Phase 3: OrderBook 深度撮合¶
周期: 2 周 | 优先级: 🟡 中 | 风险: 中
1. 目标¶
实现基于 OrderBook 深度的精确撮合逻辑，提升大单撮合的真实性。
1.1 核心目标¶
✅ OrderBook 深度撮合算法
✅ 部分成交逻辑
✅ 市场冲击模型（可选）
✅ 滑点估算优化
2. 实施内容¶
2.1 OrderBook 深度撮合（5 天）¶
文件*:
backtrader/brokers/obbroker.py
class OrderBookBroker(TickBroker):
"""基于 OrderBook 深度的撮合 Broker"""
params = (
('use_orderbook', True),
('max_depth_levels', 10),
('market_impact', False),
('impact_factor', 0.0001),
)
def __init__(self):
super().__init__()
self._ob_channels = {}
def register_orderbook_channel(self, symbol, channel):
"""注册 OrderBook 通道"""
self._ob_channels[symbol] = channel
def match_with_orderbook(self, order, orderbook):
"""使用 OrderBook 撮合订单"""
if order.isbuy():
return self._match_buy_order(order, orderbook)
else:
return self._match_sell_order(order, orderbook)
def _match_buy_order(self, order, ob):
"""买单撮合 - 穿透 asks"""
remaining = order.executed.remsize
total_cost = 0.0
fills = []
for price, qty in ob.asks[:self.p.max_depth_levels]:
if remaining <= 0:
break
# 检查价格条件
if order.exectype == Order.Limit and price > order.price:
break
# 计算成交量
fill_qty = min(remaining, qty)
fill_price = price
# 应用滑点
if self.p.market_impact:
fill_price = self._apply_market_impact(
price, fill_qty, qty, 'buy'
)
fills.append((fill_price, fill_qty))
total_cost += fill_price *fill_qty
remaining -= fill_qty
# 执行成交
if fills:
avg_price = total_cost / (order.executed.remsize - remaining)
filled_size = order.executed.remsize - remaining
self._execute_order(order, avg_price, filled_size, ob.timestamp)
return True
return False
def _apply_market_impact(self, price, fill_qty, level_qty, side):
"""应用市场冲击"""
impact_ratio = fill_qty / level_qty
impact = price*self.p.impact_factor*impact_ratio
if side == 'buy':
return price + impact
else:
return price - impact
```bash
- *测试**: `tests/phase3/test_orderbook_matching.py`
- --
### 2.2 市场冲击模型（3 天）
- *文件**: `backtrader/brokers/impact_models.py`
```python
class MarketImpactModel:
"""市场冲击模型基类"""
def calculate_impact(self, order_size, level_size, price):
raise NotImplementedError
class LinearImpactModel(MarketImpactModel):
"""线性冲击模型"""
def __init__(self, factor=0.0001):
self.factor = factor
def calculate_impact(self, order_size, level_size, price):
ratio = order_size / level_size
return price *self.factor*ratio
class SquareRootImpactModel(MarketImpactModel):
"""平方根冲击模型（更真实）"""
def __init__(self, factor=0.001):
self.factor = factor
def calculate_impact(self, order_size, level_size, price):
ratio = order_size / level_size
return price*self.factor* (ratio ** 0.5)
```bash
- --
## 3. 交付物
- [ ] `backtrader/brokers/obbroker.py`
- [ ] `backtrader/brokers/impact_models.py`
- [ ] `tests/phase3/` - 完整测试套件
- [ ] Phase 3 完成报告
- --
## 4. 验收标准
- [ ] OrderBook 深度撮合准确
- [ ] 大单滑点合理
- [ ] 与真实交易所对比验证
- [ ] 回归测试 100%通过
- --
## 5. 时间表
| 任务 | 工作量 |
|------|--------|
| OrderBook 深度撮合 | 5 天 |
| 市场冲击模型 | 3 天 |
| 测试与验证 | 4 天 |
| 文档 | 2 天 |
- *总计**: 14 天（2 周）