github-featured / quantconnect--lean

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    Fix RenkoConsolidator (#7317)

    frostbyte_neo 发布于 2023-06-16 21:36:56 +00:00 | 1362 次提交 在此版本后已推送到 master

    • Fix bug and add unit tests

    The bug was raised because rounding the first point inserted in the
    RenkoConsolidator didn't get the closest y-multiple of the given number
    x, where y is the bar-size. In order to compute the first y-multiple of
    the given number x, we need to first compute x mod y := x - y*Floor(x/y),
    once we get this number we divide it by y to know if we should round x
    to minimum y-multiple greater than x, or should round x to the maximum
    y-multiple smaller than x. If (x mod y)/y < 0.5 we round down, otherwise we round up (the amount (x mod y)/y is always less than one and higher than 0). See the Art of Computer Programming, Vol I. Donald E. Knuth.

    • Add GetClosestMultiple() method in RenkoConsolidator.cs
    • Add more unit tests

    • Nit change

    • Add XML docs

    • Address required changes and add more unit tests

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