Quote bar previous close and current open should be same

Coulbe · Jun 23, 2020 · 79a05eb · 79a05eb
1 parent 98cde34
commit 79a05eb
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diff --git a/Common/Data/Consolidators/TickQuoteBarConsolidator.cs b/Common/Data/Consolidators/TickQuoteBarConsolidator.cs
@@ -25,6 +25,7 @@ namespace QuantConnect.Data.Consolidators
     /// </summary>
     public class TickQuoteBarConsolidator : PeriodCountConsolidatorBase<Tick, QuoteBar>
     {
+        private Tick _previousTick;
         /// <summary>
         /// Initializes a new instance of the <see cref="TickQuoteBarConsolidator"/> class
         /// </summary>
@@ -99,12 +100,19 @@ protected override void AggregateBar(ref QuoteBar workingBar, Tick data)
                     Ask = null
                 };
 
+                // sync last tick  close price with this tick open price
+                if (_previousTick != null)
+                {
+                    workingBar.Update(0, _previousTick.BidPrice, _previousTick.AskPrice, 0, _previousTick.BidSize, _previousTick.AskSize);
+                }
+
                 if (Period.HasValue) workingBar.Period = Period.Value;
             }
 
             // update the bid and ask
             workingBar.Update(0, data.BidPrice, data.AskPrice, 0, data.BidSize, data.AskSize);
             if (!Period.HasValue) workingBar.EndTime = GetRoundedBarTime(data.EndTime);
+            _previousTick = (Tick) data.Clone();
         }
     }
 }
diff --git a/Tests/Common/Data/TickQuoteBarConsolidatorTests.cs b/Tests/Common/Data/TickQuoteBarConsolidatorTests.cs
@@ -138,5 +138,101 @@ public void DoesNotConsolidateDifferentSymbols()
             Exception ex = Assert.Throws<InvalidOperationException>(() => consolidator.Update(tick2));
             Assert.IsTrue(ex.Message.Contains("is not the same"));
         }
+
+        [Test]
+        public void LastCloseAndCurrentOpenPriceShouldBeSameConsolidatedOnCount()
+        {
+            QuoteBar quoteBar = null;
+            var creator = new TickQuoteBarConsolidator(1);
+            creator.DataConsolidated += (sender, args) =>
+            {
+                quoteBar = args;
+            };
+
+            var reference = DateTime.Today;
+            var tick1 = new Tick
+            {
+                Symbol = Symbols.SPY,
+                Time = reference,
+                TickType = TickType.Quote,
+                AskPrice = 25,
+                BidPrice = 24,
+
+            };
+
+            creator.Update(tick1);
+
+            var tick2 = new Tick
+            {
+                Symbol = Symbols.SPY,
+                Time = reference.AddSeconds(1),
+                TickType = TickType.Quote,
+                AskPrice = 36,
+                BidPrice = 35,
+            };
+
+            creator.Update(tick2);
+
+            Assert.AreEqual(tick1.AskPrice, quoteBar.Ask.Open, "Ask Open not equal to Previous Close");
+            Assert.AreEqual(tick1.BidPrice, quoteBar.Bid.Open, "Bid Open not equal to Previous Close");
+            Assert.AreEqual(tick2.AskPrice, quoteBar.Ask.Close, "Ask Close incorrect");
+            Assert.AreEqual(tick2.BidPrice, quoteBar.Bid.Close, "Bid Close incorrect");
+        }
+
+        [Test]
+        public void LastCloseAndCurrentOpenPriceShouldBeSameConsolidatedOnTimeSpan()
+        {
+            QuoteBar quoteBar = null;
+            var creator = new TickQuoteBarConsolidator(TimeSpan.FromMinutes(1));
+            creator.DataConsolidated += (sender, args) =>
+            {
+                quoteBar = args;
+            };
+
+            var reference = DateTime.Today;
+
+            // timeframe 1 
+            var tick1 = new Tick
+            {
+                Symbol = Symbols.SPY,
+                Time = reference,
+                TickType = TickType.Quote,
+                AskPrice = 25,
+                BidPrice = 24,
+
+            };
+
+            creator.Update(tick1);
+
+            var tick2 = new Tick
+            {
+                Symbol = Symbols.SPY,
+                Time = reference.AddSeconds(1),
+                TickType = TickType.Quote,
+                AskPrice = 26,
+                BidPrice = 25,
+            };
+            creator.Update(tick2);
+
+            // timeframe 2 
+            var tick3 = new Tick
+            {
+                Symbol = Symbols.SPY,
+                Time = reference.AddMinutes(1),
+                TickType = TickType.Quote,
+                AskPrice = 36,
+                BidPrice = 35,
+            };
+            creator.Update(tick3);
+
+
+            //force the consolidator to emit DataConsolidated
+            creator.Scan(reference.AddMinutes(2));
+
+            Assert.AreEqual(tick2.AskPrice, quoteBar.Ask.Open, "Ask Open not equal to Previous Close");
+            Assert.AreEqual(tick2.BidPrice, quoteBar.Bid.Open, "Bid Open not equal to Previous Close");
+            Assert.AreEqual(tick3.AskPrice, quoteBar.Ask.Close, "Ask Close incorrect");
+            Assert.AreEqual(tick3.BidPrice, quoteBar.Bid.Close, "Bid Close incorrect");
+        }
     }
 }