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Add tick best-price matching modes

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This commit is contained in:
boris
2026-04-23 02:24:29 -07:00
parent 252ba75f50
commit 948aca21e8
3 changed files with 280 additions and 7 deletions
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234
crates/fidc-core/tests/explicit_order_flow.rs
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@@ -1214,8 +1214,8 @@ fn broker_splits_intraday_quote_fills_and_tracks_commission_by_order() {
assert_eq!(report.fill_events.len(), 2);
assert_eq!(report.fill_events[0].quantity, 100);
assert_eq!(report.fill_events[1].quantity, 100);
assert!((report.fill_events[0].price - 10.02).abs() < 1e-9);
assert!((report.fill_events[1].price - 10.04).abs() < 1e-9);
assert!((report.fill_events[0].price - 10.01).abs() < 1e-9);
assert!((report.fill_events[1].price - 10.03).abs() < 1e-9);
assert!((report.fill_events[0].commission - 5.0).abs() < 1e-9);
assert_eq!(report.fill_events[1].commission, 0.0);
assert_eq!(report.account_events.len(), 2);
@@ -1374,7 +1374,7 @@ fn broker_aggregates_intraday_quote_fills_into_vwap_leg() {
);
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].price - 10.02).abs() < 1e-9);
assert!((report.fill_events[0].commission - 5.0).abs() < 1e-9);
assert_eq!(report.account_events.len(), 1);
assert_eq!(
@@ -1387,6 +1387,234 @@ fn broker_aggregates_intraday_quote_fills_into_vwap_leg() {
);
}
#[test]
fn broker_uses_best_own_price_for_intraday_matching() {
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: 9.98,
ask1: 10.02,
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: 10.00,
bid1: 9.98,
ask1: 10.02,
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::NextTickBestOwn);
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: 1_500.0,
reason: "best_own_fill".to_string(),
}],
notes: Vec::new(),
diagnostics: Vec::new(),
},
)
.expect("broker execution");
assert_eq!(report.fill_events.len(), 1);
assert_eq!(report.fill_events[0].quantity, 100);
assert!((report.fill_events[0].price - 9.98).abs() < 1e-9);
}
#[test]
fn broker_uses_best_counterparty_price_for_intraday_matching() {
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: 9.98,
ask1: 10.02,
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: 10.00,
bid1: 9.98,
ask1: 10.02,
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::NextTickBestCounterparty);
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: 1_500.0,
reason: "best_counterparty_fill".to_string(),
}],
notes: Vec::new(),
diagnostics: Vec::new(),
},
)
.expect("broker execution");
assert_eq!(report.fill_events.len(), 1);
assert_eq!(report.fill_events[0].quantity, 100);
assert!((report.fill_events[0].price - 10.02).abs() < 1e-9);
}
#[test]
fn rebalance_optimizer_skips_unfunded_buy_when_existing_position_cannot_sell() {
let prev_date = NaiveDate::from_ymd_opt(2024, 1, 9).unwrap();