调整回测撮合为分钟线执行价语义
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@@ -190,7 +190,7 @@ fn engine_preloads_declared_decision_quotes_for_current_positions() {
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ChinaEquityRuleHooks,
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PriceField::Last,
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)
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.with_matching_type(MatchingType::NextMinuteLast)
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.with_matching_type(MatchingType::MinuteLast)
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.with_intraday_execution_start_time(t(10, 40, 0));
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let config = BacktestConfig {
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initial_cash: 10_000.0,
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@@ -385,7 +385,7 @@ fn engine_reuses_preloaded_decision_quotes_without_loader_call() {
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ChinaEquityRuleHooks,
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PriceField::Last,
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)
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.with_matching_type(MatchingType::NextMinuteLast)
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.with_matching_type(MatchingType::MinuteLast)
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.with_intraday_execution_start_time(t(10, 40, 0));
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let config = BacktestConfig {
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initial_cash: 10_000.0,
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@@ -587,7 +587,7 @@ fn engine_loads_distinct_decision_quote_times_on_same_day() {
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ChinaEquityRuleHooks,
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PriceField::Last,
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)
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.with_matching_type(MatchingType::NextMinuteLast)
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.with_matching_type(MatchingType::MinuteLast)
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.with_intraday_execution_start_time(t(10, 40, 0));
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let config = BacktestConfig {
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initial_cash: 10_000.0,
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@@ -1842,7 +1842,7 @@ fn engine_sweeps_futures_order_book_depth_when_available() {
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ChinaEquityRuleHooks::default(),
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PriceField::Last,
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)
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.with_matching_type(MatchingType::CounterpartyOffer);
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.with_matching_type(MatchingType::MinuteBestCounterparty);
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let mut engine = BacktestEngine::new(
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data,
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FuturesDepthLimitOrderStrategy,
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@@ -349,7 +349,7 @@ fn broker_delayed_limit_open_sell_uses_minute_price() {
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ChinaEquityRuleHooks::default(),
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PriceField::Last,
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)
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.with_matching_type(MatchingType::NextMinuteLast)
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.with_matching_type(MatchingType::MinuteLast)
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.with_intraday_execution_start_time(NaiveTime::from_hms_opt(9, 31, 0).unwrap())
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.with_volume_limit(false)
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.with_liquidity_limit(false);
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@@ -2888,7 +2888,7 @@ fn broker_uses_best_own_price_for_intraday_matching() {
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ChinaEquityRuleHooks::default(),
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PriceField::Last,
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)
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.with_matching_type(MatchingType::NextMinuteBestOwn);
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.with_matching_type(MatchingType::MinuteBestOwn);
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let report = broker
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.execute(
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@@ -3003,7 +3003,7 @@ fn broker_uses_best_counterparty_price_for_intraday_matching() {
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ChinaEquityRuleHooks::default(),
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PriceField::Last,
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)
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.with_matching_type(MatchingType::NextMinuteBestCounterparty);
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.with_matching_type(MatchingType::MinuteBestCounterparty);
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let report = broker
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.execute(
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