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Align open auction volume semantics

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boris
2026-04-23 00:14:11 -07:00
parent ec7085d10a
commit 3c0ced89bf
3 changed files with 102 additions and 2 deletions
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2
crates/fidc-core/src/broker.rs
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@@ -1444,7 +1444,7 @@ where
}
let mut max_fill = requested_qty;
if self.liquidity_limit {
if self.liquidity_limit && !self.is_open_auction_matching() {
let top_level_liquidity = match side {
OrderSide::Buy => snapshot.liquidity_for_buy(),
OrderSide::Sell => snapshot.liquidity_for_sell(),

2
crates/fidc-core/src/strategy_ai.rs
View File

@@ -108,7 +108,7 @@ pub fn built_in_strategy_manual() -> StrategyAiManual {
},
ManualSection {
title: "execution.matching_type / execution.slippage".to_string(),
detail: "设置撮合模式和滑点。支持 execution.matching_type(\"next_tick_last\" | \"current_bar_close\" | \"next_bar_open\" | \"open_auction\")，其中 open_auction 使用当日集合竞价开盘价 day_open 进行撮合，且不额外施加滑点；滑点支持 execution.slippage(\"none\") / execution.slippage(\"price_ratio\", 0.001) / execution.slippage(\"tick_size\", 1)。".to_string(),
detail: "设置撮合模式和滑点。支持 execution.matching_type(\"next_tick_last\" | \"current_bar_close\" | \"next_bar_open\" | \"open_auction\")，其中 open_auction 使用当日集合竞价开盘价 day_open 进行撮合，且不额外施加滑点，并按竞价成交量而不是盘口一档流动性限制成交；滑点支持 execution.slippage(\"none\") / execution.slippage(\"price_ratio\", 0.001) / execution.slippage(\"tick_size\", 1)。".to_string(),
},
ManualSection {
title: "when / unless / else".to_string(),