- Adding new `AlgorithmSettings` Min and Max absolute portfolio target
percentage
- Adding new `PortfolioConstructionModel.FilterInvalidInsightMagnitude()`
helper method that will be used by the `BlackLitterman` and
`MeanVariance` optiomization portfolio construction models to skip
insights with extreme magnitudes that will cause exceptions
- `PortfolioTarget.Percentage()` will now verify requested percent is
withing the settings values
- Using `Aggregate(lambda)` vs `Sum(lambda)` since the later is slower
due to performing an extra `Select`
- For `QCAlgorithm.Framework.OnFrameworkData()` will avoid calling
`ToArray()` on empty `Enumerables` due to its cost * the number of
calls. If the `Enumerable` is the empty instance, which is static,
will create a new empty array and return it instead.
- Replacing `SecurityIdentifier` `SecurityType` and `GetHashCode`
implementations for `Lazy` versions, that are performed just once, since
these values do not change and are used multiple times.
- For the different `DataDictionary<T>` implementations adding `this[
Symbol] get; set` since existing overload `this [string]` produces an
extra round operations `Symbol->string->Symbol` with a significant
impact.
- Adding `PortfolioTargetCollection.AddRange()` overload using an array
to avoid unnecessary convertions.
Modifies the way we sample charts to be more like the equity sampling that we do.
In this case, we compute a sampling period based off of 1000 samples for the entire
backtest. In live mode, we'll just sample each minute.
Adding a scatter plot is an involved process because there's not
direct and easy way to just define a series object. This change
allows an algorithm to simply define the series without pumping
any data into it. This allows the user to set the series type and
the unit for the series
Refactors existing consolidators, indicators, and helper methods to depend on
IBaseData instead of BaseData. These updates also defines an IBaseDataBar to
act as an abstraction point between TradeBar and QuoteBar.
Michael Handschuh