Files
Jhonathan Abreu f2100adb46 Fix price shifts around futures rollover date (#8371)
* Test

* Fix price shift on continuous future rollover

* Keep track of both data and exchange time in subscription data reader

* Fix for daily and hourly resolutions.

Add daily and hour algorithms

* Fixes for emitting new exchange dates at the beginning and end when data is not available

* Cleanup

* Minor fix

* Minor fix: detect mapping in data reader after advancing time keeper

* Minor fix

* More fixes

* More fixes

* Fixes for universe files

* More fixes for daily resolution data

* Separate DateChangeTimeKeeper to its own file

* Add DateChangeTimeKeeper unit tests

* Minor fix

* Add more DateChangeTimeKeeper unit tests

* Address peer review

* Address peer review

* Address peer review

* Detect mappings using the config NewSymbol event

* DateChangeTimeKeeper performance improvement for time zone conversions

* Clean up date change time keeper

* Cleanup

* Minor regression algo update

* Cleanup

* Cleanup

* Fix perform universe selection on sundays for continuous futures with extended market hours

* Cleanup

* Address peer review

* More cleanup

* More cleanup
2024-10-21 09:38:00 -03:00
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