- Reduce the amount of `Path.Combine()` usages -> it has a peformance
overhead
- Improving `FineFundamentalSubscriptionFactory` GetSource algorithm,
now it will not check if each file exists while finding the appropriate,
since we already iterated the directory before
- `DefaultDataProvider` will not check if file exists since `new
FileStream` performance the same operation internally
Previously the enumerator would get stuck and stop emitting data if one of the underlying enumerators returned a data point with the time greater than the current time. The existing unit test would only emit the first data point for the two underlying streams.
The enumerator has been updated to support data points in the future and the unit test has been extended to assert both data point counts and values.
- Adding `IRealTimeHandler.OnSecurityChanged()` will be used to update
the `OnEndOfDay` security related scheduled events
- Adding `BaseRealTimeHandler.cs` to reduce code duplication in the
`Backtesting` and `LiveTrading` `RealTimeHandlers`
- Adding CSharp and Python regression tests
- Deprecating `OnEndOfDay()` callback because of two reasons, mainly
because Python does not support two methods with the same name, but also
because different assets have different market close times.
- `ScheduledEvents` set at the same time will now be deterministic
- Adding new `StepTimeProvider` that will advance time based on a
desired custom evaluator.
- Live trading `Options`, `Futures` and `Coarse` data will use a
`FrontierAwareEnumerator` + `StepTimeProvider`. This will allow to hold
the selection data until its the desired time
- `Universe.CanRemoveMember` will round the members time in the universe
based on the `UniverseSettings.MinimumTimeInUniverse`
- Moving `MapFile` and `FactorFile` resolution to the data feed stack so
that they do not add a performance overhead to the algorithm thread.
- Create logging string messaged only if required.
- Calculate `FactorFileRow.PriceScaleFactor` the least amount of times
- For backtests download RemoteFile just once
- Live subscriptions and history requests will continue to download the
`RemoteFile` on each request.
- Adding unit tests
With subscriptions at non-Tick resolution, suspicious ticks are filtered at the live data feed level for bar aggregations, while at Tick resolution they are never filtered (intentionally).
This change prevents ticks from being added to the consolidator update data, used by the AlgorithmManager to update tick consolidators (and indicators).
- `BacktestingBrokerage.Scan()` is now reentrant and was causing
duplicate processing and events. To solve this updateing the order
status keeped by the brokerage. Adding unit tests
- Adding `IStreamReader.RateLimit { get; }` specifying if a stream
reader `ReadLine()` calls should be rate limited by the source readers.
- Adding two failling unit tests in `master`
- `CustomMockedFileBaseData` was always incrementing data time in minutes
even if configuration was != Resolution, now it will increment based on
the configuration.increment
- In some tests SymbolCache.GetSymbol was being called before AddData, throwing an exception when launched as single tests.
- HandlesManyCustomDataSubscriptions was failing both locally and in Travis (only occasionally). This behavior started since #3040 was merged (LiveSynchronizer is now using a 500ms timeout for the reset event) and the asserts have been updated to reflect this.
- For backtesting the algorithm thread will sequentially process pending
order requests
- Adding new non blocking `BusyCollection`
- Updating `UpdateOrderRegressionAlgorithm` that suffered of a race
condition: it supposed `OnOrderEvent` would be called after the call to
`Transactions.AddOrder()` was finished
- When subscribing to `Coarse` data the `LiveTradingDataFeed` will use
the normalized `CoarseFundamental Universe Symbol` for that market ->
not using the random GUID
- Adding unit tests which reproduce issue.
- Removing `using QCAlgorithmFramework = QuantConnect.Algorithm.QCAlgorithm`
- Removing `QCAlgorithmFrameworkBridge`
- Removing `IsFrameworkAlgorithm`
- Making `EmitInsightBasedOnFill` private. Adding new
`IOrderEventProvider` exposing an `event` to which `QCAlgorithm` will
subscribe.
- `AccountType.Cash` algorithms will be allowed to manually trade and
emight insights manually or with alpha model.
Jared