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Prevent internal feed data from entering ticks/bars collection

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mchandschuh committed Sep 21, 2015
1 parent 284b83b commit f7d6ae6d5ef7fc7d7fc9b5468a3e63397fb417d4
Showing with 2 additions and 1 deletion.
  1. +2 −1 Engine/DataFeeds/TimeSlice.cs
@@ -150,7 +150,8 @@ public static TimeSlice Create(DateTime utcDateTime, DateTimeZone algorithmTimeZ
// this is all the custom data
custom.Add(kvp);
}
if (baseData.DataType != MarketDataType.Auxiliary)
// don't add internal feed data to ticks/bars objects
if (!kvp.Key.SubscriptionDataConfig.IsInternalFeed && baseData.DataType != MarketDataType.Auxiliary)
{
// populate ticks and tradebars dictionaries with no aux data
if (baseData.DataType == MarketDataType.Tick)

6 comments on commit f7d6ae6

@talaikis

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replied Sep 21, 2015

Now we have for all currency crosses:

"EURGBP: requires EUR and GBP to have non-zero conversion rates. This can be caused by lack of data."

@StefanoRaggi

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replied Sep 21, 2015

This commit should fix the bug.

@mchandschuh

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replied Sep 21, 2015

@StefanoRaggi

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replied Sep 21, 2015

Actually it's a double-bugfix 😄.

Before commit f7d6ae6, ticks for internal feeds were streamed to the algorithms (while they shouldn't be). Unfortunately this fix caused the error reported above by @xenu256.

My commit should address both problems.

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replied Sep 21, 2015

@StefanoRaggi -- as always, thanks for cleaning up after me :) I will pull this in.

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replied Sep 21, 2015

Merged in 86f8de7. This was deployed as well.

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