Use combo order leg actual direction to compute fill price sign - Githubissues

QuantConnect / Lean.Brokerages.InteractiveBrokers

InteractiveBrokers Brokerage Plugin

Apache License 2.0

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Use combo order leg actual direction to compute fill price sign #58

Closed jhonabreul closed 1 year ago

jhonabreul commented 1 year ago

Description

When building an order fill event, the order leg actual direction (using both the group and the leg quantities) needed to be used in order to determine the fill quantity sign.

Related Issue

Depends on https://github.com/QuantConnect/Lean/pull/7066

Motivation and Context

Requires Documentation Change

How Has This Been Tested?

Unit tests, live deployments.

Types of changes

[x] Bug fix (non-breaking change which fixes an issue)
[ ] Refactor (non-breaking change which improves implementation)
[ ] Performance (non-breaking change which improves performance. Please add associated performance test and results)
[ ] New feature (non-breaking change which adds functionality)
[ ] Breaking change (fix or feature that would cause existing functionality to change)
[ ] Non-functional change (xml comments/documentation/etc)

Checklist:

[x] My code follows the code style of this project.
[x] I have read the CONTRIBUTING document.
[x] I have added tests to cover my changes.
[x] All new and existing tests passed.
[x] My branch follows the naming convention bug-<issue#>-<description> or feature-<issue#>-<description>