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Fixes inability to parse negative strike prices in SecurityIdentifier (#4953)
frostbyte_neo 发布于
2020-11-30 18:45:36 +00:00 | 2699 次提交 在此版本后已推送到 master-
Fixes inability to parse negative strike prices in SecurityIdentifier
- Adds new tests ensuring backwards compat and no throwing w/ negative
strike prices
- Adds new tests ensuring backwards compat and no throwing w/ negative
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Changes strategy used to support negative strike prices
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We add support for negative strike prices at the cost of
reducing the maximum allowed precision for the strike price.
We encode a negative sign into the 20th bit of the strike price
and set our bounds for precision to a max (exclusive) of 475712.
This in turn is then used to form a negative strike when rebuilding
the SID. -
Adds tests covering changes
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Address review: adds additional tests and refactors code
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Address self-review: remove unused import in SymbolTests
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Address review: adds additional test cases for OptionStyle and OptionRight
- These tests are to ensure that backwards compatibility is maintained
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Addresses review: Adds option chain <-> master SID hash test
- Refactors previous tests to reduce on code duplication
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Reduce test duplication
Co-authored-by: Martin Molinero martin.molinero1@gmail.com
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