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    Fixes Market On Close Fill of Equity Fill Model (#5913)

    frostbyte_neo 发布于 2021-09-21 20:51:35 +00:00 | 2157 次提交 在此版本后已推送到 master

    • Fixes Market On Close Fill of Equity Fill Model

    Only use trade data (Tick with TickTrade type or TradeBar) to get the closing price, since MOC is filled with the closing price.

    • Fix unit tests to show that the new implementation only fills with trade data from the current open market.
    • Change regression tests to reflect the bug fix. All other changes are the consequence of using TradeBar instead of QuoteBar.
    • Address Peer-Review

    Fixes the logic with tick data: looking for the OfficalClose or ClosingPrints only apply if data from the extended market hours is included.
    Adds additional logic to handle missing trade data.

    • Refactors Timeout Logic and Adds It to MarketOnOpenFIll

    -Refactors timeout logic to address peer-review and adds it to MOO fill too.

    • Adds unit tests
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