- Renaming files from `Schedule...` to `Scheduled...` to match algorithm
name.
- Removed `ScheduledEvents` set every 5 seconds
- Increased the every day `ScheduledEvents` from 200 to 600
- Updates PythonNet to 1.0.5.17
- Improve performance by adding new `interop` `type` cache holding a `bool`, true if its an `exception`. And adding a `setter` and `getter` cache for the `propertyobject`. Closes#2925.
- Decimal parsing allows numeric string in exponential notation. Closes#2918#2919.
Closes#2929
- Adding new `SetAccountCurrency()` for backtesting. Has to be called
before adding any `Security` or calling `SetCash()`, else will throw.
- Adding new Non account currency unit tests for `CashBuyingPower`,
`SecurityPortfolioModel`, `SecurityMarginModel`,
`SecurityPortfolioManager`, `Future/OptionMarginBuyingPowerModels`
- Adding new C# regression test using `SetAccountCurrency()`, one for
`CashBuyingPowerModel` and one for `SecurityMarginModel`
- Adding new Py and C# basic regression algorithms using
`SetAccountCurrency()`
- `Options` and `Futures` will use not use `AccountCurrency` as quote
Cash.
- `SecurityBenchmark` value will be in account currency
- Adding check at `AlgorithmManager.ProcessSplitSymbols()`, will skip
splits from removed securities.
- Adding regression test which reproduces original issue in master.
- Requires a new PythonNet 1.0.5.15 package where the different `.dll` are in a
specific folder: `\win` `\linux` and `\osx`
- Removed not present `decimal.py` from `Algorithm.Python` project. It
was moved into `Common`.
- Replace `xbuild` for `msbuild` required for using the `System.Runtime.InteropServices`.
Also note the `xbuild` on travis prints:
> >>>> xbuild tool is deprecated and will be removed in future updates, use msbuild instead <<<<
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;
- The HistoryRequestBenchmark will now perform a daily and minute history
request at end of day.
- C# performance is at ~15k data points per second
- Python performance is at ~11k data points per second
- `UniverseSelection` class will now keep track and remove internal
currency subscriptions through the usage of new class
`CurrencySubscriptionDataConfigManager`
- Modifying existing regression tests to assert bug 2773.
- Adding new regression test that fixes the case where a new cash is set
after initialization. This could happen during cash sync performed by
the `BrokerageTransactionHandler`.
- Adding new `CashAdded` event for the `CashBook` to solve the
issue.
- Moving `UniverseSelection.EnsureCurrencyDataFeeds` call into the
`IResultHandler` implementation through usage of the new `SetupHandlerHelper`
class, that will also set an initial conversion rate if none present.
- Adding regression test, that reproduces original issue
- `AlgorithmManager` will call `EnsureCurrencyDataFeeds()` before the
history requests are created so the conversion rate securities are also
updated during warmup.
- `EnsureCurrencyDataFeeds()` will add new `SubscriptionDataConfigs` to
the `_addedCurrencySubscriptionDataConfigs` hash set. This hash set will
be used during `UniverseSelection()` to add the subscriptions.
- Wont trigger a `UniverseSelection()` before warmup. This was causing
the data to be fetched twice and for consolidators to be updated with
old data.
- Adding a new regression test and adding new checks to existing
regression tests.
- Disabling C# and Py `BasicTemplateIntrinioEconomicData` regression
test. Free user credentials are invalid because Intrinio has now a 30 day trial for free users
- `CashBook[NullCurrency] { get; }` will throw an exception
- Revert `Currencies.USD` changes in user facing algorithms
- Improve some documentation
- Revert some format changes
- Adding more asserts for regression test
- Adding new regression tests using a custom fee model which returns
`OrderFee.Zero`
- Adding a non-usd account currency test to the cash book tests
- Adding some unit tests for `NullCurrency` and `OrderFee.Zero`
- Removing `AccountCurrency` from `Cash` and `Brokerage` classes.
`ICurrencyConverter` will now provide the `AccountCurrency`
- Adding new static `OrderFee.Zero` which will return a 0 order fee in
`NullCurrency`
- Adding static `Currencies.USD` value, replacing all "USD".
- Addin new static `Currencies.NullCurrency`
- Updating Bitfinex `FeeModel` so it return fees in quote currency.
Adding unit tests
- Replacing `decimal` for `OrderFee` at the `OrderEvent`.
- Adding `FeeModelNotUsingAccountCurrency` regression test
- Adding unit tests for `CashBuyingPowerModel` and `SecurityMarginModel`
with non account currency fees
- Refactoring `IFeeModel`. *This is a breaking change* for implementations
inheriting directly from the interface. Deleting old and adding a new method
`OrderFee GetOrderFee(OrderFeeParameters parameters)` that will use a parameter
and a result object.
