From a131c761e553792d058d4cbef575fba019a5e7f7 Mon Sep 17 00:00:00 2001 From: boris Date: Fri, 26 Jun 2026 17:03:48 +0800 Subject: [PATCH] =?UTF-8?q?=E8=B0=83=E6=95=B4=E5=9B=9E=E6=B5=8B=E6=92=AE?= =?UTF-8?q?=E5=90=88=E4=B8=BA=E5=88=86=E9=92=9F=E7=BA=BF=E6=89=A7=E8=A1=8C?= =?UTF-8?q?=E4=BB=B7=E8=AF=AD=E4=B9=89?= MIME-Version: 1.0 Content-Type: text/plain; charset=UTF-8 Content-Transfer-Encoding: 8bit --- crates/fidc-core/src/broker.rs | 53 +++++++++---------- crates/fidc-core/src/engine.rs | 14 +++-- .../fidc-core/src/platform_expr_strategy.rs | 25 +++++---- .../fidc-core/src/platform_strategy_spec.rs | 11 ++-- crates/fidc-core/src/strategy_ai.rs | 8 +-- .../fidc-core/tests/decision_quote_preload.rs | 6 +-- crates/fidc-core/tests/engine_hooks.rs | 2 +- crates/fidc-core/tests/explicit_order_flow.rs | 6 +-- 8 files changed, 59 insertions(+), 66 deletions(-) diff --git a/crates/fidc-core/src/broker.rs b/crates/fidc-core/src/broker.rs index 94b2279..87fa4aa 100644 --- a/crates/fidc-core/src/broker.rs +++ b/crates/fidc-core/src/broker.rs @@ -73,10 +73,9 @@ pub enum MatchingType { OpenAuction, CurrentBarClose, NextBarOpen, - NextMinuteLast, - NextMinuteBestOwn, - NextMinuteBestCounterparty, - CounterpartyOffer, + MinuteLast, + MinuteBestOwn, + MinuteBestCounterparty, Vwap, Twap, } @@ -563,7 +562,7 @@ where matching_type: MatchingType, ) -> Option { let raw_price = match matching_type { - MatchingType::NextMinuteBestOwn => match side { + MatchingType::MinuteBestOwn => match side { OrderSide::Buy => { if quote.bid1.is_finite() && quote.bid1 > 0.0 { Some(quote.bid1) @@ -587,13 +586,11 @@ where } } }, - MatchingType::NextMinuteBestCounterparty | MatchingType::CounterpartyOffer => { - match side { - OrderSide::Buy => quote.buy_price(), - OrderSide::Sell => quote.sell_price(), - } - } - MatchingType::NextMinuteLast | MatchingType::Vwap | MatchingType::Twap => { + MatchingType::MinuteBestCounterparty => match side { + OrderSide::Buy => quote.buy_price(), + OrderSide::Sell => quote.sell_price(), + }, + MatchingType::MinuteLast | MatchingType::Vwap | MatchingType::Twap => { if quote.last_price.is_finite() && quote.last_price > 0.0 { Some(quote.last_price) } else { @@ -4998,7 +4995,7 @@ where quotes, start_cursor, end_cursor, - matching_type == MatchingType::NextMinuteLast && start_cursor.is_some(), + matching_type == MatchingType::MinuteLast && start_cursor.is_some(), )), }); } @@ -5056,12 +5053,12 @@ where let quote_quantity_limited = self.quote_quantity_limited_for_window(matching_type, start_cursor, end_cursor); let lot = round_lot.max(1); - let exact_time_order_quote = matching_type != MatchingType::NextMinuteLast + let exact_time_order_quote = matching_type != MatchingType::MinuteLast && start_cursor.is_some() && end_cursor.is_some() && start_cursor == end_cursor; let use_decision_time_quote = start_cursor.is_some() - && (matching_type == MatchingType::NextMinuteLast || exact_time_order_quote); + && (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( quotes, @@ -5290,7 +5287,7 @@ where } fn quote_quantity_limited(&self, matching_type: MatchingType) -> bool { - self.volume_limit || self.liquidity_limit || matching_type != MatchingType::NextMinuteLast + self.volume_limit || self.liquidity_limit || matching_type != MatchingType::MinuteLast } fn quote_quantity_limited_for_window( @@ -5321,7 +5318,7 @@ fn matching_type_from_price_field(field: PriceField) -> MatchingType { PriceField::DayOpen => MatchingType::OpenAuction, PriceField::Open => MatchingType::NextBarOpen, PriceField::Close => MatchingType::CurrentBarClose, - PriceField::Last => MatchingType::NextMinuteLast, + PriceField::Last => MatchingType::MinuteLast, } } @@ -5487,17 +5484,17 @@ mod tests { } #[test] - fn next_minute_last_without_volume_or_liquidity_limit_does_not_cap_quote_quantity() { + fn minute_last_without_volume_or_liquidity_limit_does_not_cap_quote_quantity() { let broker = BrokerSimulator::new(ChinaAShareCostModel::default(), ChinaEquityRuleHooks) .with_volume_limit(false) .with_liquidity_limit(false); - assert!(!broker.quote_quantity_limited(MatchingType::NextMinuteLast)); - assert!(broker.quote_quantity_limited(MatchingType::CounterpartyOffer)); + assert!(!broker.quote_quantity_limited(MatchingType::MinuteLast)); + assert!(broker.quote_quantity_limited(MatchingType::MinuteBestCounterparty)); } #[test] - fn next_minute_last_keeps_quote_quantity_cap_when_limits_enabled() { + fn minute_last_keeps_quote_quantity_cap_when_limits_enabled() { let volume_limited = BrokerSimulator::new(ChinaAShareCostModel::default(), ChinaEquityRuleHooks) .with_volume_limit(true) @@ -5507,8 +5504,8 @@ mod tests { .with_volume_limit(false) .with_liquidity_limit(true); - assert!(volume_limited.quote_quantity_limited(MatchingType::NextMinuteLast)); - assert!(liquidity_limited.quote_quantity_limited(MatchingType::NextMinuteLast)); + assert!(volume_limited.quote_quantity_limited(MatchingType::MinuteLast)); + assert!(liquidity_limited.quote_quantity_limited(MatchingType::MinuteLast)); } #[test] @@ -5558,7 +5555,7 @@ mod tests { PriceField::Last, ) .with_intraday_execution_start_time(date.and_hms_opt(10, 18, 0).unwrap().time()) - .with_matching_type(MatchingType::NextMinuteLast) + .with_matching_type(MatchingType::MinuteLast) .with_slippage_model(SlippageModel::PriceRatio(0.001)) .with_volume_limit(false) .with_liquidity_limit(false); @@ -5751,7 +5748,7 @@ mod tests { } #[test] - fn next_minute_last_execution_uses_latest_quote_before_decision_time() { + fn minute_last_execution_uses_latest_quote_before_decision_time() { let date = chrono::NaiveDate::from_ymd_opt(2025, 1, 2).expect("valid date"); let broker = BrokerSimulator::new_with_execution_price( ChinaAShareCostModel::default(), @@ -5772,7 +5769,7 @@ mod tests { &snapshot, &[quote], OrderSide::Sell, - MatchingType::NextMinuteLast, + MatchingType::MinuteLast, Some(decision_time), Some(decision_time), 200, @@ -6026,7 +6023,7 @@ mod tests { &snapshot, &[quote], OrderSide::Buy, - MatchingType::NextMinuteLast, + MatchingType::MinuteLast, Some(start), None, 100, @@ -6103,7 +6100,7 @@ mod tests { &snapshot, &[quote], OrderSide::Sell, - MatchingType::NextMinuteLast, + MatchingType::MinuteLast, Some(start), None, 100, diff --git a/crates/fidc-core/src/engine.rs b/crates/fidc-core/src/engine.rs index cbbca39..d70e115 100644 --- a/crates/fidc-core/src/engine.rs +++ b/crates/fidc-core/src/engine.rs @@ -1444,7 +1444,7 @@ where let snapshot = self.data.market(date, &intent.symbol); if matches!