A new IBrokerageCashSynchronizer interface has been added to allow brokerage implementations to handle the cash sync process. Most of the cash sync logic has been moved from the BrokerageTransactionHandler to the base Brokerage class.
The IB brokerage will not attempt to perform cash sync during server reset times, respecting the different regional schedules (see also #3413).
- For backtesting the algorithm thread will sequentially process pending
order requests
- Adding new non blocking `BusyCollection`
- Updating `UpdateOrderRegressionAlgorithm` that suffered of a race
condition: it supposed `OnOrderEvent` would be called after the call to
`Transactions.AddOrder()` was finished
- Removing `using QCAlgorithmFramework = QuantConnect.Algorithm.QCAlgorithm`
- Removing `QCAlgorithmFrameworkBridge`
- Removing `IsFrameworkAlgorithm`
- Making `EmitInsightBasedOnFill` private. Adding new
`IOrderEventProvider` exposing an `event` to which `QCAlgorithm` will
subscribe.
- `AccountType.Cash` algorithms will be allowed to manually trade and
emight insights manually or with alpha model.
- Classic Algorithms will emight insights based on order fills.
- To be able to update generated insights closed time, we will not
clone emitted insights.
- `InsightAnalysisContext` will update `AnalysisEndTimeUtc` when the
Insight period is closed and the period is `EndOfTimeTimeSpan`
- Adding new regression algorithm asserting on the new emitted insights
- Adding unit tests
- `LiveTradingResultHandler` will store `AlphaRunTimeStatistics`
- Making `DefaultAlphaHandler.ProcessAsynchronousEvents` virtual to
facilitate cloud changes
- `GetCashBalance()` will return a `List<CashAmount>`, will not need to
set conversion rates, which requires knowing what the account currency is.
- Removing `Global.Holding` conversion rate field. It wasn't being used
and required knowing what the account currency is.
- Adding equality operators for `CashAmount`. Adding unit tests.
- Removing `AccountCurrency` from `Cash` and `Brokerage` classes.
`ICurrencyConverter` will now provide the `AccountCurrency`
- Adding new static `OrderFee.Zero` which will return a 0 order fee in
`NullCurrency`
- Adding static `Currencies.USD` value, replacing all "USD".
- Addin new static `Currencies.NullCurrency`
- Updating Bitfinex `FeeModel` so it return fees in quote currency.
Adding unit tests
- Replacing `decimal` for `OrderFee` at the `OrderEvent`.
- Adding `FeeModelNotUsingAccountCurrency` regression test
- Adding unit tests for `CashBuyingPowerModel` and `SecurityMarginModel`
with non account currency fees
- added tracking of failed cash sync attempts and throw if maximum reached
- added extra log traces in IB GetCashBalance and in BrokerageTransactionHandler
- added endless loop unit tests for both BrokerageTransactionHandler and InteractiveBrokersBrokerage
LastFillTime is updated on each partial/fill order event
LastUpdateTime is updated on each submitted order event w/ update count > 0
CancelTime is updated on canceled order events
Also fixes bug in regression algorithm where it used Time instead of UtcTime
for creating the SubmitOrderRequest object.
The HasSufficientBuyingPowerForOrder method has been updated to return a result object including the reason the order cannot be executed.
The SetHoldings method has also been updated to display a message if CalculateOrderQuantity returns zero.
This PR is an attempt to reduce contention in concurrent dictionaries, replacing method calls using full locks with lock-free equivalents:
- dictionary.Count -> dictionary.Skip(0).Count()
- dictionary.Keys -> dictionary.Select(x => x.Key)
- dictionary.Values -> dictionary.Select(x => x.Value)
The most frequent usages of these methods are: CashBook, SecurityManager, UniverseManager and indirectly, SecurityPortfolioManager.
The reasons for this update are explained very clearly in this article:
https://arbel.net/2013/02/03/best-practices-for-using-concurrentdictionary/
The message for short option order events at expiration was "Automatic option assignment on expiration" for both ITM and OTM. It has now been corrected to "Option expiration" for OTM short options.
The same message is now also being reported in QCAlgorithm.OnAssignmentOrderEvent instead of the generic "Option Assignment" message.
- Created public property on ITransactionHandler that wraps the private OrderTicket dictionary. Allows BrokerageSetupHandler to add the order tickets
Refactored ToOrderTicket extension method to handle several types of order
With the update in the PR, cash synchronization in BrokerageTransactionHandler will now always be performed at 7:45 AM NewYork time, even if Lean is running in a different time zone.
Colton Sellers