feat(trader): matcher.py A股撮合(match_session/费率/100股/封板) Issue#3

2026-07-07 10:05:49 +08:00
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commit 67ea7763cd
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+"""A 股撮合纯函数（match_session / 费率 / 100 股 / 封板）。
+
+match_bar 必须是 raw 价格（spec §3.3 / §6.2）。所有费率来自 AccountConfig。
+拒单返回 PaperReject；成交返回 PaperTrade。
+资金检查由 Account 在 apply 前负责（matcher 不看资金）。
+"""
+import pandas as pd
+
+from .limit import is_locked_for_buy_symbol, is_locked_for_sell_symbol
+from .models import (
+    AccountConfig,
+    MatchSession,
+    OrderSide,
+    PaperOrder,
+    PaperReject,
+    PaperTrade,
+)
+
+MIN_LOT = 100
+
+
+def cross_order(
+    order: PaperOrder,
+    match_bar: pd.Series,
+    prev_close_raw: float,
+    cfg: AccountConfig,
+    is_st: bool = False,
+) -> PaperTrade | PaperReject:
+    """单笔订单撮合。
+
+    步骤：
+      1. 涨跌停封板拒单（raw，按板块幅度）
+      2. 成交价（NEXT_OPEN=bar.open / CURRENT_CLOSE=bar.close）
+      3. 限价单触价检查
+      4. 100 股取整（买入向下取整；卖出允许零股）
+      5. 费用（佣金 min 5 元 / 印花税仅卖 / 过户费单边）
+    """
+    symbol = order.symbol
+    bar_date = str(match_bar.get("date", ""))
+
+    # 1. 涨跌停封板拒单（raw）
+    if order.side == OrderSide.BUY and is_locked_for_buy_symbol(
+        match_bar, symbol, prev_close_raw, cfg, is_st
+    ):
+        return PaperReject(order.strategy_id, symbol, "limit_up_locked", bar_date)
+    if order.side == OrderSide.SELL and is_locked_for_sell_symbol(
+        match_bar, symbol, prev_close_raw, cfg, is_st
+    ):
+        return PaperReject(order.strategy_id, symbol, "limit_down_locked", bar_date)
+
+    # 2. 成交价（按 match_session）
+    if order.match_session == MatchSession.NEXT_OPEN:
+        fill_price = match_bar["open"]
+    elif order.match_session == MatchSession.CURRENT_CLOSE:
+        fill_price = match_bar["close"]
+    else:
+        return PaperReject(
+            order.strategy_id, symbol, "unsupported_match_session", bar_date
+        )
+
+    # 3. 限价单触价
+    if not order.is_market:
+        if order.side == OrderSide.BUY and fill_price > order.price:
+            return PaperReject(order.strategy_id, symbol, "limit_not_touched", bar_date)
+        if order.side == OrderSide.SELL and fill_price < order.price:
+            return PaperReject(order.strategy_id, symbol, "limit_not_touched", bar_date)
+
+    # 4. 100 股取整（买入向下取整；卖出不取整，允许零股退出）
+    volume = order.volume
+    if order.side == OrderSide.BUY:
+        volume = (volume // MIN_LOT) * MIN_LOT
+        if volume < MIN_LOT:
+            return PaperReject(order.strategy_id, symbol, "volume_below_min_lot", bar_date)
+
+    # 5. 费用
+    gross = volume * fill_price
+    commission = max(gross * cfg.rate, cfg.min_commission)
+    stamp_duty = gross * cfg.stamp_duty_rate if order.side == OrderSide.SELL else 0.0
+    transfer_fee = gross * cfg.transfer_fee_rate   # 单边；Account 算双向 ×2
+
+    return PaperTrade(
+        strategy_id=order.strategy_id,
+        symbol=symbol,
+        side=order.side,
+        price=fill_price,
+        volume=volume,
+        commission=commission,
+        stamp_duty=stamp_duty,
+        transfer_fee=transfer_fee,
+        bar_date=bar_date,
+        match_session=order.match_session,
+    )