fix: keep full-day liquidity out of auction bars - #1040
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Closes #1039.
Open-auction bars were returning the day's full volume and total turnover even though those values are only known after the trading session. That exposed future liquidity to auction consumers.
The base data source now leaves
volumeandtotal_turnoverunavailable on default open-auction bars. Explicit auction-bar providers remain supported, and the default volume helper follows the bar or returnsNaNwhen no auction bar exists.How this was tested
The broad repository suite remains environment-limited by existing fixture and TA-Lib requirements. The target repository's CI should provide the full-project check.
Alternative considered
Returning zero for unavailable auction liquidity would be numeric but misleading. The focused override test covers the explicit provider path, while
NaNmarks data that is unavailable at auction time.AI disclosure
This change was drafted and reviewed with AI assistance through Codex (
gpt-5.6-luna) under Mailman. The verification results above were recorded by Mailman's test harness.