Fix RelativeDailyVolume fallback denominator for intra-day gaps#9630
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Martin-Molinero merged 1 commit intoJul 20, 2026
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The fallback loop that runs when the current time-of-day has no exact historical slot was missing a break, so it kept overwriting the denominator with later slots and ended on the last slot of the day instead of the greatest slot <= the current time. This gave a far too small ratio for securities with intra-day data gaps. Add the break and a regression test covering the gap scenario. Co-Authored-By: Claude Opus 4.8 (1M context) <noreply@anthropic.com>
Martin-Molinero
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Jul 20, 2026
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Description
Fixes #9629.
RelativeDailyVolume.ComputeNextValuehas a fallback path for when the current time-of-day has no exact historical slot in_relativeData(intra-day data gaps — small/mid-cap equities, crypto during low-volume periods, circuit-breaker events). It is meant to use the value of the greatest historical slot that is still<= currentTimeBar, but the loop was missing abreak, so it kept overwritingdenominatorwith later slots and ended on the last key of the sorted dictionary.Example — history at
09:30, 09:44, 16:00, 16:01, a bar arrives at09:45:i> 09:45?denominator[09:44]← correct[16:00]← wrong, overwritesThe denominator ended up as cumulative volume through 16:00 instead of 09:44, making the ratio far too small.
Changes
break;after setting the denominator so the fallback stops at the first slot greater thancurrentTimeBar, using the greatest slot<= currentTimeBar.UsesMostRecentHistoricalSlotForIntradayGapreproducing the gap scenario (asserts50/200, not50/300).Note
The issue also describes a secondary design consideration around day-rollover fill-forward for SMA slots that receive no update on gap days. That is a larger behavioral change (would affect the
spy_rdv.txtreference values) and is left out of this PR, which targets the clear-cut, confirmed bug in the issue title. Happy to follow up separately if desired.