Fix disabled subsampling (#7656)

- Fix disable subsampling which was adjusting series point times, updating unit tests to reproduce issue
QuantConnect · Jan 2, 2024 · aaab65f · aaab65f
1 parent 65f8590
commit aaab65f
Show file tree

Hide file tree

Showing 2 changed files with 14 additions and 2 deletions.
diff --git a/Common/SeriesSampler.cs b/Common/SeriesSampler.cs
@@ -55,6 +55,16 @@ public SeriesSampler(TimeSpan resolution)
         /// <returns>The sampled series</returns>
         public virtual BaseSeries Sample(BaseSeries series, DateTime start, DateTime stop, bool truncateValues = false)
         {
+            if (!SubSample && series.Values.Count > 1)
+            {
+                var dataDiff = series.Values[1].Time - series.Values[0].Time;
+                if (dataDiff >= Step)
+                {
+                    // we don't want to subsample this case, directly return what we are given as long as is within the range
+                    return GetIdentitySeries(series.Clone(empty: true), series, start, stop, truncateValues: false);
+                }
+            }
+
             if (series is Series seriesToSample)
             {
                 return SampleSeries(seriesToSample, start, stop, truncateValues);

diff --git a/Tests/Common/SeriesSamplerTests.cs b/Tests/Common/SeriesSamplerTests.cs
@@ -253,7 +253,8 @@ public void SubSamplesDisabled()
             series.AddPoint(_reference, 1m);
             series.AddPoint(_reference.AddDays(1), 2m);
             series.AddPoint(new ChartPoint(_reference.AddDays(2), null));
-            series.AddPoint(_reference.AddDays(3), 4m);
+            // even if the data doesn't fit exactly the expected bar span we expect it to pass through
+            series.AddPoint(_reference.AddDays(2.8), 4m);
             series.AddPoint(_reference.AddDays(4), 5m);
             series.AddPoint(_reference.AddDays(5), 6m);
 
@@ -791,7 +792,8 @@ public void SamplesCandlestickSeriesWithHigherSamplingResolutionDisabled()
             var series = new CandlestickSeries { Name = "name" };
             series.AddPoint(_reference, 1m, 2m, 1m, 2m);
             series.AddPoint(_reference.AddDays(1), 2m, 3m, 2m, 3m);
-            series.AddPoint(_reference.AddDays(2), 4m, 4m, 3m, 3m);
+            // even if the data doesn't fit exactly the expected bar span we expect it to pass through
+            series.AddPoint(_reference.AddDays(1.6), 4m, 4m, 3m, 3m);
 
             var sampler = new SeriesSampler(TimeSpan.FromDays(0.25)) { SubSample = false };