- Fix Slice.Get OpenInterest type. Adding unit test
- Fix for SecurityCache that wasn't storing OpenInterest types
- Updateing regression tests to covere these usages
- Adding new ReferenceWrapper for structs, value types, to avoid thread
race conditions while reading and writting. In C# reference type
assignments are atomic, so it allows us avoid using locks.
- Slice dynamic data accessors will ignore QuoteBars and
Ticks TickType.QuoteBars for equities. This is to make slice dynamic
accessors deterministic and avoid breaking backwards compatibility when
adding QuoteBars for equities.
- Fixes:
- `Slice.GetValues`
Not returning the `Value` but the `KeyValuePair`
- `ExtendedDictionary.update(PyObject)`
Paramenter type should be `PyObject` not `PyDict`
- Adds unit test for `update()`
- Fixes `OrderListHash` of `PythonDictionaryFeatureRegressionAlgorithm` test.
Changes the return type of `keys()` and `values()` methods to `PyList`. Since `Keys` and `Values` return `ICollection` in some cases, the Python type was not consistently of `list` type.
`BaseDictionary` is an abstract implementation of `IExtendedDictionary` keyed by `Symbol` that implements Python `dict` methods. `Slice`, `DataDictionary`, `SecurityManager`, and `SecurityPortfolioManager` derives from it in order to behave like Python `dict`.
- Fixing Python slice enumeration which would not happen when custom
data was present. Adding unit test
- Fix Slice constructor which would fail to create data collections due
to relying on non-deterministic 'slice._data'. Adding unit test
- Improving custom data retrieval for symbols which have more than 1
data type in a slice. Adding unit test
- First step refactoring slice internally, no behavior changed
- 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
- 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
- Only define `DEBUG` is `SelectedOptimization` is not defined
- `DynamicSecurityData` will Keep a cache of the generic types
- Avoid using so much linq at `Security.Update()`
- `Slice` will also keep a cache of the generic types
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.
This includes updating all usages of symbol as a security identifier to use the new type.
The type includes a unique field, SID, as well as the current ticker's value. This allows
for consistent addressability while also allowing the ticker to evolve over time with the
mapping changes.
Effort was made to maintain compile and runtime backwards compatibility.
Adds concept of Subscription to contain everything a data feed needs in order to process single data feed item
Moves preparation of all data to data feed thread, algo thread receives data in format it needs
QCAlgorithm.SetUniverse( func ) allows selection based on market/symbol/dollar volume/price
Remove laziness from Slice as optimization, no order by in real time handler
This change adds OnData(Delisting data) event handler to the algorithm and is fired when a security gets delisted.
Likewise, when a security is delisted, data will stop being sent into the algorithm and if the algorithm has any
holdings then a MarketOnClose order is submitted at midnight on the last day of trading. If you require that the
algorithm does not sell its shares, then you must cancel the MarketOnClose order before close of trading.
Also cleans up IAlgorithm interface of unused/old methods
Slice is a new type that contains all the data from a time slice to be sent into an algorithm
Gerardo Salazar