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    Refactors Market Fill of Equity Fill Model (#5114)

    frostbyte_neo 发布于 2021-01-06 15:35:33 +00:00 | 2627 次提交 在此版本后已推送到 master

    • Refactors Market Fill Model

    Create GetBidPrice and GetAskPrice methods to request the most suitable price to fill market orders.

    Fix unit tests to show that new implementation prevents using non-market data to fill the order.

    • Addresses Peer Review …

    Modifies EquityTickQuoteAdjustedModeRegressionAlgorithm to reflect changes in the market fill method. The previous implementation only looks for the last tick when it should look for the last tick of quote type, so current implementation is an improvement.

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