cyb50-quant/cyb50-pro/execution/router.py

"""
智能订单路由器

根据微观结构选择最优执行策略
"""

from dataclasses import dataclass
from typing import Optional, Dict
from enum import Enum


class ExecutionStrategy(Enum):
    """执行策略类型"""
    MARKET = "market"           # 市价单
    TWAP = "twap"              # 时间加权平均
    VWAP = "vwap"              # 成交量加权平均
    ICEBERG = "iceberg"        # 冰山订单


@dataclass
class ExecutionPlan:
    """执行计划"""
    strategy: ExecutionStrategy
    num_slices: int            # 拆单数量
    duration_minutes: int      # 执行时长
    display_size: Optional[int] = None  # 冰山订单显示量
    reasoning: str = ""


class OrderRouter:
    """
    智能订单路由器

    根据市场微观结构选择最优执行策略：
    - 高流动性+低波动：市价单
    - 大单+低流动性：TWAP/VWAP
    - 不希望暴露意图：冰山订单
    """

    def route_order(
        self,
        order_size: int,
        avg_daily_volume: float,
        spread_pct: float,
        volatility: float,
        urgency: str = "normal"
    ) -> ExecutionPlan:
        """
        路由订单

        Args:
            order_size: 订单数量
            avg_daily_volume: 日均成交量
            spread_pct: 买卖价差百分比
            volatility: 波动率
            urgency: 紧急程度 (high/normal/low)

        Returns:
            ExecutionPlan: 执行计划
        """
        adv_participation = order_size / avg_daily_volume if avg_daily_volume > 0 else 1.0

        # 高流动性且紧急：市价单
        if spread_pct < 0.001 and volatility < 0.02 and urgency == "high":
            return ExecutionPlan(
                strategy=ExecutionStrategy.MARKET,
                num_slices=1,
                duration_minutes=0,
                reasoning="高流动性+紧急，使用市价单"
            )

        # 大单：TWAP/VWAP
        if adv_participation > 0.05:
            return ExecutionPlan(
                strategy=ExecutionStrategy.TWAP,
                num_slices=20,
                duration_minutes=30,
                reasoning=f"大单占ADV{adv_participation:.1%}，使用TWAP拆单"
            )

        # 中等订单：VWAP
        if adv_participation > 0.02:
            return ExecutionPlan(
                strategy=ExecutionStrategy.VWAP,
                num_slices=10,
                duration_minutes=15,
                reasoning=f"中等订单占ADV{adv_participation:.1%}，使用VWAP"
            )

        # 默认：小单直接市价
        return ExecutionPlan(
            strategy=ExecutionStrategy.MARKET,
            num_slices=1,
            duration_minutes=0,
            reasoning="小单，直接市价成交"
        )