Build & Test Lean / build (push) Has been cancelled
Regression Tests / build (push) Has been cancelled
API Tests / build (push) Has been cancelled
Benchmarks / build (push) Has been cancelled
Report Generator Tests / build (push) Has been cancelled
Research Regression Tests / build (push) Has been cancelled
Syntax Tests / build (push) Has been cancelled
Python Virtual Environments / build (push) Has been cancelled
* Add SeedInitialPrices algorithm setting
This is true by default and indicates that the engine will seed initial prices right after the security is added or selected
* Update regression algorithms
* Update regression algorithms
* Update regression algorithms
* Refactor default securities seeding
* Minor fix
* Minro fixes
* Cleanup
* Updated and add regression algorithms
* Address peer review
* Centralize logic to get last known data for multiple securities
* Some cleanup
* Minor build fix
* Minor fixes
* More logic centralization
* Some more cleanup
* Cleanup
* Update regression algorithms and minor fixes
* Update regression algorithms
* Minor fix
* More minor fixes
* Update regression algorithms
* Cleanup
* Minor test fix
* Address peer review
* Minor fix and performance improvement
* Fix to seed open interest data
* Minor test fixes
* Address peer review
* Minor change
* Minor revert
* Minor fixes and improvements
* Disable initial seeding by default
* Minor fixes
* Cleanup
* Cleanup
* Minor fix
* Refactor user define universe handling
- Normalize user define universe additions and removals to behave like
other subscriptions without requiting special handling
* Minor fixes
* Fix: Add obsolete flag to AddUniverse coarse+fine
Added obsolete flag to AddUniverse(Func<IEnumerable<CoarseFundamental>, IEnumerable<Symbol>> coarseSelector, Func<IEnumerable<FineFundamental>, IEnumerable<Symbol>> fineSelector), added one time logging and altered docs accordingly.
* Update QCAlgorithm.Universe.cs
---------
Co-authored-by: Martin-Molinero <martin.molinero1@gmail.com>
* Initialize securities on re-addition
* Minor unit tests fixes
* Reset Index.ManualSetIsTradable when security is removed
* More changes to clean up and simplify
* Address security re-utilization only
* Cleanup regression algorithms
Build & Test Lean / build (push) Has been cancelled
Research Regression Tests / build (push) Has been cancelled
Python Virtual Environments / build (push) Has been cancelled
API Tests / build (push) Has been cancelled
Benchmarks / build (push) Has been cancelled
Regression Tests / build (push) Has been cancelled
Report Generator Tests / build (push) Has been cancelled
* Option universe improvements
- Improvement for resolution handling of option universes, affecting
performance in live mode. Adding regression algorithm
* Minor fix for research test
* Add Scheduled Universe Selection
- Adding `UniverseSettings.Schedule` that will allow users to
specify a custom selection schedule which is independent of the
underlying data frequency
- Adding unit and regression tests
* Add live trading schedule time shift
Build & Test Lean / build (push) Has been cancelled
Python Virtual Environments / build (push) Has been cancelled
Report Generator Tests / build (push) Has been cancelled
Research Regression Tests / build (push) Has been cancelled
API Tests / build (push) Has been cancelled
Regression Tests / build (push) Has been cancelled
Benchmarks / build (push) Has been cancelled
* Refactor universe historical data source
- Add new universe history API methods
- Refactor QuantBook UniverseHistory to use the universe selection
itself instead of a given func
- Refactor and rename fundamental types
- Refactor AddUniverse API to handle universe collection data which
holds another type internally, like fundamental
* Fix minor bug causing ApiDataProvider not to serve Bitfinex universe data
* Further improvements to add universe API
* Handle no selection function
Python Virtual Environments / build (push) Has been cancelled
Benchmarks / build (push) Has been cancelled
Build & Test Lean / build (push) Has been cancelled
Regression Tests / build (push) Has been cancelled
Research Regression Tests / build (push) Has been cancelled
* New Fundamental Data
* Minor CIK lookup fix
* Handle live mode & delete unexisting properties
* Minor coarse fundamental adjustment
* Add fundamental history support
* Fix unit tests
* Performance improvements
* Fixes
* Minor regression algorithm fix
* Improvements. Add FundamentalUniverseSelectionModel
* Change default values
* Fix unit test
* Minor tweaks
* Fix unit test
* Minor error handling improvement
* Fix rebase
- Lean engine will automatically add an options underlying if not
present, but in most cases the option chain will select the underlying
too, so let's make sure the configurations match. Previous to this
change 'fill forward' setting could be different causing the
underlying to be duplicated in the data stack
Build & Test Lean / build (push) Has been cancelled
Regression Tests / build (push) Has been cancelled
Research Regression Tests / build (push) Has been cancelled
Python Virtual Environments / build (push) Has been cancelled
- Custom data universe selection market hours. Adding regression test
asserting the behavior. Updating existing tests due to market hours
change, triggering selection always, even the 4th of July 2018
* Fixes Regression Algorithm Testing No Warm Up Requirement
* Removes Volatility Model Warm Up Requirement
If the volatiliy model is not ready, we will use the Brenner and Subrahmanyam (1988) approximation (BS88).
