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Fix OnEndOfDay not fired

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- Adding `IRealTimeHandler.OnSecurityChanged()` will be used to update
the `OnEndOfDay` security related scheduled events
- Adding `BaseRealTimeHandler.cs` to reduce code duplication in the
`Backtesting` and `LiveTrading` `RealTimeHandlers`
- Adding CSharp and Python regression tests
- Deprecating `OnEndOfDay()` callback because of two reasons, mainly
because Python does not support two methods with the same name, but also
because different assets have different market close times.
- `ScheduledEvents` set at the same time will now be deterministic
This commit is contained in:
Martin Molinero
2019-06-20 12:09:06 -03:00
parent e7b8ba4dee
commit a92bee5bf1
17 changed files with 576 additions and 96 deletions
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Algorithm.Python/QuantConnect.Algorithm.Python.csproj
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@@ -55,6 +55,7 @@
<Content Include="BasicCSharpIntegrationTemplateAlgorithm.py" />
<Content Include="BasicSetAccountCurrencyAlgorithm.py" />
<Content Include="TradingEconomicsCalendarIndicatorAlgorithm.py" />
<Content Include="OnEndOfDayRegressionAlgorithm.py" />
<Content Include="SECReportDataAlgorithm.py" />
<Content Include="USEnergyInformationAdministrationAlgorithm.py" />
<None Include="RawPricesUniverseRegressionAlgorithm.py" />