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* Changed default async to true and passed target.Tag
* Make execution models place orders asynchronously if specified
* Add unit tests
* Execution model default to asynchronous orders.
Also, minor fixes for tickets remaining fill quantity potential race conditions
* Add SecurityHolding.UnrealizedQuantity property
It gets the holding quantity the security will have once all open orders are filled.
Added for thread safety reasons when execution models place asynchronous orders and need to calculate the actual quantity needed to reach the target of there are open orders
* Some cleanup
* Adjust projected holdings quantity on splits
* Minor fix
* More changes and cleanup
* Minor fix
* Improvements for thread safety
* Add IOrderProvider.GetProjectedHoldings to get projected holdings atomically
* Minor unit tests fix
* Add ProjectedHoldings DTO class
* Address peer review
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Co-authored-by: arthiondaena <arthiondaena@gmail.com>
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* Order handling improvements
- Execution model will only trigger market order if they are above the
minimum order margin portfolio percetage value
- SecurityCache.Reset is complete
* Python Import fixes
- Add regression test for ImmediateExecutionModel minimum order margin
check
- Improving OrderSizing.Value and Volume to include code in consumers
- OrderSizing.GetUnorderedQuantity() will adjust result by lot size
- ImmediateExecutionModels will use OrderSizing.GetUnorderedQuantity()
- OrderSizing.Value() will take into account ContractMultiplier
- Adding unit tests
- `TimeSliceFactory` will avoid creating empty collections
- `ExecutionModels` will check target collection count before trying to
enumerate
- Reduce calls to .`TotalPortfolioValue`
- `SecurityValues` will only be created when required
- `TimeKeeper` will use TimeZone unique Id as dictionary key. The
TimeZone hash is expensive.
- `AlgorithmManager` will avoid calling `DateTime.UtcNow`,
`ConvertFromUtc()` and `RoundDownInTimeZone()`
This model was assuming that the history request used to warm up the indicators contains the 'close' column which is only valid for Equity.
The models were also refactored to update the indicators without a consolidator since the last data point from the history request was not pushed throught the indicators.
- This commit is related to PR 19 in QC/pythonnet
- C# decimal will be cast to C# double and converted into python
float
- Adding new `decimal.py` into the python algorithm project. This is
required for backwards compatibility with users performing operations
over expected decimal types (like `Price`)
- Updating two python regression test algorithms using custom python
execution models to be aware and ignore floating point precision errors
when handling order sizing.
- Typoes were fixed in `ImmediateExecutionModel.cs`;
- Refactors `PriceIsFavorable` methods in `StandardDeviationExecutionModel` and `VolumeWeightedAveragePriceExecutionModel` C# models;
- Adds python version of C# execution models
Jhonathan Abreu