* Refactor user define universe handling
- Normalize user define universe additions and removals to behave like
other subscriptions without requiting special handling
* Minor fixes
Build & Test Lean / build (push) Has been cancelled
Regression Tests / build (push) Has been cancelled
* Add support for live price scaling
- Add support for live trading price scaling for continuous futures.
Adding unit tests
* Move live price scale application. Updating unit tests
- Live trading application of price scaling will happen before fill
forwarding and updating securities real time price. Updating unit
tests to reproduce issue
Updates usages of GetBaseDataInstance that have a config in scope to use this
new method. This method properly assigns the symbol to the newly created base
data instance. This enables some of the new flag methods to work as expected.
Updated other poor usages where we weren't setting the symbol property.
See #3618
- Custom data types will know whether or not Lean should use map files
- Updating regression test with sample custom data using map files,
which can run locally
- Adding unit tests for the `SubscriptionDataReaderHistoryProvider`,
checking it mappes equities and options correctly
> 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.
- Removing usages of Security.Configuration properties from existing
Volatility Models, without modifying existing interfaces. Adding unit
tests for existing behavior
- Adding new BaseVolatilityModel, which will have a setter for a
ISubscriptionDataConfigProvider which will be called by the system.
Adding unit tests for this behavior.
- Adding new `SubscriptionDataConfigExtensions` static class which will
provide methods used to determine different configuration properties for
a given set of `SubscriptionDataConfigs`. The behavior was extracted
from current `Security` class behavior regarding the `SubscriptionBag`.
Adding unit tests covering exepected behavior here.
Martin-Molinero