- Adding `WorkerThread` class, wrapper for a worker thread that will
execute given `Actions`.
- Algorithm related code (`Construction`, `Initialization`,
`Execution` will be executed by the same `WorkerThread` instance,
this is required for `Python` debugging.
- Adding new `SetAccountCurrency()` for backtesting. Has to be called
before adding any `Security` or calling `SetCash()`, else will throw.
- Adding new Non account currency unit tests for `CashBuyingPower`,
`SecurityPortfolioModel`, `SecurityMarginModel`,
`SecurityPortfolioManager`, `Future/OptionMarginBuyingPowerModels`
- Adding new C# regression test using `SetAccountCurrency()`, one for
`CashBuyingPowerModel` and one for `SecurityMarginModel`
- Adding new Py and C# basic regression algorithms using
`SetAccountCurrency()`
- `Options` and `Futures` will use not use `AccountCurrency` as quote
Cash.
- `SecurityBenchmark` value will be in account currency
- `GetCashBalance()` will return a `List<CashAmount>`, will not need to
set conversion rates, which requires knowing what the account currency is.
- Removing `Global.Holding` conversion rate field. It wasn't being used
and required knowing what the account currency is.
- Adding equality operators for `CashAmount`. Adding unit tests.
- Moving `UniverseSelection.EnsureCurrencyDataFeeds` call into the
`IResultHandler` implementation through usage of the new `SetupHandlerHelper`
class, that will also set an initial conversion rate if none present.
- Adding regression test, that reproduces original issue
- ISetupHandler implementations will now use 50ms as sleep interval
while initializing the algorithm
- If the sleep interval is >= to 1s (default value) it will divide the
sleep operations into 5
Improves the message when the Loader cannot resolve the algorithm to load. It happens when the assemblies don't have a QCAlgorithm class that match the algorithm name or you have 2-of them so Lean doesn't know which one to backtest.
The possible Loader exceptions are thrown as `AlgorithmSetupException` to mach the pattern for exceptions during initialization.
This is performed w/in a try/catch which esures that we won't call PostInitialize
if Initialize throws an error, thereby preventing potential confusing in the reported
error message
Fixes#1778
- Move BacktestingFutureChainProvider provider to Lean.Engine.DataFeeds along with its options equivalent.
- EmptyFutureChainProvider: provider that returns an empty list of symbols
- CachingFutureChainProvider: implements caching by date
- BacktestingFutureChainProvider: provider that gets chain from local files
- LiveFutureChainProvider: provider that gets chain from external source (empty list of symbols for now)
- Created public property on ITransactionHandler that wraps the private OrderTicket dictionary. Allows BrokerageSetupHandler to add the order tickets
Refactored ToOrderTicket extension method to handle several types of order
- Moved provider implementations out of brokerages into their own classes
- Removed DefaultOptionChainProvider
- Added BacktestingOptionChainProvider and LiveOptionChainProvider
- Moved SetOptionChainProvider call from Engine to setup handlers
In BrokerageSetupHandler.Setup, the default value for the algorithm Settings.DataSubscriptionLimit is set to 100 only when using IB as a DataQueueHandler.
When using BrokerageHistoryProvider with InteractiveBrokers, GetOrderByBrokerageId calls on open orders were logging NullReferenceExceptions because SetOrderProcessor is called later, in BrokerageSetupHandler.Setup.
This PR reverts and replaces PR #674 because it caused issue #678.
The margin call model has been refactored and now contains both methods for margin call order handling (generation and execution).
Disabling margin calls is now much simpler:
Portfolio.MarginCallModel = MarginCallModel.Null;
List of changes:
- Added a new IMarginCallModel interface
- Renamed MarginCallModel to DefaultMarginCallModel
- Refactored margin call models by moving the GenerateMarginCallOrder method from ISecurityMarginModel to IMarginCallModel
- Disabled margin calls by default for live trading in BrokerageSetupHandler initialization
Martin Molinero