Summary of members in python wrapper classes where pointing to other methods for reference when they should have a meaningful description to be used in documentation
Refactors existing consolidators, indicators, and helper methods to depend on
IBaseData instead of BaseData. These updates also defines an IBaseDataBar to
act as an abstraction point between TradeBar and QuoteBar.
Add the following methods corresponding unit tests to QuantConnect.IndicatorExtensions:
*EMA()
*MAX()
*MIN()
*SMA()
Add method to calculate default smoothing value for an EMA indicator
Adds WindowIdentity indicator and its test. We need this at WeightedBy to keep values and weights at sync (same sample number).
Adds WeightedBy indicator extension and a simple test in IndicatorExtensionsTests
Adds VolumeWeightedAveragePriceIndicator (VWAP indicator), its test and external data file for testing.
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
Removed IDataConsolidator from IndicatorBase
Renamed IndicatorBase.DataConsolidated -> Updated
ConstantIndicator is now sealed
IndicatorBase.Current is now protected set to allow ConstantIndicator to set it upon construction
CompositeIndicator wires up events on left/right to auto update himself following Updated events from both left/right (unless one is constant, this will not work with two constant indicators as left/right)
IndicatorBase now implements IDataConsolidated and fires the DataConsolidated event after each update.
The Of extension method now attaches a handler to the 'first' to update the 'second' and returns the reference to the 'second' for method chaining. See OfExtensionMethodTests.cs
Martin Molinero