严格按实际委托时间选择盘后撮合

This commit is contained in:
boris
2026-08-28 03:17:21 +08:00
parent 1a2e247c8d
commit 3f67ee9134
2 changed files with 59 additions and 16 deletions
+10 -3
View File
@@ -629,6 +629,7 @@ where
fn ensure_execution_quotes_for_decision(
&mut self,
execution_date: NaiveDate,
order_created_date: NaiveDate,
portfolio: &PortfolioState,
open_orders: &[OpenOrderView],
decision: &StrategyDecision,
@@ -638,9 +639,12 @@ where
if self.execution_quote_loader.is_none() {
return Ok(());
}
let post_close_window = self
.broker
.post_close_execution_quote_window(execution_date);
let submission_time = start_time.or_else(|| self.broker.intraday_execution_start_time());
let post_close_window = self.broker.post_close_execution_quote_window_for_order(
execution_date,
order_created_date,
submission_time,
);
if self.broker.execution_price_field() != PriceField::Last
&& !decision_has_algo_execution(decision)
&& post_close_window.is_none()
@@ -2401,6 +2405,7 @@ where
let pre_auction_execution_orders = self.open_order_views();
self.ensure_execution_quotes_for_decision(
execution_date,
decision_date,
&portfolio,
&pre_auction_execution_orders,
&auction_decision,
@@ -2648,6 +2653,7 @@ where
let pre_intraday_execution_orders = self.open_order_views();
self.ensure_execution_quotes_for_decision(
execution_date,
decision_date,
&portfolio,
&pre_intraday_execution_orders,
&decision,
@@ -2906,6 +2912,7 @@ where
let pre_minute_execution_orders = self.open_order_views();
self.ensure_execution_quotes_for_decision(
execution_date,
decision_date,
&portfolio,
&pre_minute_execution_orders,
&minute_decision,