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    Fixes EquityFillModel.StopMarketFill (#7042)

    frostbyte_neo 发布于 2023-03-08 19:49:34 +00:00 | 1550 次提交 在此版本后已推送到 master

    • Adds Unit Tests for Stop Market Fill

    These unit tests covers new scenarios:

    • Cannot trigger on quote data (QuoteBar or TickRype.Quote);
    • Adds missing test for tick data (TickType.Trade)
    • Unfavorable gap (see QuantConnect#4545)
    • Fixes EquityFillModel StopMarketFill

    Use the entire tick history to find the trigger price
    Fill price is the stop price, unless there is an unfavorable gap (see #4545).

    • Update Regression Tests

    All regression tests keep the total trades. The difference are due to the time that the stop market orders are triggered and the prices that are filled. The StopLossOnOrderEventRegressionAlgorithm and the UpdateOrderRegressionAlgorithm observe the unfavorable gap case.

    • Addresses Peer-Review

    • Updates Regression Test

    New OrderListHash because of the change in the fill on open case message.

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