支持盘后固定价格撮合合同

crates/fidc-core/src/broker.rs

@@ -248,6 +248,7 @@ pub enum MatchingType {
     OpenAuction,
     CurrentBarClose,
     NextBarOpen,
+    PostCloseFixedPrice,
     MinuteLast,
     MinuteBestOwn,
     MinuteBestCounterparty,
@@ -545,6 +546,12 @@ impl<C, R> BrokerSimulator<C, R> {
     }
 
     fn effective_remainder_policy(&self, allow_pending_limit: bool) -> RemainderPolicy {
+        if self.matching_type == MatchingType::PostCloseFixedPrice {
+            return match self.runtime_time_in_force.get() {
+                Some(OrderTimeInForce::Fok) => RemainderPolicy::FillOrKill,
+                _ => RemainderPolicy::Cancel,
+            };
+        }
         match self.runtime_time_in_force.get() {
             Some(OrderTimeInForce::Fok) => RemainderPolicy::FillOrKill,
             Some(OrderTimeInForce::Gtc) => RemainderPolicy::KeepUntilCanceled,
@@ -983,6 +990,13 @@ where
             return self.clamp_execution_price(snapshot, side, raw_price);
         }
 
+        // A fixed-price post-close declaration is matched at the official
+        // close; applying market slippage here would turn it into a different
+        // order contract.  Fees and risk checks still run normally.
+        if self.matching_type == MatchingType::PostCloseFixedPrice {
+            return self.clamp_execution_price(snapshot, side, raw_price);
+        }
+
         let order_value = quantity.and_then(|qty| (qty > 0).then_some(raw_price * qty as f64));
         let mut adjusted = match self.slippage_model {
             SlippageModel::None => raw_price,
@@ -7427,7 +7441,8 @@ where
         match matching_type {
             MatchingType::OpenAuction
             | MatchingType::CurrentBarClose
-            | MatchingType::NextBarOpen => false,
+            | MatchingType::NextBarOpen
+            | MatchingType::PostCloseFixedPrice => false,
             MatchingType::MinuteLast => self.liquidity_limit,
             MatchingType::MinuteBestOwn
             | MatchingType::MinuteBestCounterparty
@@ -7473,6 +7488,7 @@ fn execution_price_field_from_matching_type(matching_type: MatchingType) -> Pric
         MatchingType::OpenAuction => PriceField::DayOpen,
         MatchingType::CurrentBarClose => PriceField::Close,
         MatchingType::NextBarOpen => PriceField::Open,
+        MatchingType::PostCloseFixedPrice => PriceField::Close,
         MatchingType::MinuteLast
         | MatchingType::MinuteBestOwn
         | MatchingType::MinuteBestCounterparty
@@ -7953,6 +7969,57 @@ mod tests {
         assert!(broker.quote_quantity_limited(MatchingType::MinuteBestCounterparty));
     }
 
