Energy futures (CL, HO, RB, NG) expire in the month before the contract month.
To handle these properly, the following changes have been implemented:
- the AlgoSeekFuturesReader has been updated to create the future symbol with the correct expiry date
- the zip entry names in futures data files now contain the full expiry date (in addition to the contract month)
- the sample data files have been updated to use the new zip entry names
- new unit tests have been added and existing ones updated
Some algorithms had dependencies outside of the file that needed
to be copied into each project. The alternative here is to move
the Bitcoin and QuandlFuture type into Common\Data or similar
The Crypto security can be modeled with both trades and quotes easily, therefore it is necessary to make sure that the LeanData, LeanDataWriter and associated BaseData.Reader() methods can read/write both Trades and Quotes.
Because cryptocurrencies can be either Trades or Quotes, the Crypto security type needs it's own switch statement in LeanData.GenerateLine. This produces non-scaled TradeBars or QuoteBarrs.
This method takes a path and will return a Security and DateTime. This is useful in the ApiDataProvider that uses the api to retrieve files that are not present on disc. The IDataProvider only ha a path to the file. Using this method, the ApiDataProvider can extract the useful information from the path to communicate with the api.
This method is used by both Future and OptionsChainUniverse. This method is useful, espeically in the SecurityManager. It will eventually be used there.
Stefano Raggi