( self.broker.matching_type(), - MatchingType::NextMinuteBestCounterparty | MatchingType::CounterpartyOffer + MatchingType::MinuteBestCounterparty ) { let depth = self.data.order_book_depth_on(date, &intent.symbol); if !depth.is_empty() { @@ -1454,7 +1454,7 @@ where let quotes = self.data.execution_quotes_on(date, &intent.symbol); for quote in quotes { let price = match self.broker.matching_type() { - MatchingType::NextMinuteBestOwn => match intent.side() { + MatchingType::MinuteBestOwn => match intent.side() { OrderSide::Buy => { if quote.bid1.is_finite() && quote.bid1 > 0.0 { quote.bid1 @@ -1470,12 +1470,10 @@ where } } }, - MatchingType::NextMinuteBestCounterparty | MatchingType::CounterpartyOffer => { - match intent.side() { - OrderSide::Buy => quote.buy_price().unwrap_or(quote.last_price), - OrderSide::Sell => quote.sell_price().unwrap_or(quote.last_price), - } - } + MatchingType::MinuteBestCounterparty => match intent.side() { + OrderSide::Buy => quote.buy_price().unwrap_or(quote.last_price), + OrderSide::Sell => quote.sell_price().unwrap_or(quote.last_price), + }, _ => quote.last_price, }; if let Some(snapshot) = snapshot { diff --git a/crates/fidc-core/src/platform_expr_strategy.rs b/crates/fidc-core/src/platform_expr_strategy.rs index ebe8256..98837eb 100644 --- a/crates/fidc-core/src/platform_expr_strategy.rs +++ b/crates/fidc-core/src/platform_expr_strategy.rs @@ -286,7 +286,7 @@ fn band_low(index_close) { stamp_tax_rate_after_change: None, strict_value_budget: false, slippage_model: SlippageModel::None, - matching_type: MatchingType::NextMinuteLast, + matching_type: MatchingType::MinuteLast, quote_quantity_limit: true, current_day_precomputed_factors: false, prefer_precomputed_rolling_factors: false, @@ -1342,7 +1342,7 @@ impl PlatformExprStrategy { let last = || (quote.last_price.is_finite() && quote.last_price > 0.0).then_some(quote.last_price); match self.config.matching_type { - MatchingType::NextMinuteBestOwn => match side { + MatchingType::MinuteBestOwn => match side { OrderSide::Buy => (quote.bid1.is_finite() && quote.bid1 > 0.0) .then_some(quote.bid1) .or_else(last), @@ -1350,17 +1350,16 @@ impl PlatformExprStrategy { .then_some(quote.ask1) .or_else(last), }, - MatchingType::NextMinuteBestCounterparty | MatchingType::CounterpartyOffer => { - match side { + MatchingType::MinuteBestCounterparty => match side { + OrderSide::Buy => quote.buy_price(), + OrderSide::Sell => quote.sell_price(), + }, + MatchingType::MinuteLast | MatchingType::Vwap | MatchingType::Twap => { + last().or_else(|| match side { OrderSide::Buy => quote.buy_price(), OrderSide::Sell => quote.sell_price(), - } + }) } - MatchingType::NextMinuteLast | MatchingType::Vwap | MatchingType::Twap => last() - .or_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(), @@ -8423,7 +8422,7 @@ mod tests { } #[test] - fn platform_aiquant_next_minute_last_projection_uses_last_quote_for_buy_budget() { + fn platform_aiquant_minute_last_projection_uses_last_quote_for_buy_budget() { let date = d(2023, 5, 4); let symbol = "000782.SZ"; let data = DataSet::from_components_with_actions_and_quotes( @@ -8530,7 +8529,7 @@ mod tests { cfg.minimum_commission = Some(5.0); cfg.strict_value_budget = true; cfg.slippage_model = SlippageModel::PriceRatio(0.002); - cfg.matching_type = MatchingType::NextMinuteLast; + cfg.matching_type = MatchingType::MinuteLast; cfg.quote_quantity_limit = false; cfg.intraday_execution_time = Some(NaiveTime::from_hms_opt(10, 40, 0).expect("time")); let strategy = PlatformExprStrategy::new(cfg); @@ -8688,7 +8687,7 @@ mod tests { cfg.minimum_commission = Some(5.0); cfg.strict_value_budget = true; cfg.slippage_model = SlippageModel::PriceRatio(0.002); - cfg.matching_type = MatchingType::NextMinuteLast; + cfg.matching_type = MatchingType::MinuteLast; cfg.quote_quantity_limit = false; cfg.intraday_execution_time = Some(NaiveTime::from_hms_opt(10, 40, 0).expect("time")); let strategy = PlatformExprStrategy::new(cfg); diff --git a/crates/fidc-core/src/platform_strategy_spec.rs b/crates/fidc-core/src/platform_strategy_spec.rs index dcaad8d..2e026e1 100644 --- a/crates/fidc-core/src/platform_strategy_spec.rs +++ b/crates/fidc-core/src/platform_strategy_spec.rs @@ -423,10 +423,9 @@ fn parse_matching_type(value: Option<&str>) -> Option { "open_auction" => Some(MatchingType::OpenAuction), "current_bar_close" => Some(MatchingType::CurrentBarClose), "next_bar_open" => Some(MatchingType::NextBarOpen), - "next_minute_last" => Some(MatchingType::NextMinuteLast), - "next_minute_best_own" => Some(MatchingType::NextMinuteBestOwn), - "next_minute_best_counterparty" => Some(MatchingType::NextMinuteBestCounterparty), - "counterparty_offer" => Some(MatchingType::CounterpartyOffer), + "minute_last" => Some(MatchingType::MinuteLast), + "minute_best_own" => Some(MatchingType::MinuteBestOwn), + "minute_best_counterparty" => Some(MatchingType::MinuteBestCounterparty), "vwap" => Some(MatchingType::Vwap), "twap" => Some(MatchingType::Twap), _ => None, @@ -1655,7 +1654,7 @@ mod tests { fn parses_execution_slippage_overrides_into_platform_config() { let spec = serde_json::json!({ "execution": { - "matchingType": "next_minute_last", + "matchingType": "minute_last", "slippageModel": "price_ratio", "slippageValue": 0.001, "strictValueBudget": true @@ -1671,7 +1670,7 @@ mod tests { let cfg = platform_expr_config_from_value("", "", &spec).expect("config"); - assert_eq!(cfg.matching_type, MatchingType::NextMinuteLast); + assert_eq!(cfg.matching_type, MatchingType::MinuteLast); assert_eq!(cfg.slippage_model, SlippageModel::PriceRatio(0.001)); assert!(cfg.strict_value_budget); } diff --git a/crates/fidc-core/src/strategy_ai.rs b/crates/fidc-core/src/strategy_ai.rs index 75c5f7a..5828cd4 100644 --- a/crates/fidc-core/src/strategy_ai.rs +++ b/crates/fidc-core/src/strategy_ai.rs @@ -220,7 +220,7 @@ 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。使用 execution.matching_type(\"next_minute_last\" | \"next_minute_best_own\" | \"next_minute_best_counterparty\" | \"counterparty_offer\" | \"vwap\" | \"current_bar_close\" | \"next_bar_open\" | \"open_auction\")。next_minute_last 使用分钟执行价 last_price；next_minute_best_own / next_minute_best_counterparty 会按 L1 买一卖一近似 平台内核 的最优价语义；counterparty_offer 在存在 order_book_depth 多档盘口数据时会按真实档位逐档扫单并计算加权成交价，不存在 depth 时回退 L1 对手方报价；vwap 会在盘中执行价链路上聚合多笔成交为单条 VWAP 成交；next_bar_open 使用决策日信号并在下一可交易日开盘撮合，禁止把执行日 open/high/low/close 解释为下单前已知数据；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) / execution.slippage(\"limit_price\")，其中 limit_price 会在限价单成交时按挂单价模拟 平台内核 的最坏成交价。".to_string(), + detail: "设置撮合模式和滑点。使用 execution.matching_type(\"minute_last\" | \"minute_best_own\" | \"minute_best_counterparty\" | \"vwap\" | \"twap\" | \"current_bar_close\" | \"next_bar_open\" | \"open_auction\")。minute_last 使用分钟执行价 last_price；minute_best_own 使用己方一档报价，minute_best_counterparty 使用对手方一档报价，存在 order_book_depth 多档盘口数据时可按真实档位逐档扫单；vwap/twap 在分钟执行价窗口内聚合成交；next_bar_open 使用决策日信号并在下一可交易日开盘撮合，禁止把执行日 open/high/low/close 解释为下单前已知数据；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) / execution.slippage(\"limit_price\")，其中 limit_price 会在限价单成交时按挂单价模拟 平台内核 的最坏成交价。".to_string(), }, ManualSection { title: "期货提交校验".to_string(), @@ -360,7 +360,7 @@ pub fn built_in_strategy_manual() -> StrategyAiManual { }, ManualFactorSource { table: "盘口深度参数".to_string(), - detail: "可选字段包括 date、symbol、timestamp、level、bid_price、bid_volume、ask_price、ask_volume。