- Remove unrequired symbol check
- Dispose of `ZipDataCacheProvider` used in unit tests.
To avoid issues with other tests since zip files could remain open.
Update test to the new crypto and equity subscriptions rules:
- Only consolidates trades
- Low resolution data are only trades.
Update and fix tests
Add missing minute sample files
Update Regression algorithms statistics
Crypto and Equities will consolidate trades by default
Daily and hourly resolution will return only trades for crypto and equities.
Update equity TAQ regression test
Add minute sample files
Updating regression algorithms
Update SpotMarket test cases
Add regression test for equity trades and quotes
- History request.
- Trades and quotes pumped into OnData.
- Subscriptions are added correctly.
Add sample data
Checks low resolution only subscribes to trade bars
Changes `GetLastKnownPrice` logic to retry to get non-null data after a first attempt. Previously, it would return null in the first attempt and illiquid securities would not have valid data to set its market price. In the second attempt, we increase the look-back period to the equivalent of three trading days worth of data.
The SubscriptionDataReaderHistoryProvider was using StubResultHandler, so no error messages were being shown or logged. By adding events to IHistoryProvider and SubscriptionDataReader, the dependency on IResultHandler could be removed completely and error messages are now pushed up the stack.
This is only a mechanical refactor for the updated IHistoryProvider.Initialize method in all IHistoryProvider implementations, call sites and unit tests.
- Adding an internal check to the HistoryRequest.FillForwardResolution {get}
that will return null when resolution is set to Resolution.Tick
- Adding unit tests which reproduce the original issue
Martin Molinero