+        let date = chrono::NaiveDate::from_ymd_opt(2026, 7, 6).expect("valid date");
+        let mut snapshot = dated_limit_test_snapshot(date);
+        snapshot.close = 10.0;
+        snapshot.last_price = 12.0;
+        snapshot.bid1 = 11.99;
+        snapshot.ask1 = 12.01;
+        snapshot.upper_limit = 20.0;
+        snapshot.lower_limit = 1.0;
+        let mut quote_before_matching = limit_test_quote(12.0, 11.99, 12.01);
+        quote_before_matching.date = date;
+        quote_before_matching.timestamp = date.and_hms_opt(15, 4, 0).expect("valid timestamp");
+        quote_before_matching.volume_delta = 100_000;
+        let mut quote_at_matching = quote_before_matching.clone();
+        quote_at_matching.timestamp = date.and_hms_opt(15, 5, 0).expect("valid timestamp");
+        let data = DataSet::from_components_with_actions_and_quotes(
+            vec![limit_test_instrument()],
+            vec![snapshot],
+            Vec::new(),
+            vec![dated_limit_test_candidate(date, false, false, true, true)],
+            vec![dated_limit_test_benchmark(date)],
+            Vec::new(),
+            vec![quote_before_matching, quote_at_matching],
+        )
+        .expect("valid post-close dataset");
+        let broker = BrokerSimulator::new(ChinaAShareCostModel::default(), ChinaEquityRuleHooks)
+            .with_matching_type(MatchingType::CurrentBarClose)
+            .with_slippage_model(SlippageModel::PriceRatio(0.25))
+            .with_volume_limit(false)
+            .with_liquidity_limit(false);
+        let mut portfolio = PortfolioState::new(100_000.0);
+        let report = broker
+            .execute_between(
+                date,
+                &mut portfolio,
+                &data,
+                &next_open_buy_decision(),
+                NaiveTime::from_hms_opt(15, 0, 0),
+                NaiveTime::from_hms_opt(15, 0, 0),
+            )
+            .expect("post-close order executes");
+
+        assert_eq!(report.fill_events.len(), 1, "{report:?}");
+        let fill = &report.fill_events[0];
+        assert_eq!(fill.price, 10.0, "fixed-price trading uses official close");
+        assert_eq!(
+            fill.execution_timestamp,
+            date.and_hms_opt(15, 5, 0),
+            "15:00 submission must not consume the 15:04 quote"
+        );
+        assert!(!broker.has_open_orders());
+    }
+
     #[test]
     fn minute_last_without_volume_or_liquidity_limit_does_not_cap_quote_quantity() {
         let broker = BrokerSimulator::new(ChinaAShareCostModel::default(), ChinaEquityRuleHooks)

crates/fidc-core/src/engine.rs

@@ -638,15 +638,23 @@ where
         if self.execution_quote_loader.is_none() {
             return Ok(());
         }
+        let post_close_window = self
+            .broker
+            .post_close_execution_quote_window(execution_date);
         if self.broker.execution_price_field() != PriceField::Last
             && !decision_has_algo_execution(decision)
+            && post_close_window.is_none()
         {
             return Ok(());
         }
 
         let caller_start_time = start_time;
         let caller_end_time = end_time;
-        let start_time = caller_start_time.or_else(|| self.broker.intraday_execution_start_time());
+        let start_time = post_close_window
+            .map(|window| window.0)
+            .or(caller_start_time)
+            .or_else(|| self.broker.intraday_execution_start_time());
+        let end_time = post_close_window.map(|window| window.1).or(caller_end_time);
         let mut symbols = execution_quote_symbols_for_decision(decision, portfolio, open_orders);
         self.load_missing_execution_quotes(execution_date, start_time, end_time, &mut symbols)?;
 
@@ -4614,15 +4622,16 @@ mod tests {
     use std::cell::RefCell;
     use std::collections::{BTreeMap, BTreeSet};
     use std::rc::Rc;
+    use std::sync::{Arc, Mutex};
 
