- Improving OrderSizing.Value and Volume to include code in consumers
- OrderSizing.GetUnorderedQuantity() will adjust result by lot size
- ImmediateExecutionModels will use OrderSizing.GetUnorderedQuantity()
- OrderSizing.Value() will take into account ContractMultiplier
- Adding unit tests
- `TimeSliceFactory` will avoid creating empty collections
- `ExecutionModels` will check target collection count before trying to
enumerate
- Reduce calls to .`TotalPortfolioValue`
- `SecurityValues` will only be created when required
- `TimeKeeper` will use TimeZone unique Id as dictionary key. The
TimeZone hash is expensive.
- `AlgorithmManager` will avoid calling `DateTime.UtcNow`,
`ConvertFromUtc()` and `RoundDownInTimeZone()`
- 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.
The volume weighted average price execution model had its own implementation
of VWAP since the existing VWAP didn't perform the daily reset. The intraday
VWAP indicator has since been added to the indicators project so this is just
duplicate code.
- Typoes were fixed in `ImmediateExecutionModel.cs`;
- Refactors `PriceIsFavorable` methods in `StandardDeviationExecutionModel` and `VolumeWeightedAveragePriceExecutionModel` C# models;
- Adds python version of C# execution models
The execution models should maintain references to symbol data as long as
the security is a member of at least one universe. It's important to note
here that 'membership' in the universe is not the same as 'recently selected'
by the universe. A security remains a member even after it's been deselected
until it has zero holdings and zero open orders.
In the next commit we'll add an extra condition which will confirm that there
are also zero outstanding portfolio targets for the security.
These methods were phrased in the negative sense. This change
reads how one would expect, if certain conditons are met, then
buy -- vs, if certain condition is not met, don't buy.
VWAP will submit market orders while the current price is more favorable than VWAP.
STD will submit market orders while the current price is a configured number of
standard deviations away from the mean in the favorable direction.
Martin Molinero