Created random-seed argument for rdg in order to let the user get deterministic output
Update documentation in 'FactorFileRow.cs' to accurately reflect factor
file structure
Update CSV generation for FactorFile so that it uses FactorFileRow's CSV
generator
Add FinancialCalendar to make it easier to implement logic regarding
financial quarters
Add mapping events to RandomDataGenerator
Update MapFileRow ToCsv method to correctly emit the ticker as lowercase
Fix bug in FactorFile where we would get the same initial data point twice
when we converted it to CSV
Create new method to convert a MapFile to CSV
Create new method to write MapFile to disk as CSV
Add unit test to test for successful CSV generation in MapFile
Add new files to project
Add FinancialCalendar unit tests
Create new class to handle generation of dividends, splits, and maps
This side steps the issue reported in #2840 by removing the desire to pass
zero for the maximum deviation. The previous issue was that we were leaning
on the trade ticks to produce the series variation and then trying to fit
quote ticks around a previously generated trade tick. This solution permits
both quote and trade ticks to produce variations and prevents the generator
from emitting both at the same time step.
A new parameter, --quote-trade-ratio, determines the relative density of each.
For example, a quote trade ratio of 1 means equal trade and quote ticks, whereas
a value of 2 means twice as many quote ticks as trade ticks.
This change also removes special treatment regarding the downsizing of the
requested deviation for quote ticks. If the consumer wants to limit the
deviation of quote ticks than the consumer can make that decision, but the
random value generator should simply follow instructions like a good little
boy.
Fixes#2840
Invoke from toolbox cli using --app=rdg or --app=randomdatagenerator
Produces random data over the requested time frame in the desired resolution,
security type and density.
Here's a few sample command line invocations:
--app=rdg --start=20190101 --end=20200101 --symbol-count=1 --resolution=Daily --data-density=Dense --include-coarse=false
--app=rdg --start=20190101 --end=20200101 --symbol-count=10 --security-type=Future --resolution=Hour --data-density=VerySparse
--app=rdg --start=20190101 --end=20200101 --symbol-count=5 --security-type=Option --resolution=Minute --data-density=Sparse
Launcher project is packed as `QuantConnect.Lean`but as a mean ot having all Lean features just calling one package.
In the same sense, `QuantConnect.Algorithm.CSharp` is included as package and added as dependecy in the `QuantConnect.Lean` package just to have a working example aailable out-of-the-box.
In the advanced build settings, Language version was also upgraded from C# 5.0 to C# 6.0. The minimum Visual Studio version required will now be VS2015.
Gerardo Salazar