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Add limit price slippage support

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boris
2026-04-23 03:21:50 -07:00
parent f65267accf
commit a7bb29ce2a
3 changed files with 58 additions and 1 deletions
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crates/fidc-core/src/strategy_ai.rs
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@@ -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(),