claude_dev
ab703e93ba
CALL_AUCTION枚举原拒单(unsupported), 现撮合用开盘价(open, 集合竞价确定开盘价). 当前定价同NEXT_OPEN(均为open); 未来区分开盘/尾盘集合竞价需扩枚举. test: call_auction fills@open(原rejected用例改).
138 lines
5.5 KiB
Python
138 lines
5.5 KiB
Python
"""A 股撮合纯函数（match_session / 费率 / 100·200 股 / 封板）。
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match_bar 必须是 raw 价格（spec §3.3 / §6.2）。所有费率来自 AccountConfig。
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拒单返回 PaperReject；成交返回 PaperTrade。
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资金检查由 Account 在 apply 前负责（matcher 不看资金）。
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费用口径（review H3 修正）：
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- transfer_fee 直接出**双向总额**（沪深买卖均收），Account 不再 ×2。
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- stamp_duty 仅卖；commission 最低 5 元。
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最小手数（分期项）：科创板 200 股起、1 股递增（不整倍）；
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主板/创业/北交所 100 股整倍。卖出不取整（允许零股退出）。
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"""
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import pandas as pd
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from .limit import (
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get_board,
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is_locked_for_buy_symbol,
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is_locked_for_sell_symbol,
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limit_down_price,
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limit_ratio,
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limit_up_price,
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lot_size_for,
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)
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from .models import (
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AccountConfig,
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MatchSession,
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OrderSide,
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PaperOrder,
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PaperReject,
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PaperTrade,
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)
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def cross_order(
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order: PaperOrder,
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match_bar: pd.Series,
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prev_close_raw: float,
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cfg: AccountConfig,
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is_st: bool = False,
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) -> PaperTrade | PaperReject:
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"""单笔订单撮合。
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步骤：
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1. 涨跌停封板拒单（raw，按板块幅度）
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2. 成交价（NEXT_OPEN=bar.open / CURRENT_CLOSE=bar.close）
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3. 限价单触价检查（含 H4：限价超涨停/跌停先拒）
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4. 买入最小手数（科创 200 起 1 股递增；其余 100 整倍；卖出不取整）
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5. 滑点（买 += slippage，卖 -= slippage；H2）
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6. 费用（佣金 min 5 元 / 印花税仅卖 / 过户费双向 H3）
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"""
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symbol = order.symbol
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bar_date = str(match_bar.get("date", ""))
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# 0. 停牌/缺 bar（NaN）拒单（review M4）
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_open = match_bar["open"]
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if _open != _open: # NaN 检测（NaN != NaN）
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return PaperReject(order.strategy_id, symbol, "bar_missing", bar_date)
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# 1. 涨跌停封板拒单（raw）
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if order.side == OrderSide.BUY and is_locked_for_buy_symbol(
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match_bar, symbol, prev_close_raw, cfg, is_st, order.listing_days
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):
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return PaperReject(order.strategy_id, symbol, "limit_up_locked", bar_date)
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if order.side == OrderSide.SELL and is_locked_for_sell_symbol(
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match_bar, symbol, prev_close_raw, cfg, is_st, order.listing_days
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):
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return PaperReject(order.strategy_id, symbol, "limit_down_locked", bar_date)
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# 2. 成交价（按 match_session）
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if order.match_session == MatchSession.NEXT_OPEN:
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fill_price = float(match_bar["open"])
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elif order.match_session == MatchSession.CURRENT_CLOSE:
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fill_price = float(match_bar["close"])
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elif order.match_session == MatchSession.CALL_AUCTION:
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# 集合竞价开盘价（最大成交量原则 → open）。当前同 NEXT_OPEN 定价；
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# 未来区分开盘/尾盘集合竞价需扩枚举（CALL_AUCTION_OPEN/CLOSE）。
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fill_price = float(match_bar["open"])
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else:
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return PaperReject(
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order.strategy_id, symbol, "unsupported_match_session", bar_date
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)
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# 3. 限价单：先查涨跌停边界（H4），再查触价
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if not order.is_market:
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board = get_board(symbol)
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ratio = limit_ratio(board, is_st)
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up = limit_up_price(prev_close_raw, ratio, cfg.pricetick)
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down = limit_down_price(prev_close_raw, ratio, cfg.pricetick)
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# H4：限价超涨停 / 跌停拒单（== 边界允许，> / < 才拒）
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if order.side == OrderSide.BUY and order.price > up:
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return PaperReject(order.strategy_id, symbol, "price_above_limit", bar_date)
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if order.side == OrderSide.SELL and order.price < down:
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return PaperReject(order.strategy_id, symbol, "price_below_limit", bar_date)
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# 触价（用原始 fill_price，slippage 不影响触价判断）
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if order.side == OrderSide.BUY and fill_price > order.price:
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return PaperReject(order.strategy_id, symbol, "limit_not_touched", bar_date)
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if order.side == OrderSide.SELL and fill_price < order.price:
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return PaperReject(order.strategy_id, symbol, "limit_not_touched", bar_date)
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# 4. 买入最小手数（科创 200 起 1 股递增；其余 100 整倍；卖出不取整）
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volume = order.volume
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if order.side == OrderSide.BUY:
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min_lot = lot_size_for(symbol)
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if get_board(symbol) == "star":
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# 科创板：≥200，1 股递增（不整倍）
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if volume < min_lot:
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return PaperReject(order.strategy_id, symbol, "volume_below_min_lot", bar_date)
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else:
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volume = (volume // min_lot) * min_lot
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if volume < min_lot:
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return PaperReject(order.strategy_id, symbol, "volume_below_min_lot", bar_date)
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# 5. 滑点（H2；默认 0 不影响）
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if order.side == OrderSide.BUY:
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fill_price += cfg.slippage
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else:
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fill_price -= cfg.slippage
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# 6. 费用（transfer_fee 双向，H3）
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gross = volume * fill_price
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commission = max(gross * cfg.rate, cfg.min_commission)
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stamp_duty = gross * cfg.stamp_duty_rate if order.side == OrderSide.SELL else 0.0
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transfer_fee = gross * cfg.transfer_fee_rate * 2 # 沪深双向
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return PaperTrade(
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strategy_id=order.strategy_id,
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symbol=symbol,
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side=order.side,
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price=fill_price,
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volume=volume,
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commission=commission,
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stamp_duty=stamp_duty,
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transfer_fee=transfer_fee,
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bar_date=bar_date,
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match_session=order.match_session,
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)
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