-    use chrono::NaiveDate;
+    use chrono::{NaiveDate, NaiveTime};
 
     use super::{BacktestConfig, BacktestEngine};
-    use crate::broker::{BrokerSimulator, MatchingType};
+    use crate::broker::{BrokerSimulator, MatchingType, SlippageModel};
     use crate::cost::ChinaAShareCostModel;
     use crate::data::{
         BenchmarkSnapshot, CandidateEligibility, DailyFactorSnapshot, DailyMarketSnapshot, DataSet,
-        PriceField,
+        IntradayExecutionQuote, PriceField,
     };
     use crate::events::{OrderSide, OrderStatus};
     use crate::instrument::Instrument;
@@ -5302,6 +5311,85 @@ mod tests {
         .expect("backtest run")
     }
 
+    #[test]
+    fn current_close_order_at_1500_loads_and_uses_post_close_matching_window() {
+        let date = d(2026, 7, 6);
+        let data = dataset_from_market_and_candidates(
+            vec![market(date, 9.5, 10.0)],
+            vec![candidate(date)],
+        );
+        let broker = BrokerSimulator::new_with_execution_price(
+            ChinaAShareCostModel::default(),
+            ChinaEquityRuleHooks,
+            PriceField::Close,
+        )
+        .with_matching_type(MatchingType::CurrentBarClose)
+        .with_intraday_execution_start_time(
+            NaiveTime::from_hms_opt(15, 0, 0).expect("valid submission time"),
+        )
+        .with_slippage_model(SlippageModel::PriceRatio(0.25))
+        .with_volume_limit(false)
+        .with_liquidity_limit(false)
+        .with_inactive_limit(false);
+        let config = BacktestConfig {
+            initial_cash: 100_000.0,
+            benchmark_code: "000852.SH".to_string(),
+            start_date: Some(date),
+            end_date: Some(date),
+            decision_lag_trading_days: 0,
+            execution_price_field: PriceField::Close,
+        };
+        let requests = Arc::new(Mutex::new(Vec::new()));
+        let captured = Arc::clone(&requests);
+        let mut engine = BacktestEngine::new(
+            data,
+            BuyWhenDecisionDateStrategy {
+                decision_date: date,
+            },
+            broker,
+            config,
+        )
+        .with_execution_quote_loader(move |request| {
+            captured
+                .lock()
+                .expect("request capture lock")
+                .push((request.start_time, request.end_time));
+            Ok(request
+                .symbols
+                .into_iter()
+                .map(|symbol| IntradayExecutionQuote {
+                    date: request.date,
+                    symbol,
+                    timestamp: request.date.and_hms_opt(15, 5, 0).expect("valid timestamp"),
+                    last_price: 12.0,
+                    bid1: 11.99,
+                    ask1: 12.01,
+                    bid1_volume: 10_000,
+                    ask1_volume: 10_000,
+                    volume_delta: 10_000,
+                    amount_delta: 120_000.0,
+                    trading_phase: Some("post_close_fixed_price".to_string()),
+                })
+                .collect())
+        });
+
+        let result = engine.run().expect("post-close backtest run");
+
+        assert_eq!(
+            requests.lock().expect("request capture lock").as_slice(),
+            &[(
+                NaiveTime::from_hms_opt(15, 5, 0),
+                NaiveTime::from_hms_opt(15, 30, 0),
+            )]
+        );
+        assert_eq!(result.fills.len(), 1, "{result:?}");
+        assert_eq!(result.fills[0].price, 10.0);
+        assert_eq!(
+            result.fills[0].execution_timestamp,
+            date.and_hms_opt(15, 5, 0)
+        );
+    }
+
     #[test]
     fn compact_progress_keeps_counts_without_event_payload_clones() {
         let mut engine = engine_with_matching(MatchingType::CurrentBarClose, PriceField::Close, 0);