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Fixes issue where BidPrice/AskPrice were not adjusted for Quote Ticks (#4789)
frostbyte_neo 发布于
2020-09-30 22:43:20 +00:00 | 2776 次提交 在此版本后已推送到 master-
Fixes issue where BidPrice/AskPrice were not adjusted for Quote Ticks
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Previously, ticks would have their prices (Tick.Value) adjusted whenever
TickType == TickType.Quote, but would not have their
BidPrice/AskPrice fields adjusted, thus potentially being orders
of magnitude such as 4x from the actual Bid/Ask prices.This commit applies the pricing scaling factor in a critical
path where Ticks are adjusted to their scaled price. This issue
only applied to Resolution.Tick && SecurityType.Equity data.
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Refactors Extensions Tick Scale extension method
- Adjusts unit test to dispose of resources and assert history count
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Replaces use of FileSystemDataFeed for NullDataFeed in Adjustment test
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Adds regression algorithm testing BidPrice & AskPrice adjustment
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Address review: remove SecurityType check on TickType.Trade adjustments
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