Fix weights calculation in VBaseSignalExport #9258
Open
+23
−19
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Fix weights calculation in VBaseSignalExport.
Description
In the VBaseSignalExport.BuildCsv method, prices were not taken into account when calculating weights.
This change fixes the weight calculation logic.
Related Issue
Closes #9259
Motivation and Context
This change is required because the current implementation of weight calculation is incorrect, as it does not take into account position prices.
Requires Documentation Change
As this change fixes a bug, no documentation changes are needed.
How Has This Been Tested?
Tested using a test algorithm.
Types of changes
Checklist:
bug-<issue#>-<description>orfeature-<issue#>-<description>