The previous version was using unexisting data. At the moment, we only have hour and daily-resolution data for forex volume.
Once the resolution is changed, we have to modify the resolution of the indicator since both indicators in WeightedBy must have the same resolution.
This change will make it easier to add other planned brokerage features:
for Interactive Brokers, besides Financial Advisor support, we will be adding IB algorithmic orders soon (PR #1203).
In order to test the GDAX FillModel and FeeModel that respects both lot size, the fractionalQuantityRegressionModel was changed to use the GDAX Brokerage. This drastically changed the regression statistics for the regression test. These statistics have been updated
Decreasing the fractional quantity of the gdax lot sizes required test corrections for BrokerageTransactionHandlerTests specifically RoundOff_LessThanLotSize_Fractional_Orders, RoundOff_Short_Fractional_Orders, RoundOff_Long_Fractional_Orders order. The quantity of the test orders needed to be reduced in order to comply with the updated lot order sizes
Also needed to change the FractionalQuantityRegressionAlgorithm - which is supposed to have one order fail because the quantity is too small. This order needed a smaller quantity in order to fail with the new lot sizes
Updated FactionionalQuantityRegressionAlgorithm tests
This algorithm serves as an example for the SetSecurityInilializer for python feature
The date range for the C# version is changed to match existing data
Since the Bitcoin type derives directly from BaseData and BaseData
uses the same storage space for both the Time and EndTime properties,
the 'coin.Time =' line was constantly rewinding the EndTime far enough
into the past such that the FastForwardEnumerator would attempt to
skip and fast forward to more current data. This caused a never ending
loop of rewinding the time in Bitcoin and fast forwarding the time
from the live trading enumerator stack.
In this new nuget package, we have included two versions Python.Runtime.dll for macOS
We also add the instructions to compile pythonnet for different operational systems
Adds support for fee, fill and slippage custom modelling.
Adds CustomModelsAlgorithm to showcase the new feature
Modifies C# version of CustomModelsAlgorithm to match existing data in github
The previous version has an uneccessary Linq operation to order the results from a Historical Data request.
Also changes the algorithm period to match locally available data.
In this example, the custom data Time was set to Datetime.Now and it was not passing the FrontierAwareEnumerator. Now, EndTime is set to the current time of the default exchange.
AlexCatarino