Lean will not set the volatility model if the user doesn't, since the BS88 can handle the null model case.
Regression Tests / build (push) Has been cancelled
Build & Test Lean / build (push) Has been cancelled
Research Regression Tests / build (push) Has been cancelled
- Fully reset the security cache when it's finally removed from the algorithm.
Adding regression algorithm reproducing issue
- Updating regression algorithms which would trade based on data
previously available
Build & Test Lean / build (push) Has been cancelled
Regression Tests / build (push) Has been cancelled
* replace to local functions as they are more performant
* fix random generator upper bound
Next() includes minValue, but not maxValue, so we increment it +1
* introduce abstract layers
* refactoring
* fix tets
* adapt tests
* fixup
* implement blackschole price model for options
* use risk free rate
* use ql price model
* wip
* change interface
* fix
* tidy up the code
* wip
* iterate groupped symbols
* wip
* wip
* fix
* allow symbol of different types
* improve settings
* wip
* iterate full range
* fix issue with negative option
* fix
* fixup
* use StandardDeviationOfReturnsVolatilityModel
* re-use existing tick types per security type
* parametrize underlying security type
* use default option style
* dynamic option price model
* fix enumeration
* test
* fix unit tests
* refactor code
* remove unused file
* minor tweaks and refactoring
* rename symbol generator class
* fix interface
* add comments
* more comments and unit tests
* more tests
* add disclaimer
* more tests
* more comments and tests
* split tests into different files
* tidy up the code
* tidy up the code; more tests
* refactor TickGenerator => use security price directly on each iteration
* remove dupe; reuse main constructor
* use SecurityManager, refactor code
* bugfix: save ticks in history array
* check volatility warm up & tests
* more unit tests
* describe volatility period span in settings
* rename command line option
* Minor adjusments. Address review
- Use Lean log handler instead of writting directly to console
- Rename BlackShcolesPriceGenerator to generically OptionPriceModelPriceGenerator
- Minor format clean up & standarization
- Add support for specifying the option chain size
* Rename TickGenerator private fields
* Fix unit tests
* fix tests class name
* Support tickers being specified
Co-authored-by: Martin-Molinero <martin@quantconnect.com>
Build & Test Lean / build (push) Has been cancelled
Regression Tests / build (push) Has been cancelled
* Align universe security and configuration TZ
- Make sure universe security and configuration tz are aligned always.
Adding unit test reproducing issue
* Address review UserDefinedUniverse will use UTC TZ
Regression Tests / build (push) Has been cancelled
Build & Test Lean / build (push) Has been cancelled
- Fix for adding continuous future and manually adding contract at the
same time. Continuous future was using the user defined universe
symbol and caused clashes. Adding regression test reproducing the issue.
Build & Test Lean / build (push) Has been cancelled
Regression Tests / build (push) Has been cancelled
* Alpha Streams improvements
- Warmup added securities so we can trigger an order right away
- Fix bug where AddSecurity returned a security which was not the one
being used
- Fix bug where EWAS PCM would remove from a dictionary while iterating
over it
* Fix unit tests
* Add QCAlgorithm.GetLastKnownPrices API
- Add new GetLastKnownPrices that will return the last known data point
for all subscribed data types.
- Fix for MHDB GetDataTimeZone which was using an invalid entry key
format for custom data.
