New custom data class USEnergyInformation with new demonstration algorithms, the updated config file for users to set their EIA token.
Adds `CloseTime` to represent the time that the data period end. `EndTime` represents, in turn, the time the data is emitted. There is an offset between `CloseTime` and `EndTime` that is defined by the difference between the last bar as emitted and its time.
In live mode, if the `USEnergyInformation.Reader` returns null, the `CollectionSubscriptionDataSourceReader.Read` method will pull for new data constantly. Therefore it should return an empty `BaseDataCollection` object.
This change enables using binaries from `Launcher` (and starting jupyter notebook from `Lean/Launcher/big/Debug`).
Adds `composer-dll-directory` key to `config.json`.
Previously, in Live mode, requesting History for multiple symbols in a single call returned an IEnumerable<Slice> concatenating the results of each request, so every Slice only had one data point and the list was not sorted by time.
This problem has been solved in the following steps:
- Added a new BrokerageHistoryProvider, to be used in live mode with all brokerages
- Removed IHistoryProvider implementations from IB, Oanda, FXCM brokerages
- Added new GetHistory(request) method to IBrokerage interface and implementations
- Moved CreateSliceEnumerableFromSubscriptions method from SubscriptionDataReaderHistoryProvider to the new abstract base class SynchronizingHistoryProvider, to enable reuse in BrokerageHistoryProvider
Refactored IDataProvider interface to return stream. The IDataProvider
Fetch method now only takes a key. The IDataProvider
has been reshuffled to be at the bottom of the LeanDataStack. It provides
data to the rest of the Lean stack. The default implementation of IDataProvider reads
data from disc.
All IDataCacheProviders now have constructors which take IDataProviders
and use them to find data on disc.
Renamed DataCacheProvider to ZipDataCacheProvider
Added comments to IDataProvider and it's implementations
Added comments to IDataCacheProvider and it's implementations
* Swallow bug in QuoteBar.Reader() if an error is thrown during parsing
Following the pattern in TradeBar.Reader(), the QuoteBar.Reader() method will now swallow a parsing error, log the error message and line number and then proced to return a default instance of Quotebar. The current implementation of QuoteBar.Reader() will stop the executation of the program if a parsing error is found. Given the amount of data Lean may parse during the execuation of an algorithm, it is better to be resiliant to small errors in the data than to stop the execuation of the program because of a malformated line of csv.
* Added QuoteBar.Reader tests
* Minor changes to config.json; back to proper defaults
Remove QLLib.NET reference
Added date to QuoteBar.Reader() error message
* Incorrect timezone specified on consolidator filter
Stefano Raggi