github-featured / quantconnect--lean

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    Allows Market-On-Close Orders Outside Buffer Period (#6769)

    frostbyte_neo 发布于 2022-12-08 22:46:58 +00:00 | 1677 次提交 在此版本后已推送到 master

    • Allows Market-On-Close Orders Outside Buffer Period

    Market-On-Close orders can be submitted before and after the buffer period from 15:45 to 16:00 (Tested with TWS) meaning that we can submit MOC when the market is closed and, consequently, use daily resolution data.

    • Adds Regression Test with Extended Market Hours
    • Removes nextMarketClose > Time condition since it's unnecessary. If the algorithm Time is greater than the close of that day, nextMarektClose refers to the next day.
    • Updates Unit Test

    Updates OrderQuantityConversionTest because the MOC orders are submitted. They are placed at 7 pm and invalid before this pull request.

    • Updates Summary of new Regression Tests
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