Add limit price slippage support

crates/fidc-core/src/broker.rs

@@ -78,6 +78,7 @@ pub enum SlippageModel {
     None,
     PriceRatio(f64),
     TickSize(f64),
+    LimitPrice,
 }
 
 pub struct BrokerSimulator<C, R> {
@@ -245,6 +246,7 @@ where
                     OrderSide::Sell => raw_price - tick * ticks,
                 }
             }
+            SlippageModel::LimitPrice => raw_price,
         };
 
         self.clamp_execution_price(snapshot, side, adjusted)
@@ -1593,6 +1595,8 @@ where
                 );
                 (0, Vec::new())
             } else {
+                let execution_price =
+                    self.execution_price_with_limit_slippage(execution_price, limit_price);
                 (
                     fillable_qty,
                     vec![ExecutionLeg {
@@ -2361,6 +2365,8 @@ where
                 );
                 (0, Vec::new())
             } else {
+                let execution_price =
+                    self.execution_price_with_limit_slippage(execution_price, limit_price);
                 let filled_qty = self.affordable_buy_quantity(
                     date,
                     portfolio.cash(),
@@ -2888,6 +2894,17 @@ where
         }
     }
 
+    fn execution_price_with_limit_slippage(
+        &self,
+        execution_price: f64,
+        limit_price: Option<f64>,
+    ) -> f64 {
+        match (self.slippage_model, limit_price) {
+            (SlippageModel::LimitPrice, Some(limit_price)) => limit_price,
+            _ => execution_price,
+        }
+    }
+
     fn limit_order_can_remain_open(partial_reason: Option<&str>) -> bool {
         !partial_reason.is_some_and(|reason| {
             reason.contains("insufficient cash") || reason.contains("value budget")
@@ -2948,6 +2965,8 @@ where
             ) {
                 return None;
             }
+            let execution_price =
+                self.execution_price_with_limit_slippage(execution_price, limit_price);
             let quantity = match side {
                 OrderSide::Buy => self.affordable_buy_quantity(
                     date,
@@ -3037,6 +3056,7 @@ where
             ) {
                 continue;
             }
+            let quote_price = self.execution_price_with_limit_slippage(quote_price, limit_price);
             let top_level_liquidity = match side {
                 OrderSide::Buy => quote.ask1_volume,
                 OrderSide::Sell => quote.bid1_volume,

crates/fidc-core/src/strategy_ai.rs

@@ -116,7 +116,7 @@ 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\" | \"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(),
+                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) / execution.slippage(\"limit_price\")，其中 limit_price 会在限价单成交时按挂单价模拟 rqalpha 的最坏成交价。".to_string(),
             },
             ManualSection {
                 title: "when / unless / else".to_string(),