调整回测撮合为分钟线执行价语义

2026-06-26 17:03:48 +08:00
parent 380c34aa66
commit a131c761e5
8 changed files with 59 additions and 66 deletions
@@ -1842,7 +1842,7 @@ fn engine_sweeps_futures_order_book_depth_when_available() {
        ChinaEquityRuleHooks::default(),
        PriceField::Last,
    )
-    .with_matching_type(MatchingType::CounterpartyOffer);
+    .with_matching_type(MatchingType::MinuteBestCounterparty);
    let mut engine = BacktestEngine::new(
        data,
        FuturesDepthLimitOrderStrategy,