Keep time of day on open interest consolidator #8667
Merged
Add this suggestion to a batch that can be applied as a single commit.
This suggestion is invalid because no changes were made to the code.
Suggestions cannot be applied while the pull request is closed.
Suggestions cannot be applied while viewing a subset of changes.
Only one suggestion per line can be applied in a batch.
Add this suggestion to a batch that can be applied as a single commit.
Applying suggestions on deleted lines is not supported.
You must change the existing code in this line in order to create a valid suggestion.
Outdated suggestions cannot be applied.
This suggestion has been applied or marked resolved.
Suggestions cannot be applied from pending reviews.
Suggestions cannot be applied on multi-line comments.
Suggestions cannot be applied while the pull request is queued to merge.
Suggestion cannot be applied right now. Please check back later.
Description
Open interest data are treated as ticks and not as bars, so when consolidating hour and daily data we can keep the original time of day instead of rounding down to the nearest hour or day. This allows to get the correct historical data, including the start time.
For instance, a request for OI daily data starting on 2025/03/24 should include the data point for the 24th and it's currentl being filtered out by the history provider because the data end time is set to that same timestamp, which is the same as the start time. If we keep the actual time of day, the result will include that point as expected.
Related Issue
Motivation and Context
Requires Documentation Change
How Has This Been Tested?
Unit tests
Types of changes
Checklist:
bug-<issue#>-<description>orfeature-<issue#>-<description>