- Revert charting rouding
- Add statistics rouding
- Json converter will ignore null order values
- Remove `type` field in `Symbol` json
- Add default type value for the `TimeInForceJsonConverter`
- 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.
The market fill warning introduced in #2869 was considering any price older than the fill time as stale (even if only a few seconds older), causing many false alerts.
This is being changed now by adding a new configurable algorithm setting: StalePriceTimeSpan (with a default value of one hour).
- Removing OrderFeeParameters.AccountCurrency. Where required replacing
for constructor parameter defaulting to USD.
- Updating IB fee model to use to correct fee currency
- `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
- Adding new `IAlgorithm.AccountCurrency { get; }` that will point to the
`Portfolio.CashBook.AccountCurrency`. Setter will be added in a
following PR.
- Base `Brokerage` class will now have a `AccountCurrency { get }`
pointing to the `IAccountCurrencyProvider`. Will be used by the different
brokerages implementations.
- 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.
This change aims to reduce the responsibilities of IFillModel implementations
by removing the requirement that they also compute the order fee. Order fees
are now computed by whomever invokes the fill model, namely the BacktestingBrokerage.
The new FillModel class will serve as a base for all fill models.
This provides benefits in backwards compatibility by providing a common
place for 'shim' code. The ImmediateFillModel class remains but is now
empty as it's entire implementation has been moved to the new FillModel
class.
- remove 0% from BitfinexFeeModel comments
- fix restore candles comment
- add comment to public methods
- change access modifiers of bitfinex specific methods
- market price must be positive too
- comment number of requests limits
LastFillTime is updated on each partial/fill order event
LastUpdateTime is updated on each submitted order event w/ update count > 0
CancelTime is updated on canceled order events
Also fixes bug in regression algorithm where it used Time instead of UtcTime
for creating the SubmitOrderRequest object.
- removed IAlgorithm dependency from time in force handlers
- renamed GoodTilCancelled to GoodTilCanceled
- added GTC time in force in regression algorithms
- inlined initialization of time in force handler dictionary
AlexCatarino