- Refactoring `CashAmount` so it does not embed a `ICurrencyConverter`
instance.
- Updating unit tests
- The `Security.QuoteCurrency`, a `Cash` instance, will provide access
to the `AccountCurrency` as a property.
- Will maintain backwards compatibility with old python custom
FeeModels, Adding unit test.
> Note that for now, consumers will ignore the currency, as before, and
directly consume the amount
- Modifying `IFillModel` interface removing old methods and adding new
method `Fill Fill(FillModelParameters)`. This is a breaking change.
- Adding new `PythonWrapper` property for the `FillModel` base class.
This is required due to a limitation in PythonNet:
- Given C# class T has `virtual` methods A and B. Where method A
calls method B. And given custom python class L inherits class T.
And overrides method B. When class L calls
base method A (of class T). And when method A internally calls method B.
It will call C# implementation, not the python override. This issue
is solved going back to the `PythonWrapper`. Adding unit tests.
- Adding new `Parameters` property for the `FillModel` base class that will
be set by the call to `Fill()`. The `Parameters` property will be used by
the modified `XxxxFill()` implementations
- Adding new `Fill` result object for the `Fill(FillModelParameters)`
method
- Adding new check before removing a `SubscriptionDataConfig` due to the FillModels consuming the configuration collection when determining which Price to use. WIll now only remove the `SDC` if the symbol was removed from the selecting `universe`, this will avoid the case where the symbol is never deselected and the subscription ends, which happens at the end of all executions.
- Adding unit tests showcasing retro compatibility.
- Enabling C# `CustomModelsAlgorithm` as a regression test. Python
version returns a different result due to random number generation.
- Previously when a user requested to remove a universe, they would call
`RemoveSecurity()`->`UniverseManager.Remove()`-> `Universe.Dispose()` ->
collection change notification would call `DataManager()` that would
call `RemoveSubscription()` that *would not perform any operation* since
it would return `false` through
`if(subscription.IsUniverseSelectionSubscription &&
subscription.Universe.DisposeRequested)`. Previous comment stated that
the `Subscription` would be removed by the `SubscriptionSynchronizer`
via `SubscriptionFinished()` but this called would go through the same
if statemente as above, returning false and no performing any operation.
So the `Universe` `Subscription` was never removed.
PR https://github.com/QuantConnect/Lean/pull/2039
- In this PR I'm removing the mentioned `if` statement and the call
relation between `UniverseManager.Remove()` and
`DataManager.RemoveSubscription()` since this will be covered by the
`SubscriptionSynchronizer` in the next loop.
- Modified regression test (originally added with these changes at
https://github.com/QuantConnect/Lean/pull/2039) to verify this issue.
- Will now use the `SynchronizingEnumerator` and avoid the duplicated
synchronization logic.
- Slightly modified the `SynchronizingEnumerator` implementation to
avoid removing enumerators with current `null` returning `true`. Adding unit tests
- Adding unit tests for `DelistingEnumerator`
- Fixing issue where price was not correctly set. Adding new check for
`HourSplitRegressionAlgorithm`
- Moving `Splits`, `Dividends`, `Mappings`, `Delistings`, from the
`SubscriptionDataReader` into there own enumerator, inheriting from
new `CorporateEventBaseEnumerator`
- Adding new helper `static class CorporateEventEnumeratorFactory` to
create the new enumerators
- Adding unit tests for new `CorporateEventBaseEnumerator`
- Adding some extra checks to `HourSplitRegressionAlgorithm` and
`DelistingEventsAlgorithm`
- After removing a `Subscription` entirely, we will now also remove the
matching `SubscriptionDataConfig` from the `SubscriptionManager`
- Adding a new regression test, which fails in `master`
- Fixing previous PR change that removed `Trace` logging when adding
and removing a `Subscription`
- Fixing a bug in the `UserDefinedUniverse` where calling `RemoveMember`
would cause the `SubscriptionDataConfig` to be re added to the
`SubscriptionManager` (not the `DF`). Found this through added
regression test.
- The class `Subscription` will internally track each `Universe`
`SubscriptionRequest` added or removed
- Adding regression test in which two different `Universe` request the
same `SubscriptionDataConfig` and one of them removes/adds it in a
toggle fashion (fails on current master)
- `UniverseSelection` pending removals will also be tracked by
`Universe`
- `UniverseDecorator` will overwrite the `Universe` member of
`SubscriptionsRequests` at `GetSubscriptionRequests()`. This is due to
`this != this,Universe`
- Adding `Subscription` unit tests covering expected behavior
- Extracting pending removals logic from `UniverseSelection` class into
a new helper class `PendingRemovalsManager`. This new class will keep
track of the `universes` requesting to remove a security. Adding unit tests
AlexCatarino