github-featured / quantconnect--lean

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    Fix bug in RandomDataGenerator for Option data at Minute resolution (#7237)

    frostbyte_neo 发布于 2023-05-11 15:54:45 +00:00 | 1433 次提交 在此版本后已推送到 master

    • Fix the bug and add unit tests
    • The bug was raised by different conditions.

    First, the tick created in tick generator for Open Interest was not of type Open Interest.

    Second, TickAggregator.cs was made to use daily resolution for OpenInterest always.

    Third, the RandomValueGenerator, generated a random friday as expiration date for the option created but this one needed first two underlying data points, so if the expiration date was before the start date plus 3 days, RandomDataGenerator just generated OpenInterest data for the option.

    • Add docs
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