- Fix for using GetLastKnownPrice/s to seed a security during creation,
when it's not added in the Algorithm.Securities collection
* Adding more unit tests for GetLastKnownPrice
* Address reviews
- Refactor GetLastKnownPrice/s to perform a single history request for
all data types
Build & Test Lean / build (push) Has been cancelled
* Attempt to remove SecurityInitializer from UniverseSelection stack entirely
* Fix broken Python Universe Selection model
* Remove mistake change (meant for another branch)
* Log security mode change once per universe addition process
* Limit max size of the warning queue to 10
* Only allow to emit once per backtest
* Set limit as var, if at limit suggest more
* Always suggest more warnings may exist because we opted to log only once
* Improves greeks configurability and defaults for all option asset types
* Makes `StandardDeviationOfReturns` configurable by users, so that
greeks can be loaded according to user expectations and the series
of returns that they'd like to compute for `n` periods and timespan
of `T`, as well as resolution of the data in live mode.
* Changes resolution to max resolution available for the default
volatility model created for the security. Usually this only applies
to live mode, but if creating an instance of the
`StandardDeviationOfReturns` volatility model and no `updateFrequency`
is provided, the resolution's time span will be used as the default
value. Backwards compatibility for equities is maintained.
* Changes defaults for `StandardDeviationOfReturnsVolatilityModel`
to warmup greeks faster for other derivative asset types
* Improves comments on `StandardDeviationOfReturns` for clarity on how
to use the volatility model for end users
* Fixes bug where TradeBar could not have proper Symbol set when getting
max resolution
* Applies to QCAlgorithm.Universe and StandardDeviationOfReturnsVolatilityModel
* Adds tests to check volatility model is updated at specified config intervals
* Address review: add shared method for (Relative)StandardDeviation
volatility models
* Adjusts logic to determine bar type
* Address review: order by TickType when getting configs inside volatility models
* Adds preliminary universe selection for Future Options
* Fixes scaling issues with Future Options
* Fixes scaling multiplying by 10000x instead of using _scaleFactor
* Fixes scaling for Tick
* Revert changes to Tick since it divides the scaling factor
* Changes stale method name to new method name after rebase
* Fixes selection bugs, adds new methods, and adds unit tests
* Fixes bug where Equity Symbol was created for an underlying
non-equity Symbol, resulting in equity data trying to be loaded
* Adds unit tests covering changes to Tick, QuoteBar, TradeBar and
LeanData
* Adds regression test for AddUniverseOption filter contract selection
for Future Options
* Addresses review - modifies the AddFutureOption signature
* Adds new AddUniverseOptions method overload
* Removes and adds a new unit test
* Misc. modifications to account for new changes
* Fixes bug where futures were loaded using default SID Date
* Refactors and removes unnecessary work
* Fixes regression algorithm, which previously made no trades
* Adds future option data
* Adds the corresponding underlying data, in this case, futures data
to enable usage of future options data
* Replaces data with new data (ES18Z20)
* Improves Future chain filtering and updates regression stats
* Add AddFutureOptionContract API
* Expands regression and unit tests to test in finer detail
* Adds Python regression algorithms for AddFutureOption[Contract] methods
* Adds new unit test for BacktestingOptionChainProvider
* Fixes bug with BacktesingOptionChainProvider where we
attempted to load the Trades option chain first, resulting
in breakage of backwards compatibility and limitation of the
option chain.
* Adds new regression algorithms (Py) to Algorithm.Python project
* Adds FutureOptionMarginBuyingPowerModel
* Modifies code paths used to select margin model
* Adds related unit tests for margin model
* Fixes issue with unit test and MHDB/SPDB lookup for Future Options
* Preliminary regression algorithm testing ITM call/put option buying
* Fixes bug where fee model used did not find non-US market
options fee model. We now use the futures fee model for future
options because IB charges the same commissions per contract
between futures and futures options
* Adds proper regression algorithm for ITM future options expiration
* Pushing broken algorithm for review
* Currently, algorithm does not fill forward, causing
a single future option to not get exercised when it is delisted.
