- `HistoryRequestFactory` will not sure extended market hours for hour
resolution when determining the start time using quantity of bars.
Adding regression test
* regression tests
* fix: apply the same time convertion to history request time as for data time
* ver2
* fixup
* unit tests
* do not need this conversion because RoundDownInTimeZone returns in proper TZ
* comment
* requested changes
* refactoring
* more refactoring
* fix existing test: should return Sunday if open
* more symbols
* fix existing tests: submit new btcusd data
* fix
* add Cfd symbol
The `NullReferenceException` type is intended to only be thrown by the CLR.
In most cases, it should be converted to an `ArgumentException` or an
`InvalidOperationException`, depending on if the null value is a parameter
to the current method or not.
The `Exception` type should never really be thrown as it doesn't provide any
additional information or hints as to the issue. It also forces users that
would like to handle expected exceptions to catch all exceptions. These are
converted to an exception type that more accurately describes the reason for
raising the exception: `KeyNotFoundException`, `InvalidOperationException`
> This PR is a mechanical refactor, no behaviour changed
- Obsoleting `IsFillDataForward`, `Resolution`, `IsExtendedMarketHours`
`Security` configuration properties. Replacing there usages by
requesting the `SubscriptionDataConfigs` to the new
`SubscriptionDataConfigService`
- Removing usages of Security.Configuration properties from existing
Volatility Models, without modifying existing interfaces. Adding unit
tests for existing behavior
- Adding new BaseVolatilityModel, which will have a setter for a
ISubscriptionDataConfigProvider which will be called by the system.
Adding unit tests for this behavior.
- Adding new `SubscriptionDataConfigExtensions` static class which will
provide methods used to determine different configuration properties for
a given set of `SubscriptionDataConfigs`. The behavior was extracted
from current `Security` class behavior regarding the `SubscriptionBag`.
Adding unit tests covering exepected behavior here.
This method is a convient way to check if the security has a subscription that represents custom data. It returns true if the security contains at least one subscription that represents custom data
Added support for history requirements, exposed by vol models. AM processes requirements.
Added new volatility model - standard deviation of returns - default vol model. Compared its results with publicly available.
Refactored option pricing engine to support optimal approximation calculations.
Added basic greeks approximation in case they are not available in QL. Tests.
Updated BasicTemplateOptionHistoryAlgorithm to print greeks.
Martin-Molinero