- Reduce the amount of `Path.Combine()` usages -> it has a peformance
overhead
- Improving `FineFundamentalSubscriptionFactory` GetSource algorithm,
now it will not check if each file exists while finding the appropriate,
since we already iterated the directory before
- `DefaultDataProvider` will not check if file exists since `new
FileStream` performance the same operation internally
Previously the enumerator would get stuck and stop emitting data if one of the underlying enumerators returned a data point with the time greater than the current time. The existing unit test would only emit the first data point for the two underlying streams.
The enumerator has been updated to support data points in the future and the unit test has been extended to assert both data point counts and values.
- Adding new `StepTimeProvider` that will advance time based on a
desired custom evaluator.
- Live trading `Options`, `Futures` and `Coarse` data will use a
`FrontierAwareEnumerator` + `StepTimeProvider`. This will allow to hold
the selection data until its the desired time
- `Universe.CanRemoveMember` will round the members time in the universe
based on the `UniverseSettings.MinimumTimeInUniverse`
- C# `Timer` can sometimes be triggered before the expected due time.
Implementing `RealTimeScheduleEventService` that will guarantee a
scheduled event due time is respected and the event never happens before
time.
- Moving `MapFile` and `FactorFile` resolution to the data feed stack so
that they do not add a performance overhead to the algorithm thread.
- Create logging string messaged only if required.
- Calculate `FactorFileRow.PriceScaleFactor` the least amount of times
- `SecurityIdentifier` will calculate `StrikePrice` just once. Replacing
`!=` for a direct call to `Equals()` preventing unnecessary checks.
- Slightly improving Linq queries at `OptionFilterUniverse`
- Replace `OpenReader().CopyTo` for `Extract(stream)` avoids copying the
data twice.
- Replace `DateTime.Now` for `DateTime.UtcNow`
- Adding `LazyToUpper()` implementation, that will avoid the call to
`ToUpper` if the string is already upper.
- Reduce the timezone conversions at `Time.EachTradeableDayInTimeZone`
- `TotalPortfolioValue` will iterate over all securities once
- Adding new `SecurityIdentifier` cache, significant impact for
algorithms using coarse/fine data
- `TimeSliceFactory` will avoid creating empty collections
- `ExecutionModels` will check target collection count before trying to
enumerate
- Reduce calls to .`TotalPortfolioValue`
- `SecurityValues` will only be created when required
- `TimeKeeper` will use TimeZone unique Id as dictionary key. The
TimeZone hash is expensive.
- `AlgorithmManager` will avoid calling `DateTime.UtcNow`,
`ConvertFromUtc()` and `RoundDownInTimeZone()`
- For backtests download RemoteFile just once
- Live subscriptions and history requests will continue to download the
`RemoteFile` on each request.
- Adding unit tests
With subscriptions at non-Tick resolution, suspicious ticks are filtered at the live data feed level for bar aggregations, while at Tick resolution they are never filtered (intentionally).
This change prevents ticks from being added to the consolidator update data, used by the AlgorithmManager to update tick consolidators (and indicators).
- Adding `IStreamReader.RateLimit { get; }` specifying if a stream
reader `ReadLine()` calls should be rate limited by the source readers.
- Adding two failling unit tests in `master`
New custom data class USEnergyInformation with new demonstration algorithms, the updated config file for users to set their EIA token.
Adds `CloseTime` to represent the time that the data period end. `EndTime` represents, in turn, the time the data is emitted. There is an offset between `CloseTime` and `EndTime` that is defined by the difference between the last bar as emitted and its time.
In live mode, if the `USEnergyInformation.Reader` returns null, the `CollectionSubscriptionDataSourceReader.Read` method will pull for new data constantly. Therefore it should return an empty `BaseDataCollection` object.
Martin Molinero