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axorderbook's Issues

注册制导致A股L2行情的几个重大变化

新股首5日不设价格涨跌幅限制，但有波动性停牌。

深交所：

  • 价格笼子优化，不再缓存笼子外订单、改为废单，笼子范围增加10个最小变动的条件。

上交所：

  • 快照优化，取消增量快照，存量快照提速。
  • 逐笔成交和委托合并，取消单独的逐笔成交、逐笔委托。

这些将导致订单簿重建算法调整，本项目将等所有变更都上线后继续，应不晚于23年6月。

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