- 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`
Through `SubscriptionDataSource`.
Exceptions, cocumenting, cleaning and testing adjust
make isLiveMode mandatory in the SubscriptionDataSource constructor
Calls to SubscriptionDataSource implements new bool argument
csproj file mistake fixed
Clean up nullable from prevoius implementation.
Revert "Exceptions, cocumenting, cleaning and testing adjust"
This reverts commit 7da7a9fca195b327a1322c0c7c4a7a088b2f1099.
SubscriptionDataSource back to default.
Uisng LiveMode flag from the calling contex
_delivered variabl setting.
Comments fixed
xml doc fix
It is not uncommon that a web service would require some form of
authentication headers to be provided. This change aims to enable
this by adding the header information to the source. This design
allows a user's custom data type to return the source properly
hydrated with the required header values before being sent back
through the rest of the LEAN infrastructure.
This interface was built around the existing implementation of the
DataCacheProvider. It's purpose is to define a method for caching data
files. Currently, most data files are either read from disc or retrieved
remotely. The IDataChceProvider returns returns a Stream and can handle
many types of data. The IDataFileCacheProvider is needed because keeping data in memory will improve performance and overcome certain File read/write limitations (such as sharing violations) currently experienced by Lean.
There are two implementations of this interface. The first is the
SingleZipEntryDataCache. This is the default implementation. It does not
cache and returns the first entry found within a ZipFile. The second is
the ZipEntryCacheProvider. This is a rework of the existing
DataCachePrivider. It caches ZipFiles for up to 10 seconds. It can
return specific entries for option and future ZipFiles. Otherwise, it
returns the first entry in a ZipFile.
Added IDataFileCacheProvider as parameter to IHistoryProvider.Initialize()
The IDataFileCacheProvider is very useful for the IHistoryProvider in that it can eliminate the need for history request to touch disc. This can greatly improve peerformance and eliminate disc bugs associated with disc read/writes. To minimize changes throughtout Lean, the default value for the IDataFileCacheProvider is null in the IHistoryProvider.Initialize method.
IDataCacheProviders are passed down the Lean stack. Each instance of a Subscription Enumerator factory decides what cache it
will use. In other words, the IDataCacheProvider is not configurable from
config.json. The IDataCacheProvider is passwed down the stack form the
Enumerator factory to the IStreamReader where it is used to retrieve data.
Added useful helper method to Unizp files into a Stream.
Many places in the code used Log.Error(err.Message) or equivalent which
strips out all the really useful information, such as the stack trace
and inner exceptions. Using Log.Error(exception) is the correct way to
log an error as it will correctly write all the message details, also,
by passing the full Exception object we can improve the logging in this
one place and all call sites will automatically benefit from the improvements
Includes default impl of BaseDataSubscriptionFactory
This change is to prepare for binary data sources and defines a factory to
handle the reading of a SubscriptionDataSource and the conversion of that data
into BaseData instances
Updates SubscriptionDataReader to use IStreamReader
Adds FactorFile and MapFile helpers
Adds support for Raw, Adjusted, and TotalReturn data normalization and portfolio application
Martin Molinero