限制开盘报价路径仅用于显式逐笔容量合同

2026-09-19 21:33:25 +08:00
parent 4d731f9c14
commit 689f93f1f1
1 changed files with 5 additions and 1 deletions
@@ -8735,8 +8735,12 @@ where
                | MatchingType::MinuteBestCounterparty
                | MatchingType::Vwap
                | MatchingType::Twap
-        ) || (matches!(self.matching_type, MatchingType::CurrentBarClose | MatchingType::NextBarOpen)
+        ) || (self.matching_type == MatchingType::CurrentBarClose
            && self.intraday_execution_start_time.is_some())
+            || (self.matching_type == MatchingType::NextBarOpen
+                && self.intraday_execution_start_time.is_some()
+                && self.volume_limit
+                && self.volume_capacity_mode == VolumeCapacityMode::ExecutionObservation)
    }

    pub(crate) fn drives_resting_quote_clock(&self) -> bool {