Add tick best-price matching modes

crates/fidc-core/src/broker.rs

@@ -56,6 +56,9 @@ pub enum MatchingType {
     CurrentBarClose,
     NextBarOpen,
     NextTickLast,
+    NextTickBestOwn,
+    NextTickBestCounterparty,
+    CounterpartyOffer,
     Vwap,
 }
 
@@ -271,9 +274,51 @@ where
         quote: &IntradayExecutionQuote,
         side: OrderSide,
     ) -> Option<f64> {
-        let raw_price = match side {
-            OrderSide::Buy => quote.buy_price(),
-            OrderSide::Sell => quote.sell_price(),
+        let raw_price = match self.matching_type {
+            MatchingType::NextTickBestOwn => match side {
+                OrderSide::Buy => {
+                    if quote.bid1.is_finite() && quote.bid1 > 0.0 {
+                        Some(quote.bid1)
+                    } else {
+                        quote
+                            .last_price
+                            .is_finite()
+                            .then_some(quote.last_price)
+                            .filter(|price| *price > 0.0)
+                    }
+                }
+                OrderSide::Sell => {
+                    if quote.ask1.is_finite() && quote.ask1 > 0.0 {
+                        Some(quote.ask1)
+                    } else {
+                        quote
+                            .last_price
+                            .is_finite()
+                            .then_some(quote.last_price)
+                            .filter(|price| *price > 0.0)
+                    }
+                }
+            },
+            MatchingType::NextTickBestCounterparty | MatchingType::CounterpartyOffer => {
+                match side {
+                    OrderSide::Buy => quote.buy_price(),
+                    OrderSide::Sell => quote.sell_price(),
+                }
+            }
+            MatchingType::NextTickLast | MatchingType::Vwap => {
+                if quote.last_price.is_finite() && quote.last_price > 0.0 {
+                    Some(quote.last_price)
+                } else {
+                    match side {
+                        OrderSide::Buy => quote.buy_price(),
+                        OrderSide::Sell => quote.sell_price(),
+                    }
+                }
+            }
+            _ => match side {
+                OrderSide::Buy => quote.buy_price(),
+                OrderSide::Sell => quote.sell_price(),
+            },
         }?;
         let execution_price = self.quote_execution_price(snapshot, side, raw_price);
         if execution_price.is_finite() && execution_price > 0.0 {

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\" | \"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(),
+                detail: "设置撮合模式和滑点。支持 execution.matching_type(\"next_tick_last\" | \"next_tick_best_own\" | \"next_tick_best_counterparty\" | \"counterparty_offer\" | \"vwap\" | \"current_bar_close\" | \"next_bar_open\" | \"open_auction\")。其中 next_tick_last 使用 tick 的 last_price；next_tick_best_own / next_tick_best_counterparty 会按 L1 买一卖一近似 rqalpha 的 tick 最优价语义，counterparty_offer 当前也按 L1 对手方报价近似实现；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(),