存在盘口深度时，期货 counterparty_offer / next_minute_best_counterparty 可按真实多档盘口逐档扫单；不存在时不会伪造 depth。".to_string(), + detail: "可选字段包括 date、symbol、timestamp、level、bid_price、bid_volume、ask_price、ask_volume。存在盘口深度时，期货 minute_best_counterparty 可按真实多档盘口逐档扫单；不存在时不会伪造 depth。".to_string(), fields: vec![], }, ManualFactorSource { @@ -384,7 +384,7 @@ pub fn built_in_strategy_manual() -> StrategyAiManual { }, ManualExample { title: "分钟执行价撮合 + 最小价位滑点".to_string(), - code: "execution.matching_type(\"next_minute_last\")\nexecution.slippage(\"tick_size\", 1)".to_string(), + code: "execution.matching_type(\"minute_last\")\nexecution.slippage(\"tick_size\", 1)".to_string(), }, ManualExample { title: "动态 universe 和订阅".to_string(), @@ -518,7 +518,7 @@ pub fn build_generation_prompt( prompt.push_str("- 生成的代码必须能转换为 strategy_spec 并提交 POST /v1/backtests。\n"); prompt.push_str("- 不要使用手册未列出的字段、函数或外部平台 API 名称。\n\n"); prompt.push_str("只允许使用这些可编译语句：market、benchmark、signal、rebalance.every_days(...).at([...])、selection.limit、selection.market_cap_band、filter.stock_ma、filter.stock_expr、ordering.rank_by、ordering.rank_expr、allocation.buy_scale、risk.stop_loss、risk.take_profit、risk.index_exposure、execution.matching_type、execution.slippage、universe.exclude。禁止输出 filter(...)、rank(...)、select.top(...)、weight.equal()、sell_rule(...)、backtest(...)、risk.max_position(...) 这类未支持伪语法。\n"); - prompt.push_str("参数形态必须严格：selection.market_cap_band 必须写 field=\"market_cap\" 或 field=\"free_float_cap\", lower=..., upper=...；禁止使用 float_market_cap；禁止使用 ma60、stock_ma60、signal_ma60、benchmark_ma60，60日价格均线写 rolling_mean(\"close\", 60) 或 ma(\"close\", 60)，任意窗口均量写 rolling_mean(\"volume\", n) 或 vma(n)；不要生成 fn score() 这类零参数函数，股票字段排序直接写在 ordering.rank_expr 内或用带参数函数；布尔字段按布尔使用，写 !is_st、!paused、!at_upper_limit、!at_lower_limit，不要写 is_st == 0；risk.index_exposure 只能传一个数值表达式，不要使用 risk.exposure；完整三元表达式 cond ? a : b 可以使用，但不得输出残缺问号/冒号片段；execution.matching_type 只能取 next_minute_last、next_minute_best_own、next_minute_best_counterparty、counterparty_offer、vwap、current_bar_close、next_bar_open、open_auction；next_bar_open 只能使用决策日信号，不能把执行日价格当作下单前信息；execution.slippage 必须写 execution.slippage(\"none\") 或 execution.slippage(\"price_ratio\", 0.001)。\n"); + prompt.push_str("参数形态必须严格：selection.market_cap_band 必须写 field=\"market_cap\" 或 field=\"free_float_cap\", lower=..., upper=...；禁止使用 float_market_cap；禁止使用 ma60、stock_ma60、signal_ma60、benchmark_ma60，60日价格均线写 rolling_mean(\"close\", 60) 或 ma(\"close\", 60)，任意窗口均量写 rolling_mean(\"volume\", n) 或 vma(n)；不要生成 fn score() 这类零参数函数，股票字段排序直接写在 ordering.rank_expr 内或用带参数函数；布尔字段按布尔使用，写 !is_st、!paused、!at_upper_limit、!at_lower_limit，不要写 is_st == 0；risk.index_exposure 只能传一个数值表达式，不要使用 risk.exposure；完整三元表达式 cond ? a : b 可以使用，但不得输出残缺问号/冒号片段；execution.matching_type 只能取 minute_last、minute_best_own、minute_best_counterparty、vwap、twap、current_bar_close、next_bar_open、open_auction；next_bar_open 只能使用决策日信号，不能把执行日价格当作下单前信息；execution.slippage 必须写 execution.slippage(\"none\") 或 execution.slippage(\"price_ratio\", 0.001)。\n"); prompt.push_str("回测成功但 tradeCount=0 或 holdingCount=0 是无效策略；第一版必须保持稳定买入覆盖率，复杂因子只能在后续优化中逐步加严。