In the advanced build settings, Language version was also upgraded from C# 5.0 to C# 6.0. The minimum Visual Studio version required will now be VS2015.
Calling Impromptu.ActLike<IAlgorithm> to make the python object acts like a IAlgorithm caused multiple AlgorithmPythonWrapper objects running in parallel to hold the same python object. That call was removed and instead we access the python object directly.
- Removes AlgorithmPythonUtil.py and add its code directly in AlgorithmPythonWrapper.cs
- Clean up: removes all references to IronPython and ImpromptuInterface
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
Stefano Raggi