Commit Graph

7 Commits

Author SHA1 Message Date
Martin-Molinero 91e8393aac DividedEventProvider distribution computation (#4828)
* DividedEventProvider distribution computation

- Update regression algorithm which was using a different reference
  price when calculating the dividend
- Adjust divided event provider to compute distribution using factor
  file reference price, if not 0. Adding unit tests
- For equities, only emit auxiliary data points for
  TradeBar configurations, not for QuoteBars, nor internal.

* Address reviews

- Split and Dividend event provider will throw an exception when there
  is no reference price available. Updating `wm` factor file which was
  missing references price and regression algorithms using WM.
- Updating unit tests asserting new exception
2020-11-11 15:47:51 -03:00
Martin Molinero 499248fe12 Revert "Revert "Adding Support for Equity L1 Quote Data""
This reverts commit 8cd8d206ca.
2020-04-06 10:32:59 -03:00
Jack Simonson c6767780c2 Update regression test statistics 2020-03-26 18:29:29 -07:00
Martin Molinero 0027ab1e66 Regression test assert order list hash
- Regression tests assert order list hash value
- Normalizing some regression test behavior that had differences between
C# and Py
2020-02-19 20:26:12 -03:00
Gerardo Salazar 61aa0d3a65 Updates regression statistics
Please note that with these changes, any algorithms that
use daily data exclusively will have incorrect statistics.
2020-01-16 14:03:54 -08:00
Stefano Raggi 4e241dec52 Add missing list materialization in AuxiliaryDataEnumerator
- restored includeAuxiliaryData to false in SubscriptionDataReaderHistoryProvider
2019-01-17 20:22:49 +01:00
Stefano Raggi 24ccda8b9a Update SubscriptionDataReaderHistoryProvider to handle symbol changes 2019-01-17 12:49:16 +01:00