Commit Graph

7 Commits

Author SHA1 Message Date
Martin Molinero 20c589f0fe Validate option universe selection data
- Remove unused `OptionChainUniverseDataCollectionAggregatorEnumerator`
- Refactor `BaseDataCollectionAggregatorEnumerator` and
`OptionChainUniverseDataCollectionEnumerator` to avoid emitting invalid
data points
- Updating regression tests statistics
- Adding unit test
2020-01-27 19:11:17 -03:00
Martin Molinero 0789559402 Add live mode implementation
- Fix bug in live mode custom universe,
`BaseDataCollectionAggregatorEnumerator` returning false was causing the
subscription to be removed completely
- Adding unit test
2019-11-20 17:22:04 -03:00
quant1729 d2aad44272 Updated code as per PR discussion 2017-01-06 22:46:42 +08:00
quant1729 e45e63202e Removed unnecessary aggregation in option chain data collection 2016-12-28 10:53:41 +01:00
Michael Handschuh 85cde03280 Adds OptionChainUniverseDataCollectionAggregatorEnumerator
Phew, that was mouthful!
2016-04-07 14:12:44 -04:00
snugs f296d666ee Implements user defined universes
This places all security subscriptions within a universes
Subscriptions generated via calls to AddSecurity are place in a UserDefinedUniverse
UserDefinedUniverse will serve up a predetermined list of symbols on a requested interval
LiveTradingDataFeed - reworked custom enumerators to use RefreshEnumerator as wrapper for rate limitting
2015-10-21 13:05:17 -04:00
snugs 24d9511330 Return SecrityChanges from events
Maybe an event handler isn't the best way to do this, possibly
initializing the data feed with the universe selection instance
would be better, leaving as is for now
2015-10-21 13:05:16 -04:00