\n"); prompt.push_str("可参考但不要照抄的最小模板，回复时不要包含 ``` 代码围栏：\nstrategy(\"cn_a_smallcap_factor_rotation\") {\nmarket(\"CN_A\")\nbenchmark(\"000852.SH\")\nsignal(\"000001.SH\")\nrebalance.every_days(5).at([\"10:18\"])\nselection.limit(40)\nselection.market_cap_band(field=\"market_cap\", lower=0, upper=1000)\nfilter.stock_expr(listed_days >= 60 && !is_st && !paused && close > 2 && !at_upper_limit && !at_lower_limit)\nordering.rank_by(\"market_cap\", \"asc\")\nallocation.buy_scale(1.0)\nrisk.index_exposure(1.0)\nrisk.stop_loss(holding_return < -0.08)\nexecution.slippage(\"price_ratio\", 0.001)\n}\n\n"); prompt.push_str("用户目标：\n"); diff --git a/crates/fidc-core/tests/decision_quote_preload.rs b/crates/fidc-core/tests/decision_quote_preload.rs index 47b9ec6..c680e2d 100644 --- a/crates/fidc-core/tests/decision_quote_preload.rs +++ b/crates/fidc-core/tests/decision_quote_preload.rs @@ -190,7 +190,7 @@ fn engine_preloads_declared_decision_quotes_for_current_positions() { ChinaEquityRuleHooks, PriceField::Last, ) - .with_matching_type(MatchingType::NextMinuteLast) + .with_matching_type(MatchingType::MinuteLast) .with_intraday_execution_start_time(t(10, 40, 0)); let config = BacktestConfig { initial_cash: 10_000.0, @@ -385,7 +385,7 @@ fn engine_reuses_preloaded_decision_quotes_without_loader_call() { ChinaEquityRuleHooks, PriceField::Last, ) - .with_matching_type(MatchingType::NextMinuteLast) + .with_matching_type(MatchingType::MinuteLast) .with_intraday_execution_start_time(t(10, 40, 0)); let config = BacktestConfig { initial_cash: 10_000.0, @@ -587,7 +587,7 @@ fn engine_loads_distinct_decision_quote_times_on_same_day() { ChinaEquityRuleHooks, PriceField::Last, ) - .with_matching_type(MatchingType::NextMinuteLast) + .with_matching_type(MatchingType::MinuteLast) .with_intraday_execution_start_time(t(10, 40, 0)); let config = BacktestConfig { initial_cash: 10_000.0, diff --git a/crates/fidc-core/tests/engine_hooks.rs b/crates/fidc-core/tests/engine_hooks.rs index 542c065..fc4669b 100644 --- a/crates/fidc-core/tests/engine_hooks.rs +++ b/crates/fidc-core/tests/engine_hooks.rs @@ -1842,7 +1842,7 @@ fn engine_sweeps_futures_order_book_depth_when_available() { ChinaEquityRuleHooks::default(), PriceField::Last, ) - .with_matching_type(MatchingType::CounterpartyOffer); + .with_matching_type(MatchingType::MinuteBestCounterparty); let mut engine = BacktestEngine::new( data, FuturesDepthLimitOrderStrategy, diff --git a/crates/fidc-core/tests/explicit_order_flow.rs b/crates/fidc-core/tests/explicit_order_flow.rs index cf35494..73dc4e8 100644 --- a/crates/fidc-core/tests/explicit_order_flow.rs +++ b/crates/fidc-core/tests/explicit_order_flow.rs @@ -349,7 +349,7 @@ fn broker_delayed_limit_open_sell_uses_minute_price() { ChinaEquityRuleHooks::default(), PriceField::Last, ) - .with_matching_type(MatchingType::NextMinuteLast) + .with_matching_type(MatchingType::MinuteLast) .with_intraday_execution_start_time(NaiveTime::from_hms_opt(9, 31, 0).unwrap()) .with_volume_limit(false) .with_liquidity_limit(false); @@ -2888,7 +2888,7 @@ fn broker_uses_best_own_price_for_intraday_matching() { ChinaEquityRuleHooks::default(), PriceField::Last, ) - .with_matching_type(MatchingType::NextMinuteBestOwn); + .with_matching_type(MatchingType::MinuteBestOwn); let report = broker .execute( @@ -3003,7 +3003,7 @@ fn broker_uses_best_counterparty_price_for_intraday_matching() { ChinaEquityRuleHooks::default(), PriceField::Last, ) - .with_matching_type(MatchingType::NextMinuteBestCounterparty); + .with_matching_type(MatchingType::MinuteBestCounterparty); let report = broker .execute(