- AlgorithmPythonWrapper will directly call base OnFrameworkData()
implementation skipping going through python and it's overhead
- Small performance improvement for adding Tick data points into a Ticks
collection
- For python always wrap slice with PythonSlice, so that slice.Get()
works even when no custom data is present, adding test.
- Fixing Python slice enumeration which would not happen when custom
data was present. Adding unit test
- Fix Slice constructor which would fail to create data collections due
to relying on non-deterministic 'slice._data'. Adding unit test
- Improving custom data retrieval for symbols which have more than 1
data type in a slice. Adding unit test
- First step refactoring slice internally, no behavior changed
In the new package:
- C# decimal conversion will use C# double and python float due to the big performance impact of converting C# decimal to python decimal;
With this constructor, SetConverter method, that was not respecting Lean pattern, is removed. The initialization of _converter field is done once the type is loaded.
Python algorithms with custom data requires an operation that converts a dictionary key into a attribute. In the current implementation the Slice object was converted into a python dictionary. This was not optimal, since we just need to make this conversion when the value of a key in the Slice is accessed.
This implementation proposes a wrapper for the Slice object, PythonSlice, that would just perform the operation described above when needed.
Martin Molinero