When populate tick data from response, last size value assigned to quantity property. Also when aggregate ticks to trade bar sum of quantity assigned to volume property.
- Removing `AccountCurrency` from `Cash` and `Brokerage` classes.
`ICurrencyConverter` will now provide the `AccountCurrency`
- Adding new static `OrderFee.Zero` which will return a 0 order fee in
`NullCurrency`
- Adding static `Currencies.USD` value, replacing all "USD".
- Addin new static `Currencies.NullCurrency`
- Updating Bitfinex `FeeModel` so it return fees in quote currency.
Adding unit tests
The SubscriptionDataReaderHistoryProvider was using StubResultHandler, so no error messages were being shown or logged. By adding events to IHistoryProvider and SubscriptionDataReader, the dependency on IResultHandler could be removed completely and error messages are now pushed up the stack.
This is only a mechanical refactor for the updated IHistoryProvider.Initialize method in all IHistoryProvider implementations, call sites and unit tests.
This follows the pattern used by delisting events, where we send a warning event
before the start of trading on the trading day before the split will happen. This
change also adds a SplitType enum having a Warning and SplitOccurred values.
SecurityType and Market properties are already implicitly included in the Symbol property.
With this change we avoid forgetting to set these properties when creating HistoryRequest objects (issue #863)
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
Fixed bug where DataCacheProvider was returning a stream without closing
the stream. Also, ZipFiles returned from ZipFileCacheProvider are
effectively disposed.
Removed date field from IDataCacheProvider interface
This interface was built around the existing implementation of the
DataCacheProvider. It's purpose is to define a method for caching data
files. Currently, most data files are either read from disc or retrieved
remotely. The IDataChceProvider returns returns a Stream and can handle
many types of data. The IDataFileCacheProvider is needed because keeping data in memory will improve performance and overcome certain File read/write limitations (such as sharing violations) currently experienced by Lean.
There are two implementations of this interface. The first is the
SingleZipEntryDataCache. This is the default implementation. It does not
cache and returns the first entry found within a ZipFile. The second is
the ZipEntryCacheProvider. This is a rework of the existing
DataCachePrivider. It caches ZipFiles for up to 10 seconds. It can
return specific entries for option and future ZipFiles. Otherwise, it
returns the first entry in a ZipFile.
Added IDataFileCacheProvider as parameter to IHistoryProvider.Initialize()
The IDataFileCacheProvider is very useful for the IHistoryProvider in that it can eliminate the need for history request to touch disc. This can greatly improve peerformance and eliminate disc bugs associated with disc read/writes. To minimize changes throughtout Lean, the default value for the IDataFileCacheProvider is null in the IHistoryProvider.Initialize method.
IDataCacheProviders are passed down the Lean stack. Each instance of a Subscription Enumerator factory decides what cache it
will use. In other words, the IDataCacheProvider is not configurable from
config.json. The IDataCacheProvider is passwed down the stack form the
Enumerator factory to the IStreamReader where it is used to retrieve data.
Added useful helper method to Unizp files into a Stream.
The DefaultFileProvider is now configured as by default as the file-provider in config.json and passed in the the engine through the leanAlgorithmHandlers object.
The FileProvider is now passed into the TextSubscriptionDataSourceReader and ZipEntryNameSubscriptionDataSourceReader. Most of the changes in this commit are just getting the FileProvider to those two methods.
Added futures symbols map file to the project due to very slow IQFeed symbol update function (account changes?)
Changed BasicTemplateOptionsAlgorithm.cs to run a single option position (enter/exit)
Added futures market hours with help of Deval. This needs more tests in the future.
Added several futures exchanges. Some groundwork for future use of exchanges in the future symbols.
Removed IQFeed futures symbols map. Map is now generated and saved automatically, effectively removing the issue of IQFeed arbitrary renaming futures symbols
Changed IQFeed universe file downloading intervals from daily to weekly.
- Added IQFeed options support to toolbox: option chain universe, option symbol list, subscriptions, live prices
- Added LiveTradingDataFeed to support options live screaming
- Added IB live options trading support: trading orders, holdings, live option exercising
- Modified ISymbolMapper interface to support derivatives (options, futures)
- Fixed minor bugs with (introduced ealier) symbol changes for options
Tested with IQFeed version 5.2.4.2. IB TWS offline version 957.
Adds the IQFeed to the Toolbox:
IQFeedDataQueueHandler implements IDataQueueHandler and
IHistoryProvider
Changes config.json to include IQFeed configuration.
At config.json "data-queue-handler" and "history-provider" should point to
newly created IQFeedDataQueueHandler to make the implementation work
Adds BasicTemplateForexAlgorithm.cs to test IQFeed implementation
Jared