Commit Graph

1 Commits

Author SHA1 Message Date
Gerardo Salazar 40a87eb056 Fixes issue where BidPrice/AskPrice were not adjusted for Quote Ticks (#4789)
* Fixes issue where BidPrice/AskPrice were not adjusted for Quote Ticks

  * Previously, ticks would have their prices (Tick.Value) adjusted whenever
    TickType == TickType.Quote, but would not have their
    BidPrice/AskPrice fields adjusted, thus potentially being orders
    of magnitude such as 4x from the actual Bid/Ask prices.

    This commit applies the pricing scaling factor in a critical
    path where Ticks are adjusted to their scaled price. This issue
    only applied to Resolution.Tick && SecurityType.Equity data.

* Refactors Extensions Tick Scale extension method

  * Adjusts unit test to dispose of resources and assert history count

* Replaces use of FileSystemDataFeed for NullDataFeed in Adjustment test

* Adds regression algorithm testing BidPrice & AskPrice adjustment

* Address review: remove SecurityType check on TickType.Trade adjustments
2020-09-30 19:43:20 -03:00