This type is just used as a container for generatd insights. Renaming in
preparation for a new InsightCollection to mirror the PortfolioTargetCollection
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.
The term 'alpha' is used to describe the entire algorithm. Therefore, 'alpha'
produces insights. From this we have things like IAlphaModel, which is the model
defining how insights are produced. We have IAlphaHandler, which defines how the
insights from a single 'alpha' (the algorithm) are managed, analyzed, and stored.
Types closer to the individual prediction level, such as InsightDirection, or
InsightScore relate directly to exactly 1 insight. The distinction between the
two became more clear as we developed the insights API, and from that effort it
was decided to harmonize alpha/insight terminology across the various QC systems.
We enable Logging and Debug methods to accept python objects to avoid the need of calling the str method.
Those objects are safely converted into string objects.
Changing the default time zone after SetStartDate is set ends up with the algorithm's
UtcTime being incorrect. This can lead to incorrect start times in the data feed as
well
This method is being added to allow algorithms to complete initialization tasks that cannot be executed during Initialize, such as cancelling existing open orders in live trading.
This method will be called only once, when the warmup task is complete.
Closes#1043
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.
In this PR we are disabling the default security seeding (automatically getting the last price for a security when added to the algorithm) for a couple reasons, both when using large universes:
- In live trading, these history requests are sent to a history server, potentially causing timeouts
- In backtesting, depending on the algorithm this could also cause slowdowns up to 30%
In #1390, we have implemented a feature that assured that prices from an option underlying are set to raw. If the algorithm adds options contracts with AddOptionContract method, that rule was not applied.
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 implementation of this method is critical to the workings of framework
algorithms and as such, we're not allowing it to be overriden.
Algorithms can receive signal events via the SignalsGenerated event.
This abstraction point is completely unwarranted. The signal object is really
just a DTO and it's extensible as it is currently defined. This also allows us
to enforce certain behaviors, such as internal set of GeneratedTimeUtc.
Removes GeneratedTimeUtc from the result object as it's now directly on the signal.
In the options trading, the strike price, the options settlement and exercise are all based on the raw price of the underlying asset instead of the adjusted price. In order to select the accurate contracts, we need to set the data normalization mode of the underlying asset to be raw.
IAlgorithm.FrameworkOnData is used to pulse models with new data each time step
IAlgorithm.FrameworkOnSecuritiesChanged is used to pulse models with security changes
These two functions need to be separate to ensure that if we add an indicator during
the securities changed event that it will get the data from the current time step.
This forces us to call the securities changed event before we invoke the consolidators
for the current time step.
- Move BacktestingFutureChainProvider provider to Lean.Engine.DataFeeds along with its options equivalent.
- EmptyFutureChainProvider: provider that returns an empty list of symbols
- CachingFutureChainProvider: implements caching by date
- BacktestingFutureChainProvider: provider that gets chain from local files
- LiveFutureChainProvider: provider that gets chain from external source (empty list of symbols for now)
Unlike other methods used to add securities to the algorithm that return a Security or a derived object, AddData was returning void. This commit change it to return Security for consistency.
This change will make it easier to add other planned brokerage features:
for Interactive Brokers, besides Financial Advisor support, we will be adding IB algorithmic orders soon (PR #1203).
The properties in the default instance can be modified by users duing Initialize.
These properties are always copied into all new orders submitted with any method available (Order, SetHoldings, etc.)
Stefano Raggi