+    #[test]
+    fn post_close_fixed_price_uses_daily_close_without_market_slippage() {
+        let date = chrono::NaiveDate::from_ymd_opt(2026, 7, 6).expect("valid date");
+        let mut snapshot = limit_test_snapshot();
+        snapshot.date = date;
+        snapshot.timestamp = Some(format!("{date} 15:00:00"));
+        snapshot.close = 10.0;
+        snapshot.last_price = 10.0;
+        snapshot.bid1 = 10.0;
+        snapshot.ask1 = 10.0;
+        let mut candidate = limit_test_candidate(true, true);
+        candidate.date = date;
+        let mut benchmark = limit_test_benchmark();
+        benchmark.date = date;
+        let data = DataSet::from_components_with_actions_and_quotes(
+            vec![limit_test_instrument()],
+            vec![snapshot],
+            Vec::new(),
+            vec![candidate],
+            vec![benchmark],
+            Vec::new(),
+            Vec::new(),
+        )
+        .expect("valid post-close dataset");
+        let broker = BrokerSimulator::new(
+            ChinaAShareCostModel::default(),
+            ChinaEquityRuleHooks,
+        )
+        .with_matching_type(MatchingType::PostCloseFixedPrice)
+        .with_slippage_model(SlippageModel::PriceRatio(0.25))
+        .with_volume_limit(false)
+        .with_liquidity_limit(false)
+        .with_inactive_limit(false);
+        let decision = StrategyDecision {
+            order_intents: vec![OrderIntent::TargetValue {
+                symbol: "000001.SZ".to_string(),
+                target_value: 2_000.0,
+                reason: "post_close_buy".to_string(),
+            }],
+            ..StrategyDecision::default()
+        };
+        let mut portfolio = PortfolioState::new(20_000.0);
+        let report = broker
+            .execute(date, &mut portfolio, &data, &decision)
+            .expect("post-close execution");
+        assert_eq!(report.fill_events.len(), 1, "report={report:?}");
+        assert_eq!(report.fill_events[0].price, 10.0);
+        assert_eq!(report.fill_events[0].quantity, 100);
+        assert!(!broker.has_open_orders());
+    }
+
     #[test]
     fn next_open_buy_risk_uses_execution_date_not_signal_date() {
         let signal_date = chrono::NaiveDate::from_ymd_opt(2025, 1, 2).expect("valid date");

crates/fidc-core/src/platform_expr_strategy.rs

@@ -2194,6 +2194,7 @@ impl PlatformExprStrategy {
             MatchingType::OpenAuction => PriceField::DayOpen,
             MatchingType::CurrentBarClose => PriceField::Close,
             MatchingType::NextBarOpen => PriceField::Open,
+            MatchingType::PostCloseFixedPrice => PriceField::Close,
             MatchingType::MinuteLast
             | MatchingType::MinuteBestOwn
             | MatchingType::MinuteBestCounterparty
@@ -2256,6 +2257,7 @@ impl PlatformExprStrategy {
             let price_field = match self.config.matching_type {
                 MatchingType::NextBarOpen => PriceField::Open,
                 MatchingType::CurrentBarClose => PriceField::Close,
+                MatchingType::PostCloseFixedPrice => PriceField::Close,
                 MatchingType::OpenAuction
                 | MatchingType::MinuteLast
                 | MatchingType::MinuteBestOwn

crates/fidc-core/src/platform_strategy_spec.rs

@@ -1345,9 +1345,10 @@ fn parse_matching_type(value: Option<&str>) -> Result<Option<MatchingType>, Stri
     match normalize_model_name(raw).as_str() {
         "current_bar_close" => Ok(Some(MatchingType::CurrentBarClose)),
         "next_bar_open" => Ok(Some(MatchingType::NextBarOpen)),
+        "post_close_fixed_price" => Ok(Some(MatchingType::PostCloseFixedPrice)),
         "minute_last" => Ok(Some(MatchingType::MinuteLast)),
         _ => Err(format!(
-            "matchingType only supports current_bar_close, next_bar_open, minute_last: {raw}"
+            "matchingType only supports current_bar_close, next_bar_open, post_close_fixed_price, minute_last: {raw}"
         )),
     }
 }
@@ -3660,6 +3661,7 @@ mod tests {
         for (raw, expected) in [
             ("current_bar_close", MatchingType::CurrentBarClose),
             ("next_bar_open", MatchingType::NextBarOpen),
+            ("post_close_fixed_price", MatchingType::PostCloseFixedPrice),
             ("minute_last", MatchingType::MinuteLast),
         ] {
             let spec = serde_json::json!({
@@ -3696,7 +3698,7 @@ mod tests {
 
             assert!(
                 err.to_string().contains(
-                    "matchingType only supports current_bar_close, next_bar_open, minute_last"
+                    "matchingType only supports current_bar_close, next_bar_open, post_close_fixed_price, minute_last"
                 ),
                 "{err}"
             );