- Adding `IRealTimeHandler.OnSecurityChanged()` will be used to update
the `OnEndOfDay` security related scheduled events
- Adding `BaseRealTimeHandler.cs` to reduce code duplication in the
`Backtesting` and `LiveTrading` `RealTimeHandlers`
- Adding CSharp and Python regression tests
- Deprecating `OnEndOfDay()` callback because of two reasons, mainly
because Python does not support two methods with the same name, but also
because different assets have different market close times.
- `ScheduledEvents` set at the same time will now be deterministic
When a `ScheduledEventException` was thrown, `IAlgorithm.RunTimeError` was not set as `ScheduledEventException` , but as `Exception` with the orginal exception message and no inner exception.
Without the inner exception, information on the user exception is lost. In python algorithm, the stack trace is completely lost.
Removes ScheduledEventExceptionMessage property as it is redundant to Message property inherited from parent class.
This PR is an attempt to reduce contention in concurrent dictionaries, replacing method calls using full locks with lock-free equivalents:
- dictionary.Count -> dictionary.Skip(0).Count()
- dictionary.Keys -> dictionary.Select(x => x.Key)
- dictionary.Values -> dictionary.Select(x => x.Value)
The most frequent usages of these methods are: CashBook, SecurityManager, UniverseManager and indirectly, SecurityPortfolioManager.
The reasons for this update are explained very clearly in this article:
https://arbel.net/2013/02/03/best-practices-for-using-concurrentdictionary/
Catching the exception in BacktestingRealTimeHandler prevents unhandled errors in backtesting and provides more specific logging to make debugging easier for users
These changes fix a bug so that when an exception is thrown with the LiveTradingResultHandler, the error is handled and the next scheduled event can happen as scheduled.
If backtesting, we need to check if there are realtime events in the past
which didn't fire because at the scheduled times there was no data (i.e. markets closed) and fire them with the correct date/time.
In live mode, no changes are needed.
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
This includes updating all usages of symbol as a security identifier to use the new type.
The type includes a unique field, SID, as well as the current ticker's value. This allows
for consistent addressability while also allowing the ticker to evolve over time with the
mapping changes.
Effort was made to maintain compile and runtime backwards compatibility.
Adds the ScheduleManager which allows an algorithm to add/remove scheduled events
Check out the ScheduledEventsAlgorithm for syntax
ScheduledEvents are at their core an IEnumerator<DateTime> that defines the event times coupled with a callback
IDateRule defines dates for events
ITimeRule defines time(s) on a given date for events
Adds concept of Subscription to contain everything a data feed needs in order to process single data feed item
Moves preparation of all data to data feed thread, algo thread receives data in format it needs
QCAlgorithm.SetUniverse( func ) allows selection based on market/symbol/dollar volume/price
Remove laziness from Slice as optimization, no order by in real time handler
In some cases we need to exit the applications, in others we just want to log.
For instance, if the transaction handler throws an unexpected exception then we
can't be confident in the state of our orders but if the live result handler fails,
the algo is still OK and consistent state, we just may not receive a packet for that time step
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
Martin Molinero