* Adds FutureOptionPutITMExpiryRegressionAlgorithm
* Improves existing regression algorithm for call side
* Fixes bug in existing regression algorithm
* Adds AAPL daily data to advance enumerator for ^^^ fix
* Adds additional future option regression algorithms
* Adds Buy OTM expiration regression algorithms
* Adds Sell ITM/OTM expiration regression algorithms
* Adds missing Python regression algorithms
* Adds remaining Python regression algorithms and fixes issues
* Fixes naming issues and statistics
* Adds short option OTM regression algorithms (Py)
* Add license header and class comments to python algorithms
* Cleans up comments and docstrings
* Create Buy/Sell call intraday regression algo
* Redirects future options symbol properties to futures symbol properties
* Asserts exercise/assignment price and updates stats in regression algos
* Adds new unit test covering changes to SecurityService
* Adds comments and fixes failing test
* Partially fixes future option mis-calculated profit/loss
* Adjusts portfolio model to calculate FOP as a no upfront pay asset class
* Updates regression algorithm statistics
* Begin IB FOP support
* Initial support for FOP IB data streaming, live í¾
* Adds additional functionality to LiveOptionChainProvider
- Allows querying CME API to retrieve option chains for CME products
- Ultimately, it's also the groundwork for the CME
LiveFutureChainProvider
* Edits IDataQueueUniverseProvider interface to provide greater
control to implementors of it
* Misc. bug fixes required to get FOP data streaming through IB
* Adds comments, adds missing rategate call, and cleans up code
* Force exchange for FOP and Futures when no exchange is provided
* Fixes bug with Portfolio modeling across all asset classes
* Adds LiveOptionChainProvider tests for Future Options
* IB brokerage option symbol bug fixes and improvements
* Fixes contract multiplier lookup bug
* Fixes issue where we attempted to subscribe to IB data feed with canonical security
* Adds ES MHDB entry
* Reverts portfolio modeling changes for Futures Options
* Since IB eats into our account's cash balance when
a new FOP contract is purchased, we must model by applying funds
to our cash whenever a new purchase/sell occurs.
If we choose to model FOPs exactly as we do with futures, we
will end up with an invalid TotalPortfolioValue on algorithm
restart. By all means and purposes, FOPs are modeled exactly
the same as equity options with respect to the portfolio.
* Adds comments clarifying portfolio modeling and clarifies
existing portfolio modeling comments with additional context.
* Fixes IB symbol lookup for future options
* Fixes LiveOptionChainProvider looping 5 times per option chain
request, even on success
* Sets OptionChainedUniverseSelectionModel to produce a canonical
future/future option/option Symbol to avoid creating two Symbols
* Adds GLOBEX future option symbol mapping from future -> fop
* Fixes LiveOptionChainProvider loading wrong contract option chains
* Fixes loading of futures options ZIP files when backtesting
* Adds a string -> decimal JSON converter
* Additional fixes/refactoring to the LiveOptionChainProvider
* Adds tests for changes to Symbol and LeanData
* Reverts changes to IB-symbol-map
* Fixes Value for mapped future options tickers
* Fixes Symbol test
* Changes path of future options to future's expiry date
* Extra changes made to remove scaling from writing CSV
* Added method to map from FOP Globex -> FUT Globex
* Fixes MOO and MOC orders for future options
* Note: this order type might not be supported by IB or CME.
* Bug fixes and updates unit tests
* Update regression tests and data format
* Rebase changes
* 1. Multiple bug fixes for LiveOptionChainProvider, reverts IQFeed changes
2. Address review (partial): Code reuse and cleanup
1.
* Modifies check in
`AddFutureOptionShort(Call|Put)ITMExpiryRegressionAlgorithm`
to ensure no buys have negative quantity
* Code reuse changes in IB brokerage
* Bug fix in IB brokerage where we assigned the FOP expiry
as the futures expiry (requires verification)
* Doc changes and adds missing summaries/license banners
* Disposes of HTTP client resources in LiveOptionChainProvider
* Renames classes and adds FutureOption folder in Common/Securities
2.
* We revert back to the quotes API for the option chain,
since the settlement API sometimes had missing strikes.
