I have noticed that in testing, if I start a session at say, 12:00:00
noon (my time) one day, and restart the program the next day at say,
10:00:00 am, quickfix does not restart the session - it thinks I am
still in the same session even though it is a new day. Is this intended
behavior, or is this a bug?
Upon reading the code, I understand why this occurs - the isSameSession
method tests if it has been 24 hours since the last session start time
and also tests whether the session start time and the current time fall
within the trading day, but it does not use the date in this latter
check, so it cannot tell that my previous session was actually started
late in the previous trading day.
Oren, do you think this should be changed? I will write my own version
of this function for my own use, let me know if you want it.