Fix RollingWindow element order corruption on resize (#9449)

* Fix RollingWindow resize

* Fix MarketImpactSlippageModel

* Reorder RollingWindow list in place

Author: JosueNina

Algorithm.CSharp/MarketImpactSlippageModelRegressionAlgorithm.cs

@@ -99,11 +99,11 @@ public override void OnOrderEvent(OrderEvent orderEvent)
             {"Drawdown", "4.200%"},
             {"Expectancy", "-1"},
             {"Start Equity", "10000000"},
-            {"End Equity", "9649796.02"},
+            {"End Equity", "9649801.20"},
             {"Net Profit", "-3.502%"},
             {"Sharpe Ratio", "-2.93"},
             {"Sortino Ratio", "-2.869"},
-            {"Probabilistic Sharpe Ratio", "7.351%"},
+            {"Probabilistic Sharpe Ratio", "7.352%"},
             {"Loss Rate", "100%"},
             {"Win Rate", "0%"},
             {"Profit-Loss Ratio", "0"},
@@ -119,7 +119,7 @@ public override void OnOrderEvent(OrderEvent orderEvent)
             {"Lowest Capacity Asset", "AAPL R735QTJ8XC9X"},
             {"Portfolio Turnover", "21.04%"},
             {"Drawdown Recovery", "0"},
-            {"OrderListHash", "bee21851fd1ac425df8e01169d0db355"}
+            {"OrderListHash", "fc0626f660981cb698f6a9a5d5d1389a"}
         };
     }
 }

Common/Indicators/RollingWindow.cs

@@ -368,11 +368,23 @@ private void Resize(int size)
             {
                 _listLock.EnterWriteLock();
 
-                _list.EnsureCapacity(size);
                 if (size < _list.Count)
                 {
+                    if (_tail != 0)
+                    {
+                        // The _list is out of order due to circular overwrites
+                        // Restore oldest to newest order and reset _tail before resizing
+                        var count = _list.Count;
+                        _list.Reverse(0, _tail);
+                        _list.Reverse(_tail, count - _tail);
+                        _list.Reverse(0, count);
+                        _tail = 0;
+                    }
+
                     _list.RemoveRange(0, _list.Count - size);
                 }
+
+                _list.EnsureCapacity(size);
                 _size = size;
             }
             finally

Common/Orders/Slippage/MarketImpactSlippageModel.cs

@@ -238,13 +238,13 @@ public void OnDataConsolidated(object _, TradeBar bar)
             _prices.Add(bar.Close);
             _volumes.Add(bar.Volume);
 
-            if (_prices.Samples < 2)
+            if (_prices.Count < 2)
             {
                 return;
             }
 
-            var rocp = new double[_prices.Samples - 1];
-            for (var i = 0; i < _prices.Samples - 1; i++)
+            var rocp = new double[_prices.Count - 1];
+            for (var i = 0; i < _prices.Count - 1; i++)
             {
                 if (_prices[i + 1] == 0) continue;
 

Tests/Indicators/RollingWindowTests.cs

@@ -602,5 +602,55 @@ def rolling_window_with_custom_data_type():
                 Assert.AreEqual(expectedValue, value);
             }
         }
+
+        [TestCase(2, 3, 5, new[] { 3, 2 })]
+        [TestCase(5, 7, 3, new[] { 7, 6, 5 })]
+        [TestCase(3, 6, 2, new[] { 6, 5 })]
+        [TestCase(3, 6, 5, new[] { 6, 5, 4 })]
+        public void ResizeFromOverwrittenWindowPreservesNewestElements(int initialSize, int totalAdds, int newSize, int[] expected)
+        {
+            var window = new RollingWindow<int>(initialSize);
+            for (var i = 1; i <= totalAdds; i++)
+            {
+                window.Add(i);
+            }
+
+            window.Size = newSize;
+
+            for (var i = 0; i < expected.Length; i++)
+            {
+                Assert.AreEqual(expected[i], window[i]);
+            }
+        }
+
+        [Test]
+        public void MultipleResizesOnOverwrittenWindowPreserveElementOrder()
+        {
+            var window = new RollingWindow<int>(5);
+            for (var i = 1; i <= 7; i++)
+            {
+                window.Add(i);
+            }
+
+            window.Size = 3;
+            Assert.AreEqual(7, window[0]);
+            Assert.AreEqual(6, window[1]);
+            Assert.AreEqual(5, window[2]);
+
+            window.Size = 10;
+            Assert.AreEqual(7, window[0]);
+            Assert.AreEqual(6, window[1]);
+            Assert.AreEqual(5, window[2]);
+
+            for (var i = 8; i <= 17; i++)
+            {
+                window.Add(i);
+            }
+
+            Assert.AreEqual(17, window[0]);
+            Assert.AreEqual(16, window[1]);
+            Assert.AreEqual(15, window[2]);
+            Assert.AreEqual(8, window[9]);
+        }
     }
 }