- Replace Enum to string operations on Options enums, since it's
expensive
- Replace Enum IsDefined check since it uses reflection
- Improve OptionFilterUniverse linq operations
- Improve performance of SecurityIdentifier properties to avoid having
to extract them from properties always
- Avoid calling ToList for already list data collections (it creates a
copy)
- Avoid iterating over securities for which we have no holdings when
calculating TPV or MarginUsed
This refactor was an effort to bring into line the various concepts between the
FileSystemDataFeed and the LiveTradingDataFeed. The former works using enumerators
and a time sync loop that uses the concept of a frontier to decide when to 'pull-off'
data that's at or before the frontier. This makes the feed uninterested in how the
data (via enumerators) is provided, and only concerns itself with things at the
subscription level, that is, time syncing and universe selection invocation.
These concepts were brought over to the LiveTradingDataFeed with some modification.
This change heavily uses object composition of enumerators to handle the various
concerns that were previously within the enumerator loops in the LiveTradingDataFeed.
Some enumerator types that help accomplish these concerns:
FastForwardEnumerator - fast forwards an enumerator that contains old data
RateLimitEnumerator - prevents an enumerator from being invoked too frequently
TradeBarBuilderEnumerator - Builds trade bars from tick data
FrontierAwareEnumerator - Emits the underlying when the frontier is on or after Current
EnqueableEnumerator - Acts as a liason between a push/pull system using a queue
Martin Molinero