- Completly move `DataManager` in front of `DataFeed`. Specifically
`AddSubscription()` and `RemoveSubscription()` implementations. Also
removing IDataFeed.Subscriptions
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/
IAlgorithm DebugMessage, ErrorMessage and LogMessage are now ConcurrentQueue<string> instead of List<string> because List.Add is not thread safe.
Copying a list (using ToList()) at LiveTradingResultHandler while adding an element to it at QCAlgorithm caused a runtime error.
IResultHandler has an Initialize method which accepts a job, so all instances should know
they job (algo id, proj id, user id) and so these methods shouldn't be requiring the field
Added Trade and TradeBuilder classes
Added UtcTime and OrderFee property to OrderEvent class
Added AlgorithmPerformance class with a few metrics + tests
Added portfolio statistics + rolling statistics
Closes#30 via PR #164
Thanks @SteffanoRaggi!
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.
Martin Molinero