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    OpenInterest Bug Fixes (#5207)

    frostbyte_neo 发布于 2021-02-18 22:04:29 +00:00 | 2523 次提交 在此版本后已推送到 master

    • Filter values that are before subscription start time; also adjust starttime for OpenInterest

    • Use data EndTime for comparison

    • Allow Auxiliary data through

    • Fix OpenInterest DataReader Logic

    • Add regression

    • Address review

    • Ignore open interest for time slice

    • TimeSliceFactory will directly ignore open interest for determining if
      the slice has data or not. Open interest will still be available
      through the Tick collection. Reverting some of the previous commits
      changes since they are no longer required.
    • HistoryRequests and SubscriptionRequest will use AlwaysOpen exchange
      for open interest requests. Adding unit test reproducing issue
    • Adding BaseDataRequest to avoid duplication logic.
    • Make OpenInterest an internal feed and ignored by default in history
    • Adding unit tests
    • Revert SubscriptionFilterEnumerator Start time addition

    Co-authored-by: Martin Molinero martin.molinero1@gmail.com

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