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

sanguo_trader/matcher.py

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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,
+    )

tests/trader/test_matcher.py

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+"""matcher.py 撮合纯函数测试（match_session / 费率 / 100 股 / 封板）。
+
+raw 价格：PREV=10.0 即 raw 前收。
+拒单判断统一用 isinstance(r, PaperReject)（计划修正点：避免 walrus 表达式 bug）。
+"""
+import pandas as pd
+import pytest
+
+from sanguo_trader.matcher import cross_order
+from sanguo_trader.models import (
+    AccountConfig,
+    MatchSession,
+    OrderSide,
+    PaperOrder,
+    PaperReject,
+    PaperTrade,
+)
+
+CFG = AccountConfig(initial_capital=1_000_000)
+PREV = 10.0  # raw 前收
+
+
+def mkbar(open, high, low, close):
+    return pd.Series({"open": open, "high": high, "low": low, "close": close})
+
+
+def buy(price=0, volume=100, market=True, session=MatchSession.NEXT_OPEN, symbol="600000"):
+    return PaperOrder("s1", symbol, OrderSide.BUY, price, volume, market, session)
+
+
+def sell(price=0, volume=100, market=True, session=MatchSession.NEXT_OPEN, symbol="600000"):
+    return PaperOrder("s1", symbol, OrderSide.SELL, price, volume, market, session)
+
+
+# ---- 撮合时点 ----
+def test_next_open_market_fill_uses_next_open():
+    t = cross_order(buy(market=True), mkbar(10.5, 11, 10.2, 10.8), PREV, CFG)
+    assert isinstance(t, PaperTrade)
+    assert t.price == 10.5
+
+
+def test_current_close_fill_uses_current_close():
+    o = buy(market=True, session=MatchSession.CURRENT_CLOSE)
+    t = cross_order(o, mkbar(10.5, 11, 10.2, 10.8), PREV, CFG)
+    assert isinstance(t, PaperTrade)
+    assert t.price == 10.8
+
+
+# ---- 涨跌停封板拒单 ----
+def test_limit_up_one_word_rejects_buy():
+    up = 11.0  # 10*1.1
+    r = cross_order(buy(market=True), mkbar(up, up, up, up), PREV, CFG)
+    assert isinstance(r, PaperReject) and r.reason == "limit_up_locked"
+
+
+def test_limit_up_t_lock_rejects_buy_conservatively():
+    up = 11.0
+    r = cross_order(buy(market=True), mkbar(up, up, 10.5, up), PREV, CFG)
+    assert isinstance(r, PaperReject) and r.reason == "limit_up_locked"
+
+
+def test_limit_down_one_word_rejects_sell():
+    down = 9.0  # 10*0.9
+    r = cross_order(sell(market=True), mkbar(down, down, down, down), PREV, CFG)
+    assert isinstance(r, PaperReject) and r.reason == "limit_down_locked"
+
+
+def test_gem_board_20pct_limit_up():
+    # 创业板 300750，prev 10.00 → 涨停 12.00（20%）
+    r = cross_order(
+        PaperOrder("s1", "300750", OrderSide.BUY, 0, 100, True),
+        mkbar(12.0, 12.0, 12.0, 12.0),
+        10.0,
+        CFG,
+    )
+    assert isinstance(r, PaperReject) and r.reason == "limit_up_locked"
+
+
+def test_star_board_20pct_limit_down():
+    # 科创板 688981，prev 10.00 → 跌停 8.00（20%）
+    r = cross_order(
+        PaperOrder("s1", "688981", OrderSide.SELL, 0, 100, True),
+        mkbar(8.0, 8.0, 8.0, 8.0),
+        10.0,
+        CFG,
+    )
+    assert isinstance(r, PaperReject) and r.reason == "limit_down_locked"
+
+
+def test_bse_board_30pct_limit_up():
+    # 北交所 830799，prev 10.00 → 涨停 13.00（30%）
+    r = cross_order(
+        PaperOrder("s1", "830799", OrderSide.BUY, 0, 100, True),
+        mkbar(13.0, 13.0, 13.0, 13.0),
+        10.0,
+        CFG,
+    )
+    assert isinstance(r, PaperReject) and r.reason == "limit_up_locked"
+
+
+def test_st_5pct_limit_up():
+    # ST 主板 600000，prev 10.00 → 涨停 10.50（5%）
+    r = cross_order(
+        buy(market=True, symbol="600000"),
+        mkbar(10.50, 10.50, 10.50, 10.50),
+        10.0,
+        CFG,
+        is_st=True,
+    )
+    assert isinstance(r, PaperReject) and r.reason == "limit_up_locked"
+
+
+def test_call_auction_session_rejected():
+    """CALL_AUCTION 首版预留，不支持。"""
+    o = buy(market=True, session=MatchSession.CALL_AUCTION)
