This basic algorithm implements a `CustomPartialFillModel` class that chnages the behavior of the `FillModel.MarketFill` to simulate partially fill orders.
- Update regression algorithms stats after making SecurityCache ignore
QuoteBars for equity for OHCL values and GetLastData(). They were
affected since the `BenchmarkSecurity` used `.Price` which was QB for
equities. Order list hashes changed because SubmissionLastPrice will
now be TB instead of QB
The stale price message should use `ToStringInvariant` with `price.EndTime` for string represenation across different cultures. The former behavior has impact on the order list hash calculation.
- Disable order event streaming in backtest
- Add new OrderEvent IsUpdate flag to be set by the different brokerage
implementations
- Update regression test stats after rebase
- WarmupIndicator will be able to determine the correct type to use
- Fix bug in `History.GetMatchingSubscriptions()` which would use the
same TZ for exchange and data. Covered by regression algorithm.
- Consolidate will only infer `TickType` from `T` is not abstract
- Adding regression algorithm
- Slice will expose `Get(Type)` to get data by type, adding unit tests
- Fixes for C# RegisterIndicator API methods which were ignoring provided
type of T
- Fixes for Py RegisterIndicator API methods which was not using the
provided 'selector' method
- Adding C# and Py regression algorithm
- Add a couple of missing cases where we explicitly set tick type to
null and assert the default data type used
- Adding custom data consolidate for Py algorithm
When new securities are added to the universe, the `ReturnsSymbolData` is warmed up with historical data that may not have the same timestamp causing an index mismatch that leads to a rejection to several valid data. In this case, we will assume that there is a time correspondence similar to what is done in Python. Unit test was added.
`BlackLittermanOptimizationPortfolioConstructionModel` will consider a new view only if there is a new last active insight by updating the `ReturnsSymbolData` with the `Insight.GeneratedTimeUtc` instead of the `IAlgorithm.Time`. Consequently, the timestamp of the historical data is converted to UTC for consistency.
`BlackLittermanSymbolData` now rejects duplicate keys like its C# version: `ReturnsSymbolData`.
Finally, `BlackLittermanPortfolioOptimizationFrameworkAlgorithm` statistics was updated because of the bug fixes.
- SymbolData at Slice will keep track of the types it has and GetData
will always return in the same order, TradeBars, QuoteBars, Tick, Custom
- Fixing slice.Get(type) for custom type which relied on insertion order
- Updating regression test
- Reduce MinimumVariancePortfolioOptimizar precision goal so that both
CSharp and Py MeanVarianceOptimizationFrameworkAlgorithm return the same
results
- Limit factor file dates in factor file generator unit test
Martin Molinero