FB-009: fill-forward crosses overnight gaps and expiries without warning [silent-wrong]
Nobody has claimed this yet.
Assessment
- Difficulty
- 4/5
- Estimated time
- 3-5 days
- Newbie friendliness
- 48/100
- Issue type
- Bug
- Clarity
- Mostly clear
- Activity status
- Active
- Tech stack
- python
- Domain
- backend, fintech-quant
Research direction
Start by reading the lag walks in context.py at lines 248 and 367, then trace how integer periods select contract legs across dates. Check the tests covering missing bars, date changes, and expiry boundaries. Done when overnight lag is reported in calendar terms or flagged, and an integer chunk crossing an expiry produces a warning.
Written by the indexing model from the issue text.
Description
Severity: silent-wrong · Source: BUGS_FASTBT.md (2026-10-09)
The lag walks (context.py:248 spot, :367 instruments) count clock ticks across dates. At 09:15 a missing bar returns yesterday's close with a small lag, which looks almost live.
With period=int N, a chunk that crosses an expiry keeps the old contract's legs. The files hold one expiry per date, so after expiry those legs never get another bar and stay frozen at their last price until the chunk ends.
Workaround: whole expiry cycles only; an int period must not span an expiry.
Fix: report the lag in calendar terms (or flag a date change); warn when an int chunk crosses an expiry.
- Dominant language
- Python
- Stars
- 28
- Forks
- 17
- PR merge metrics
- No merged PRs in 30d
Getting set up
- No Dockerfile or Docker Compose file
- No pull request template
- Read the contributing guide
First steps
- Read the whole issue, then the project's contributing guide.
- Comment on the issue to say you are picking it up — it saves two people doing the same work.
- Fork the repository and make your change on a branch.
- Open a pull request that references the issue number.
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