This commit will allow an easier `FillModel` refactor:
- Removing `ISecurityTransactionModel` and its implementations
- Merging identicall tests from `EquityTransactionModelTests`,
`ForexTransactionModelTests` and `SecurityTransactionModelTests` under
`ImmediateFillModelTests`. This was possible because the mentioned
`TransactionModels` implementations used `ImmediateFillModel`
Security instances will require private access to this value in order to
compute close profit.
NOTE: The extent of these changes for simply adding a constructor argument
insinuates that we're missing an abstraction to manage the construction of
these objects, such as a factor object for Security. This will need some
careful TLC in the near future.
Add MarketHoursDatabase.SetEntry and SetEntryAlwaysOpen. This allows runtime modification of the
market hours database which is necessary for correct custom data time zone handling.
Extracts complicate ternary logic into its own method and make it human readable.
Set the market hours entry for custom data universe subscriptions defaulting to the security's time zone.
Implements IPriceVariationModel interface which takes the security object and returns a decimal variation
Implemets SecurityVariationModel class: default implementation of IPriceVariationModel that returns a fixed value (read from symbol-properties-database) for decimal variation
Implemets EquityVariationModel class: implementaion of IPriceVariationModel that returns a decimal variation as a function of equity price
Implemets AdjustedPriceVariationModel class: implementaion of IPriceVariationModel that returns zero
Adds unit test
This is to ensure we're not setting the fill/fee/slip models via the
property setters, since this now will flip a flag indicating that they
have been explicitly set.
Add dynamic data flag to config
Remove dynamic data flag from Security
Rename dynamically loaded flag to IsCustomData
Remove Security from SubscriptionDataReader ctor
When computing order.GetValue(marketPrice) sometimes we want to use the order.Price and other
times we want to use security.Price, we want to use order.Price if the order's status is either
Filled or PartiallyFilled
Time sync:
* Data feeds are required to time sync in UTC time
* TimeSlice.Time is now in UTC
IAlgorithm
* Time is now exclusively the algorithm's local time zone
* Added UtcTime
* SetDateTime( DateTime ) accepts a UTC time and is internally converted
SubscriptionDataConfig
* Adds market and time zone as required ctor parameters
SecurityExchange
* Now passes most calls directly through to SecurityExchangeHours class
SecurityExchangeHours
* Holds market hours for each day of week (LocalMarketHours)
* Talks in terms of local times in the SecurityExchangeHours.TimeZone time zone
Data/market-hours/
* New data folder to hold market hour information
* Includes market-hours-database.csv to hold market hours per market/symbol/security (see doc in file)
* Includes holidays-usa.csv to hold holidays for 'usa' market
+ The holiday files follow the pattern 'holidays-*.csv' where * is the market
TimeKeeper
* Receives updates in UTC time
* Passes that to LocalTimeKeeper's who lazily evaluate the time in their respective time zones
* Eventually this can grow to be the sole source of time in the algorithm's scope
MISC:
* Fixes exception thrown when exiting LiveTradingDataFeed
* Fixes exception thrown when exiting FileSystemDataFeed
* Fixes exception thrown when exiting StatusPing
* Simplify FillForwardEnumerator logic with GetNextMarketOpen
* Adds many time zones, see TimeZones.cs
Adds EndTime to BaseData
Adds Period to TradeBar
Now filling data forward on days missing files/data
Some performance enhancements
Removed sorted dictonary in DataStream/AlgorithmManager
We round down fill forward data in the data stream since if we were to perform this in the data feed we would continually produce data at the same time and it would all go into the algorithm at once.
Changed system to use Margin Models, removing leverage wherever possible allowing for dynamic margin models.
Created first portfolio fill model for FOREX which treats it as a currency swap through the cashbook instead of a tradable asset.
Updated the Securities/SecurityPortfolioManager to use cashbook value + holdings removing FOREX virtual positions.
Created a new benchmark system for comparing quantconnect builds.
Updates Securities.Update to take a slice of the 'newData' collection from AlgorithmManager to prevent an n^2 problem
This also has the affect that now all security prices are updated before ANY OnData events are fired (previously imported data could fire before these)
Adds the SubscriptionDataConfig to the Security object and requires it when adding new Securities in SecurityManager
Adds the SubscriptionIndex field to SubscriptionDataConfig, always handled by SubscriptionManager
Removing the isQcData flags allowed better support for consistency between different data types. This has a knock-on effect of allowing custom data to be fillforward and loaded from a file system.
Martin Molinero