Fix no bid/ask price

QuantConnect · Nov 17, 2023 · 62da869 · 62da869
1 parent a720409
commit 62da869
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Showing 3 changed files with 7 additions and 0 deletions.
diff --git a/QuantConnect.BybitBrokerage.Tests/BybitBrokerageTests.Stream.cs b/QuantConnect.BybitBrokerage.Tests/BybitBrokerageTests.Stream.cs
@@ -33,6 +33,7 @@ private static TestCaseData[] TestParameters
                 return new[]
                 {
                     // valid parameters, for example
+                    new TestCaseData(MCUSDT, Resolution.Second, false),
                     new TestCaseData(BTCUSDT, Resolution.Tick, false),
                     new TestCaseData(BTCUSDT, Resolution.Minute, false),
                     new TestCaseData(BTCUSDT, Resolution.Second, false),

diff --git a/QuantConnect.BybitBrokerage.Tests/BybitBrokerageTests.cs b/QuantConnect.BybitBrokerage.Tests/BybitBrokerageTests.cs
@@ -36,6 +36,7 @@ namespace QuantConnect.BybitBrokerage.Tests
     [TestFixture, Explicit("Requires valid credentials to be setup and run outside USA")]
     public partial class BybitBrokerageTests : BrokerageTests
     {
+        private static Symbol MCUSDT = Symbol.Create("MCUSDT", SecurityType.CryptoFuture, "bybit");
         private static Symbol BTCUSDT = Symbol.Create("BTCUSDT", SecurityType.Crypto, "bybit");
         private BybitApi _client;
         protected override Symbol Symbol { get; } = BTCUSDT;

diff --git a/QuantConnect.BybitBrokerage/BybitBrokerage.Messaging.cs b/QuantConnect.BybitBrokerage/BybitBrokerage.Messaging.cs
@@ -326,6 +326,11 @@ private void HandleOrderBookSnapshot(BybitOrderBookUpdate orderBookUpdate, Bybit
         }
 
         orderBook.BestBidAskUpdated += OnBestBidAskUpdated;
+        if(orderBook.BestBidPrice == 0 && orderBook.BestAskPrice == 0)
+        {
+            // nothing to emit, can happen with illiquid assets
+            return;
+        }
         EmitQuoteTick(symbol, orderBook.BestBidPrice, orderBook.BestBidSize, orderBook.BestAskPrice,
             orderBook.BestAskSize);
     }