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* Delete QuiverHouseDataDownloader.cs
* Delete QuiverSenateDataDownloader.cs
* Delete QuiverPoliticalBetaDataDownloader.cs
* Add files via upload
* Delete QuiverHouse.cs
* Delete QuiverSenate.cs
* Delete QuiverPoliticalBeta.cs
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* Delete QuiverDataAlgorithm.cs
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* Addresses self review: Cleans up code and adds new unit tests
* Adds Quiver* C# files to project
* Adds new unit test for QuiverCongress
* Adds Python algorithm example
* Address self reviews
- Adding some missing xml docs
- Removing unrequired imports.
- Minor rename from Date to ReportDate
- Live trading will throw InvalidOperationException
* Fixes for example algorithms
Co-authored-by: Gerardo Salazar <gsalaz9800@gmail.com>
Co-authored-by: Martin Molinero <martin.molinero1@gmail.com>
* Adds new unit tests covering changes and testing for old case
* JsonConvert.SerializeObject would convert a `null` value into a
literal string of "null" when writing to a file via the ToLine
abstract method. We opt for an empty string whenever the underlying
value is null so that the parsing works correctly later in the
data loading cycle.
* 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>
* We now use the time at which Smart Insider added a given event to
their database. Because time indexes for Smart Insider are now
non-duplicated per symbol, the History request will properly work.
* Adds new unit tests for BenzingaNewsJsonConverter
* Fixes issue in BenzingaNewsDataConverter where we would
write data in local time, resulting in non-UTC times from
the deserialization in BenzingaNews.Reader(...). Unit tests
were added for this issue as well
* Fixes bug in ToCsvData() where an empty final value would not be
parsed
* Removes GetNextCsv()
* Reworked `Reader` logic in TradingEconomicsCalenda
* Use delimiter var as separator in TradingEconomics.Calendar
* Convert country names to uppercase in TradingEconomics.Calendar
* Updates TradingEconomics algorithms to use new event definition
* Separated Calendar and Indicator definitions into partial class
* Refactors portions of TradingEconomicsCalendar
* Makes TradingEconomicsCalendar.GetSource return RemoteFile for live
* Fixes bugs in TradingEconomicsEventFilter
* Fixes bugs in StreamReaderExtensions (thanks Martin :))
* Adds new unit tests to cover changes
* Adds support for live algorithms using TE calendar events
* Modifies TradingEconomics tickers to include country
* Fixes bug where `TECal.Clone(...)` could result in non-deterministic
results
* Fixes bugs in TradingEconomicsEventFilter
* Adds new CSV parsing methods in StreamReaderExtensions
* Moves ToolBox/TradingEconomicsCalendarTests to Common tests folder
* Updates TradingEconomicsCalendar tests to test CSV parsing
* TradingEconomicsCalendarDownloader now writes files to disk as JSON
event names
* Adds unit test for new filter method
NOTE: This is a breaking change for Trading Economics calendar events
property. Any previous string matching might result in a mismatch if
results were not previously being normalized.
* Write files by `UpdatedAt` date instead of the `CreatedAt` date
* Added ability to append to compressed files if file does not exist
* Cleaned up code as per review
* misc. documentation changes
* RSS converter now lives at: https://gist.github.com/gsalaz98/b87992cd5a5a214d01c63dbbefbbf12c
* Removed BenzingaNewsFactory as it is no longer needed
* Cleaned up code as per review to make this more maintainable
* Included new documentation
* Filter articles with no Symbols from being written
* General code improvements (duplication reduction, etc.)
* Avoids boxing of time values (performance)
This fix addresses Martin's review and concerns that the EndTime would
be rounded down before being emitted. Local testing shows that EndTime
and _algorithm.Time are aligned when the data is included in the Slice
at HH:mm:15s.
Regarding the bug fix, previously when Clone was called, we would set
EndTime equal to EndTime, advancing the time by one minute and fifteen
seconds. This would make the time show up as HH:mm:30s and a minute into
the future.
Additional note: the only place where EndTime is being rounded down is in
AlgorithmManager in the method EndTimeIsNativeResolution which is only
used for Consolidators.
This is done to accurately model live trading. Because PsychSignal
takes approximately 10-15s to aggregate their data for the past minute,
we need to take into account the live delay. Otherwise, we'll have data
emitted before it was actually available.
* Make Benzinga News Converter more efficient (and cleaner!)
* Implement JSON converter for serialization/deserialization process
* Fix bug where duplicate symbols would be added to news.Symbols
* Modify algorithm strategies
Gerardo Salazar