* Fixes future option expiry being set as future's expiry
in LiveOptionChainProvider
* Fixes bug where wrong option chain was selected because of bad
expiry lookup in the futures expiries returned from CME
* Fixes multiple looping bug in LiveOptionChainProvider
* Adds strike price scaling for LiveOptionChainProvider
* Reverts IQFeed changes and simplifies interface upgrade changes
Some additional challenges we'll have to solve as part of FOPs:
- The `OptionSymbol.IsStandard` method makes the assumption that
weeklies contracts follow the pattern equities follows, which
does not apply to Futures Options
- The Subscription created in:
`OptionChainUniverseSubscriptionEnumeratorFactory`
...adds a Trade config. For illiquid contracts, this
will delay universe selection for the option symbol
until we get a trade. However, if we add a quote config,
the data would instead be loaded based on the first quote
we received from the brokerage.
But since we're currently using a trade config, illiquid
contracts won't start streaming data until it receives a trade.
NOTE: this commit is a WIP to addressing the reviews received in the PR,
but has been committed early for efficiency in the review process
* Fixes regression algorithms and misc. bugs
* Fixes map file lookup for non-equity options
* Adds extra assertion at end of algorithm to ensure no holdings are
left when the algorithm ends.
* Adds FutureOptionSymbol, allowing all contracts through as standard
* Changes SPDB to allow defaulting to underlying future symbol
properties if no entry is found for the given FOP
* Fixes calls to SPDB in SecurityService, IBBrokerage
* Reverts AAPL daily ZIP file to fix majority of regression algorithms
* Adds FOPs symbol properties
* Fixes existing symbol properties for a few futures
* Adds tests for changes to Symbol Properties Database
* Removes string SPDB lookup method
* Updates tests and misc callees of previous method
* Updates all regression tests to use data of already expired contracts
* Adds Futures Options Expiry Functions tests
* Adds required futures data for 2020-01-05
* Address review (partial): Expands test coverage and fixes tests
* Set option chain tests parallelism to fixture only
* Fixes broken test for contract month delta for FuturesOptionsExpiryFunctions
* Changes delisting date logic for Futures Options
* Address review: removes duplicate code, misc code fixes
* Bug fix in MarketHoursDatabase.GetDatabaseSymbolKey() where
we would use the underlying's Symbol for lookup in the MHDB
* Adds missing license banner
* Removes Futures Options entries from MHDB
* Adds new tests
* Adds SecurityType.FutureOption
* Converts any underlying comparisons and uses SecurityType directly
instead for FOP specific behavior
* Extra code modifications to acommodate new SecurityType
* Addresses review: fixes order fee bug on exercise
* Additional bug fixes and adding of SecurityType.FutureOption
* Updates regression algorithms OrderListHash
* Fixes various bugs in IB live implementation
* Fixes bug setting the right contract expiration date for FOP
generated by LiveOptionChainProvider
* Adds new function to FuturesOptionsExpiryFunctions
* Clarifies parameter names better in some functions/methods
* Fixes bugs in IB brokerage for FOPs
* Address review - code cleanup and refactor
* Remove MappingEventProvider, SplitEventProvider, and
DividendEventProvider for Futures Options in
CorporateEventEnumeratorFactory
* Address review: Use MHDB key resolver in SPDB
* Makes regression tests pass and adds comment for expiry issue
* Fixes MHDB lookup on string symbol method
* Adds Futures Options greeks regression algorithm (C# only)
* Adds explanitory comment on MHDB FOP lookup
* Remove python from FutureOptionCallITMGreeksExpiryRegressionAlgorithm
* OptionChain and OptionContract improvements
- QCAlgorithm.AddUniverse will return the added Universe instance.
- Adding new OptionChainedUniverseSelectionModel will monitor a Universe changes
and will spwan new OptionChainUniverse from it's selections. Adding
regression test Py/C#.
- Adding new OptionContractUniverse that will own option contracts and
their underlying symbol. Adding regression test
- Fix double notification for security changes, bug seen in updated
UniverseSelectionRegressionAlgorithm
- Remove UniverseSelection special handling for Option and Future chains
- Fix DataManager not removing SubscriptionDataConfigs for Subscriptions
which finished before being removed from the universe
- Refactor detection of user added Universe so that they do not get
removed after calling the UniverseSelectionModel
* Add check for option underlying price is set
* Address reviews
- Adding python regression algorithm for
`AddOptionContractFromUniverseRegressionAlgorithm`
and `AddOptionContractExpiresRegressionAlgorithm`
- Rename QCAlgorithm new api method to `AddChainedOptionUniverse`
* Fix universe refresh bug
- Fix bug where a universe selection refresh would cause option or
future chain universes from being removed. Adding regression algorithm
reproducing the issue.
