We enable Logging and Debug methods to accept python objects to avoid the need of calling the str method.
Those objects are safely converted into string objects.
Changing the default time zone after SetStartDate is set ends up with the algorithm's
UtcTime being incorrect. This can lead to incorrect start times in the data feed as
well
This is the default time span before market close that we'll allow an MOC
order to be placed. Nominally set to 15 minutes + 30 second buffer for
processing/transport.
It was not possible to add a security based on its historical data, since we needed to add the security before requesting its security data. Universe Selection algorithms are an example of such usage.
This method is being added to allow algorithms to complete initialization tasks that cannot be executed during Initialize, such as cancelling existing open orders in live trading.
This method will be called only once, when the warmup task is complete.
Closes#1043
Add MarketHoursDatabase.SetEntry and SetEntryAlwaysOpen. This allows runtime modification of the
market hours database which is necessary for correct custom data time zone handling.
Extracts complicate ternary logic into its own method and make it human readable.
Set the market hours entry for custom data universe subscriptions defaulting to the security's time zone.
In this update, methods overloads with decimal parameters accept python float.
- Fixes FractionalQuantityRegressionAlgorithm:
With the pythonnet update we can pass a python float where a decimal is required.
If we make a prediction for 1 day in the future, we actually mean 1 trading day.
This change updates the alpha analysis logic to take into account the security's
market hours.
In this PR we are disabling the default security seeding (automatically getting the last price for a security when added to the algorithm) for a couple reasons, both when using large universes:
- In live trading, these history requests are sent to a history server, potentially causing timeouts
- In backtesting, depending on the algorithm this could also cause slowdowns up to 30%
In #1390, we have implemented a feature that assured that prices from an option underlying are set to raw. If the algorithm adds options contracts with AddOptionContract method, that rule was not applied.
This PR is an attempt to reduce contention in concurrent dictionaries, replacing method calls using full locks with lock-free equivalents:
- dictionary.Count -> dictionary.Skip(0).Count()
- dictionary.Keys -> dictionary.Select(x => x.Key)
- dictionary.Values -> dictionary.Select(x => x.Value)
The most frequent usages of these methods are: CashBook, SecurityManager, UniverseManager and indirectly, SecurityPortfolioManager.
The reasons for this update are explained very clearly in this article:
https://arbel.net/2013/02/03/best-practices-for-using-concurrentdictionary/
Modifies the way we sample charts to be more like the equity sampling that we do.
In this case, we compute a sampling period based off of 1000 samples for the entire
backtest. In live mode, we'll just sample each minute.
The implementation of this method is critical to the workings of framework
algorithms and as such, we're not allowing it to be overriden.
Algorithms can receive signal events via the SignalsGenerated event.
This abstraction point is completely unwarranted. The signal object is really
just a DTO and it's extensible as it is currently defined. This also allows us
to enforce certain behaviors, such as internal set of GeneratedTimeUtc.
Removes GeneratedTimeUtc from the result object as it's now directly on the signal.
In the options trading, the strike price, the options settlement and exercise are all based on the raw price of the underlying asset instead of the adjusted price. In order to select the accurate contracts, we need to set the data normalization mode of the underlying asset to be raw.
IAlgorithm.FrameworkOnData is used to pulse models with new data each time step
IAlgorithm.FrameworkOnSecuritiesChanged is used to pulse models with security changes
These two functions need to be separate to ensure that if we add an indicator during
the securities changed event that it will get the data from the current time step.
This forces us to call the securities changed event before we invoke the consolidators
for the current time step.
AlexCatarino