* Limit rounding interval to 1 day, add SubtractRoundDown and AddRoundUp functions
* fix error message
* Only subtract round down if period is greater than a day
* Tests
* Comment clarification
* Pivot solution to simple fix
* fix error message
* Remove RoundDown/Up limitations; add remarks
* address review
* DataConsolidator Wrapper for Python Consolidators
* Regression Unit Test
* Refactor Regression test
* Bad test fix
* pre review
* self review
* Add RegisterIndicator for Python Consolidator
* Python base class for consolidators
* Modify regression algo to register indicator
* unit test - attach event
* Test fix
* Fix test python imports
* Add license header file and null check
Co-authored-by: Martin Molinero <martin.molinero1@gmail.com>
* Live Coarse universe refactor
- Live trading will source Coarse and Fine fundamental data directly
from disk. Updating unit tests.
* Adds ILiveDataProvider interface
* Adds wrapper for IDataQueueHandler implementations
* Replaces IDataQueueHandler with ILiveDataProvider in
LiveTradingDataFeed
* Edits IDataQueueHandler documentation
* Maintains aggregation for current IDQH impls and skips for ILDF impls
* Note: No unit test was created for this method, go back and TODO
* Protobuf Market data
- Adding protobuf support for Ticks, TradeBars and QuoteBars. Adding
unit tests.
* Adds unit tests for LiveDataAggregator changes
* Fixes bug where custom data was not handled as it was before
* Fixes race condition bug because of variable reuse in class
* Add protobuf extension serialization
* Fixes for protobuf serialization
* Refactor
* Fix OptionChainUniverse
* replace BaseDataExchange pumping ticks with consolidators
* AlpacaBrokerage
* BitfinexBrokerage
* GDAXBrokerage
* OandaBrokerage
* InteractiveBrokers
* TradierBrokerage
* FxcmBrokerage
* PaperBrokerage
* etc
* WIP fixes for existing LTDF unit tests
* Fixes more LTDF unit tests
* make IDataAggregator.Update recieving Generic BaseData rather than Tick
* Change IDataQueueHandler.Subscribe method
* Some fixes after adding new commits
* Adds protobuf (de)serialization support for Dividend and Split
* Serialize protobuf with length prefix
* Fix missing LTDF unit tests
* Adds TiingoNews protobuf definitions
* fix comments
* more fixes on IQFeedDataQueueHandler
* disallow putting ticks into enumerator directly
* ScannableEnumerator tests
* fix OandaBrokerage
* AggregationManager unit tests
* fix AlpacaBrokerage tests
* fix InteractiveBrokers
* fix FxcmBrokerage tests
* call AggregationManager.Remove method on unsubscribe
* fix GDAX existing tests
* Fixes, refactor adding more tests for AggregatorManager
* Adds BenzingaNews protobuf definitions and round trip unit test
* Adds missing TiingoNews unit test to Protobuf round trip tests
* Improve sleep sequence of LiveSynchronizer
* need start aggregating first, and then can subscribe
* More test fixes and refactor
- Refactoring AggregationManager and ScannableEnumerator so the last is
the one that owns the consolidator
- Adding pulse on the main LiveSynchronizer
* Improve performance of LEquityDataSynchronizingEnu
* Add missing Set job packet method
* Minor performance improvements
* Improvements add test timeout
- Improvements adding test timeout to find blocking test in travis
* Improve aggregationManager performance
* Testing improvements for travis
* Remove test timeouts
* More test fixes
- Adding more missing dispose calls and improving determinism
* fix IEXDataQueueHandler and tests
* Final tweaks to LTDF tests
* more AggregationManager tests
* consume and log ticks
* fix test: couldn't subscribe to Forex tickers
* change Resolution for all bar configs
* Improve RealTimeScheduleEventServiceAccuracy
* refactoring: move common code to base class
* fixed bug; unsubscribe SubscriptionDataConfig
* Small performance improvement
* Minor fixes
* Avoid Symbol serialization
* Fixes coarse selection in live mode
* Fix for live coarse
* Adds protobuf (de)serialization support for Robintrack
* Adds round-trip unit test
* Minor performance improvements
* More minor performance improvements
* pass LiveNodePacket through to OandaBrokerage
* Fixes empty list becoming null value when deserializing with protobuf
* Reverts BZ live trading exception removal and fixes tests
* Refactor WorkQueue making it abstract
* Add try catch for composer
* Adds optional data batching period to LiveFillForwardEnumerator
* Override data-queue-handler with config
* Improve PeriodCountConsolidator.Scan performance
* Move batching delay to main Synchornizer thread
* Reverts addition of Robintrack protobuf definitions
* Give priority to config history provider if set
* Add Estimize protobuffing
- Add Estimize protobuffing support. Adding unit tests
* Always dispose of data queue handler
Co-authored-by: Gerardo Salazar <gsalaz9800@gmail.com>
Co-authored-by: Adalyat Nazirov <aenazirov@gmail.com>
- TickQuoteBarConsolidator will use previous bar. Updating unit tests
- QuoteBarConsolidator open ask and bid will match previous bar close
bid and ask. Adding unit tests
In `PeriodCountConsolidatorBase`, differentiate the type of the `PyObject` and create an `IPeriodSpecification` accordingly. If the `PyObject` is a C# `Func<DateTime, CalendarInfo>` or a convertable Python method, we create a `FuncPeriodSpecification` with it as a parameter. If the `PyObject` is a `datetime.timedelta`, we create a `TimeSpanPeriodSpecification` with it as a parameter after a conversion to `TimeSpan`.
- Adds example in `DataConsolidationAlgorithm`
- Adds unit test for `timedelta` overload.
Replaces Enum `CalendarType` for static class with the same name. This class defines two properties (`Weekly` and `Monthly`) that can be used to define the previous calendar date (Monday or 1st of current month) which will correspont to the `Time` of a `IBaseData` object.
Refactor `PeriodCountConsolidatorBase` to define use `GetRoundedBarTime` based on a period specification that depends on the constructor overload: `integer`, `TimeSpan` or `Func<DateTime, CalendarInfo>`. The last one can be set with the `CalendarType` properties.
The existing IdentityDataConsolidator consumes all ticks, completely ignoring
the tick type. I doubt this is ever the desired behavior, but given my
reluctance to break existing regression and unit tests as well as perhaps
user algorithms, I've added a layer on top to provide the proper filtering.
Removed the stub type which mirrored the TickAggregator and also expanded
the TickAggregator implementations to provide full coverage of the possible
ticktype/resolution cases: OpenInterestTickAggregator and IdentityTickAggregator
- Missing `event` keyword prevented pythonnet to recognize `DataConsolidated` as a event handler.
- Adds python version of `RenkoConsolidatorAlgorithm`.
All consolidators now clear the event handlers list when being disposed.
In addition, SubscriptionManager.RemoveConsolidator will now dispose of
the consolidator before returning. This ensures the consolidator and any
downstream indicators that were attached to it can be properly cleaned
by garbage collection.
* Fixes 5 warnings with code CD1572
* Adds the Xml Comment parameter and implements the missing selector parameter
* Fixes rest of the 13 warnings with code CS1572
WorkingBar resolution was not set explicitly and that made it incoherent with the Consolidator, since the default is minute. It causes IDataConsolidator.Scan to emit a bar that was already emited
Refactors existing consolidators, indicators, and helper methods to depend on
IBaseData instead of BaseData. These updates also defines an IBaseDataBar to
act as an abstraction point between TradeBar and QuoteBar.
Colton Sellers