* Rename new option universe Algorithm API method
- Rename new option universe Algorith API method from
AddChainedOptionUniverse to AddUniverseOptions
- Rebase and update regression test order hash because of
option expiration message changed
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
- `AddUniverse` call will add new Universe to the pending collection which
will be consumed at the `OnEndOfTimeStep` where it will be added to the
data feed, same as we do for the `UserDefinedUniverses`. This is
required since the start and end date, during initialize, is consumed by
these universe subscriptions.
-Adding unit test.
* Deleted regression algorithms because they tested behavior similar to
other existing regression algorithms
* Fixed new bug in regression algorithm due to AddData changes
* Added unit tests for wrapt version and package existence
* Fix issue where data would be set to raw normalization mode
This is being done in an effort to prevent symbol collisions within the
custom data (SecurityType.Base) namespace. The custom data type's name,
is used for disambiguation. As written, this change will break several
user algorithms that still rely on using the implicit string -> Symbol
lift. Providing this type information is optional an currently only being
used by AddData<T> methods. Other consumers of SecurityType.Base symbols
arn't at risk for collision, such as the UserDefinedUniverse, ScheduledUniverse
and others that are LEAN controlled. In order to maintain backwards compatibility,
the SymbolCache was updated to do a hard search when the requested ticker was
not found, looking for the prefix ('ticker.').
Fixes#3332
> This PR is a mechanical refactor, no behaviour changed
- Obsoleting `DataNormalizationMode`. Replacing the usaged by requesting
the `SubscriptionDataConfigs` to the new `SubscriptionDataConfigService`
> Note we still need to refresh the Security.DataNormalizationMode
property.
> 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`
- Adding new ISecurityService and its implementation SecurityService.
Expose by SecurityManager.
This class will expose a method for creating new securities. The
SecurityManager is exposing this new interface, calling _securityService
internally, so Future/OptionUniverseSelectionModel.cs can use it
- Replacing all usages of SecurityManager.CreateSecurity for new
ISecurityService
- Modifying `Cash.cs` and `CashBook.cs` `EnsureCurrencyDataFeeds()` to
return newly added `SubscriptionDataConfig` instead of `Security`. This
will avoid using `Security.Subscriptions` at call site.
- Moving old SecurityManager.CreateSecurity into new
SecurityServiceTests.cs
- Adding new and obsoleting old constructors which received
SecurityInitializer as a parameter.
- Extracting the setting of Underlying security at UniverseSelection for
Option and Future chain universes.
- Obsolete Universe.CreateSecurity, Universe.SetSecurityInitializer,
Universe.GetSubscriptionRequests(Security security, DateTime currentTimeUtc, DateTime maximumEndTimeUtc)
- Adding new GetSubscriptionRequests() overload that will receive
instance which implementes new ISubscriptionService
- UserDefinedUniverse will stop using Security.Subscriptions
We had an issue with the data feed picking up universe/security changes
too quickly, thereby preventing user code from being able to configure the
security object properly. Specifically, users were having an issue setting
the data normalization mode of options and underlying equity securities. By
the time the user code had set the data mode, the data feed had already
created a subscription and began processing it, so the changes were never
seen in the data feed.
This change moves all security/universe changes into pending lists and at
the end of the time step applies those changes. Security objects are still
added directly to the SecurityManager for instance access, but we delay in
adding the security to the universe and the universe to the UniverseManager.
Once added to the universe manager, an event is fired and the data feed will
process the new subscriptions.
This setting forced the data feed and algorithm threads to synchronize every day
at midnight. The changes to the regression values are due to losing the benchmark
sample at midnight
Add MarketHoursDatabase.SetEntry and SetEntryAlwaysOpen. This allows runtime modification of the
market hours database which is necessary for correct custom data time zone handling.
Extracts complicate ternary logic into its own method and make it human readable.
Set the market hours entry for custom data universe subscriptions defaulting to the security's time zone.
If we make a prediction for 1 day in the future, we actually mean 1 trading day.
This change updates the alpha analysis logic to take into account the security's
market hours.
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/
JosueNina