Daily data time adjustment #8001
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This was referenced May 9, 2024
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- Adjust daily data Time & EndTime to actually reflect the time of the data used, for example US Equity from 9.30 to 4PM. Adding new unit and regression tests
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- Refactor daily strict end times solution to be through enumerator usage, so it applies for history providers too
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- Revert FillForward enumerator causing stats changing, enhancing unit tests
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- Improve handling of live trading FF enumerator, by adding support for bars to arrive with a delay so we can handle auction close/option prices or data providers which might have some delay making the data available. Adding new unit tests asserting the behavior
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Description
data used, for example US Equity from 9.30 to 4PM. Adding new unit and
regression tests. Only for Index and Index Options for now
Related Issue
Closes #6964
Motivation and Context
N/A
Requires Documentation Change
N/A
How Has This Been Tested?
Existing and new tests
Types of changes
Checklist:
bug-<issue#>-<description>orfeature-<issue#>-<description>