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Do not update price scale for fillforward data & IsFillForward flag fix (#4836)
frostbyte_neo 发布于
2020-10-09 21:09:30 +00:00 | 2759 次提交 在此版本后已推送到 master- Do not update price scale for fillforward data
- Do no update price scale for fill forward data. FillForward data
should keep using the prev scale for which it was created. Adding unit tests - When cloning do not lose IsFillForward flag state, affects
QuoteBars/Ticks, does not affect TradeBars since they perform a memberwise clone.
Adding unit tests
- Auxiliaries shouldn't really affect on applied price factor scale.
Despite we can receeive FillForward'ed data points, corresponding
Auxiliaries for them are not FillForward so we do meet the condition
and then refresh price factor. As a result all futher FF data points are scaled too.-
Regression algorithm to check that FillForward'ed data points arrived with last real price factor
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Add trade for regression algorithm
- Minot tweaks and adding trade for new regression algorithm.
- Updating AddOptionContractExpiresRegressionAlgorithm because it is
using the symbol for which new data was added.
Co-authored-by: Adalyat Nazirov aenazirov@gmail.com
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