Fix update_bar aggregation function (#2430)

Author: faysou

crates/data/src/aggregation.rs

@@ -233,6 +233,18 @@ impl BarBuilder {
             self.close = self.last_close;
         }
 
+        if let (Some(close), Some(low)) = (self.close, self.low) {
+            if close < low {
+                self.low = Some(close);
+            }
+        }
+
+        if let (Some(close), Some(high)) = (self.close, self.high) {
+            if close > high {
+                self.high = Some(close);
+            }
+        }
+
         // SAFETY: The open was checked, so we can assume all prices are Some
         let bar = Bar::new(
             self.bar_type,

nautilus_trader/data/aggregation.pyx

@@ -245,6 +245,10 @@ cdef class BarBuilder:
             self._low = self._last_close
             self._close = self._last_close
 
+
+        self._low._mem.raw = min(self._close._mem.raw, self._low._mem.raw)
+        self._high._mem.raw = max(self._close._mem.raw, self._high._mem.raw)
+
         cdef Bar bar = Bar(
             bar_type=self._bar_type,
             open=self._open,