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feature-optimize-python-load
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58 Commits

Author SHA1 Message Date
Michael Handschuh dfce99f575 Sample alpha scores on next time step, ignore mag scores if mag=null 2017-12-28 11:27:40 -05:00
Michael Handschuh a2481387cd Directly enumerator concurrent dictonary instead of values 
Enumerating the values directly requires the dictionary to acquire all global locks
vs enumerating the dictionary's key values pairs uses fine-grained locking at the
bucket level.
 2017-12-20 10:44:56 -05:00
Michael Handschuh 2295e524f4 Add IAlphaRuntimeStatisticsGenerator and send to result handler 
Provides estimates of alpha value as well as performs online computations of
alpha scores and other KPIs.

Sends alpha stats to result handler
Update live result with framework flag
 2017-12-20 08:33:30 -05:00
Michael Handschuh 5a81bce5f6 Add volume and quote currency conversion to SecurityValues 2017-12-20 08:06:30 -05:00
Michael Handschuh 5337cb0b5e Fixes reporting of finalized alpha scores 2017-12-19 18:18:33 -05:00
Michael Handschuh b0032f2376 Range bound alpha scores to [0, 1] 
These are intended to be percent-esque scores.
 2017-12-17 05:19:15 -05:00
Michael Handschuh 3161fd600b Rename PercentChange -> Magnitude 2017-12-15 20:10:34 -05:00
Michael Handschuh b4b3aae112 Rename Signal -> Alpha 
Whoa... I think I got everything :)
 2017-12-15 18:24:58 -05:00