Fixes Market On Close Fill of Equity Fill Model #5913
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Martin-Molinero
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Sep 21, 2021
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Martin-Molinero
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Nice! awesome test suite
Only use trade data (`Tick` with `TickTrade` type or `TradeBar`) to get the closing price, since MOC is filled with the closing price. - Fix unit tests to show that the new implementation only fills with trade data from the current open market. - Change regression tests to reflect the bug fix. All other changes are the consequence of using `TradeBar` instead of `QuoteBar`.
Fixes the logic with tick data: looking for the OfficalClose or ClosingPrints only apply if data from the extended market hours is included. Adds additional logic to handle missing trade data.
-Refactors timeout logic to address peer-review and adds it to MOO fill too. - Adds unit tests
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Description
Only use trade data (
TickwithTickTradetype orTradeBar) to get the closing price, since MOC is filled with the closing price.TradeBarinstead ofQuoteBar.Related Issue
Ref.: #4567
How Has This Been Tested?
Unit and regression tests.
Types of changes
Checklist:
bug-<issue#>-<description>orfeature-<issue#>-<description>