Fix and Refine TradeTickDataWrangler.process_bar_data

[rsmb7z]

Pull Request

Followup on previous PR to fix call to _create_side_if_not_exist.

Type of change

• Bug fix (non-breaking change which fixes an issue)

[cjdsellers]

Something we could consider is adding default_volume: float = 1_000_000.0 similar to the quote tick wrangler. Often trades can be for a small size which doesn't represent the liquidity which may be available nearly immediately after the effect of the trade.

Alternatively, we could improve the fill dynamics in the order book to slip to the next price level if top-of-book size is exceeded?

Having said that we do have this already for aggressive orders:
https://github.com/nautechsystems/nautilus_trader/blob/develop/nautilus_trader/backtest/matching_engine.pyx#L1705

[rsmb7z]

Alternatively, we could improve the fill dynamics in the order book to slip to the next price level if top-of-book size is exceeded?

I think something using config flag etc for the MatchingEngine would be more appropriate to ignore or relax the liquidity conditions for backtesting purpose so this way original volume is not lost and still accessible within Strategy.
Someone still wanting to use custom volume can modify in the input dataframe for TradeTickDataWrangler. The case for QuoteTickDataWrangler is bit different because there volume is not always available.