Align open auction volume semantics

This commit is contained in:
boris
2026-04-23 00:14:11 -07:00
parent ec7085d10a
commit 3c0ced89bf
3 changed files with 102 additions and 2 deletions

View File

@@ -1444,7 +1444,7 @@ where
}
let mut max_fill = requested_qty;
if self.liquidity_limit {
if self.liquidity_limit && !self.is_open_auction_matching() {
let top_level_liquidity = match side {
OrderSide::Buy => snapshot.liquidity_for_buy(),
OrderSide::Sell => snapshot.liquidity_for_sell(),