修复分钟成交量限制误用盘口量

This commit is contained in:
boris
2026-07-06 07:22:58 +08:00
parent 99a21324db
commit 3e3bebf3e0
3 changed files with 159 additions and 6 deletions
+3 -3
View File
@@ -5785,7 +5785,7 @@ where
MatchingType::OpenAuction
| MatchingType::CurrentBarClose
| MatchingType::NextBarOpen => false,
MatchingType::MinuteLast => self.volume_limit || self.liquidity_limit,
MatchingType::MinuteLast => self.liquidity_limit,
MatchingType::MinuteBestOwn
| MatchingType::MinuteBestCounterparty
| MatchingType::Vwap
@@ -6062,7 +6062,7 @@ mod tests {
}
#[test]
fn minute_last_keeps_quote_quantity_cap_when_limits_enabled() {
fn minute_last_quote_quantity_cap_depends_on_liquidity_limit() {
let volume_limited =
BrokerSimulator::new(ChinaAShareCostModel::default(), ChinaEquityRuleHooks)
.with_volume_limit(true)
@@ -6072,7 +6072,7 @@ mod tests {
.with_volume_limit(false)
.with_liquidity_limit(true);
assert!(volume_limited.quote_quantity_limited(MatchingType::MinuteLast));
assert!(!volume_limited.quote_quantity_limited(MatchingType::MinuteLast));
assert!(liquidity_limited.quote_quantity_limited(MatchingType::MinuteLast));
}