+    r = cross_order(o, mkbar(10.5, 11, 10.2, 10.8), PREV, CFG)
+    assert isinstance(r, PaperReject) and r.reason == "unsupported_match_session"
+
+
+# ---- 限价单触价 ----
+def test_limit_buy_not_touched_rejected():
+    o = PaperOrder("s1", "600000", OrderSide.BUY, 10.0, 100, is_market=False)
+    # open 10.5 > 委托 10.0 → 触不到
+    r = cross_order(o, mkbar(10.5, 11, 10.2, 10.8), PREV, CFG)
+    assert isinstance(r, PaperReject) and r.reason == "limit_not_touched"
+
+
+def test_limit_buy_touched_fills():
+    o = PaperOrder("s1", "600000", OrderSide.BUY, 10.5, 100, is_market=False)
+    # open 10.5 <= 委托 10.5 → 成交
+    t = cross_order(o, mkbar(10.5, 11, 10.2, 10.8), PREV, CFG)
+    assert isinstance(t, PaperTrade) and t.price == 10.5
+
+
+def test_limit_sell_not_touched_rejected():
+    o = PaperOrder(
+        "s1", "600000", OrderSide.SELL, 11.0, 100,
+        is_market=False, match_session=MatchSession.CURRENT_CLOSE,
+    )
+    # close 10.8 < 委托 11.0 → 卖不出
+    r = cross_order(o, mkbar(10.5, 11, 10.2, 10.8), PREV, CFG)
+    assert isinstance(r, PaperReject) and r.reason == "limit_not_touched"
+
+
+# ---- 100 股取整（买入）----
+def test_buy_rounds_down_to_100():
+    t = cross_order(
+        PaperOrder("s1", "600000", OrderSide.BUY, 0, 250, True),
+        mkbar(10, 10, 10, 10),
+        PREV,
+        CFG,
+    )
+    assert isinstance(t, PaperTrade) and t.volume == 200
+
+
+def test_buy_below_100_rejected():
+    r = cross_order(
+        PaperOrder("s1", "600000", OrderSide.BUY, 0, 50, True),
+        mkbar(10, 10, 10, 10),
+        PREV,
+        CFG,
+    )
+    assert isinstance(r, PaperReject) and r.reason == "volume_below_min_lot"
+
+
+def test_sell_odd_lot_allowed():
+    """卖出允许零股（退出持仓基本操作），不取整。"""
+    t = cross_order(
+        PaperOrder("s1", "600000", OrderSide.SELL, 0, 50, True),
+        mkbar(10, 10, 10, 10),
+        PREV,
+        CFG,
+    )
+    assert isinstance(t, PaperTrade) and t.volume == 50
+
+
+# ---- 费用 ----
+def test_commission_uses_min_5_yuan():
+    # 100 股 × 10 元 × 0.0003 = 0.3 → 不足 5 元，收 5
+    t = cross_order(buy(market=True), mkbar(10, 10, 10, 10), PREV, CFG)
+    assert isinstance(t, PaperTrade)
+    assert t.commission == 5.0
+
+
+def test_commission_above_min():
+    # 1000 股 × 10 元 × 0.0003 = 3 → 仍 < 5；用 5000 股 × 10 = 50000 × 0.0003 = 15
+    t = cross_order(
+        PaperOrder("s1", "600000", OrderSide.BUY, 0, 5000, True),
+        mkbar(10, 10, 10, 10),
+        PREV,
+        CFG,
+    )
+    assert isinstance(t, PaperTrade)
+    assert t.commission == pytest.approx(15.0)
+
+
+def test_stamp_duty_only_on_sell():
+    t_buy = cross_order(buy(market=True), mkbar(10, 10, 10, 10), PREV, CFG)
+    assert isinstance(t_buy, PaperTrade)
+    assert t_buy.stamp_duty == 0.0
+    t_sell = cross_order(sell(market=True), mkbar(10, 10, 10, 10), PREV, CFG)
+    assert isinstance(t_sell, PaperTrade)
+    # 100*10*0.0005 = 0.5
+    assert t_sell.stamp_duty == pytest.approx(0.5)
+
+
+def test_transfer_fee_single_sided_in_trade():
+    t = cross_order(buy(market=True), mkbar(10, 10, 10, 10), PREV, CFG)
+    assert isinstance(t, PaperTrade)
+    # 单边 100*10*0.00001 = 0.01；trade 里存单边，Account 算 ×2
+    assert t.transfer_fee == pytest.approx(0.01)
+
+
+def test_trade_carries_match_session():
+    t = cross_order(
+        buy(market=True, session=MatchSession.CURRENT_CLOSE),
+        mkbar(10.5, 11, 10.2, 10.8),
+        PREV,
+        CFG,
+    )
+    assert isinstance(t, PaperTrade)
+    assert t.match_session == MatchSession.CURRENT_CLOSE
+
+
+def test_trade_carries_strategy_id_and_symbol():
+    t = cross_order(
+        PaperOrder("my_strat", "300750", OrderSide.BUY, 0, 100, True),
+        mkbar(10, 10, 10, 10),
+        10.0,
+        CFG,
+    )
+    assert isinstance(t, PaperTrade)
+    assert t.strategy_id == "my_strat"
+    assert t.symbol == "300750"