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Feature 2456 custom Python consolidator support (#4637)

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* DataConsolidator Wrapper for Python Consolidators

* Regression Unit Test

* Refactor Regression test

* Bad test fix

* pre review

* self review

* Add RegisterIndicator for Python Consolidator

* Python base class for consolidators

* Modify regression algo to register indicator

* unit test - attach event

* Test fix

* Fix test python imports

* Add license header file and null check

Co-authored-by: Martin Molinero <martin.molinero1@gmail.com>
This commit is contained in:
Colton Sellers
2020-08-25 13:26:55 -07:00
committed by GitHub
parent a14f8f1f47
commit b8674731a5
16 changed files with 608 additions and 7 deletions
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Algorithm.Python/QuantConnect.Algorithm.Python.csproj
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@@ -85,6 +85,7 @@
<Content Include="Benchmarks\SmartInsiderEventBenchmarkAlgorithm.py" />
<Content Include="CoarseTiingoNewsUniverseSelectionAlgorithm.py" />
<Content Include="ConsolidateRegressionAlgorithm.py" />
<Content Include="CustomConsolidatorRegressionAlgorithm.py" />
<Content Include="CustomDataAddDataOnSecuritiesChangedRegressionAlgorithm.py" />
<Content Include="CustomDataAddDataCoarseSelectionRegressionAlgorithm.py" />
<Content Include="DynamicSecurityDataAlgorithm.py" />