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* Support sourcing custom data from ObjectStore
* Add Python regression algorithm
* Wire engine to pass ObjectStore down to the stream readers
* Minor changes
* Minor unit tests fixes
* Remove unused SetupHandlerParameters.ObjectStore
* Minor changes
* Minor changes
* Support single-file zipped data to be sourced from object store
* Assert object store custom data history requests in regression algorithms
* Add custom object store data live data feed unit test
* Add multi-file object store custom data regression algorithms
* Minor fix
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- Zip entries will be sourced from cache provider
- Option underlying will use SubscriptionDataSource to fetch it's data.
Fixing bug where it would let through an old data point, or miss
sending data through.
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* Add BaseDataCollectionAggregatorReader
- Add enumerable for BaseDataCollection
- Add BaseDataCollectionAggregatorReader
- Clean up CollectionSubscriptionDataSourceReader
* Address reviews
- Add new FileFormat that will be handled by the new Reader
- Adding unit tests for the new BaseDataCollectionAggregatorReader
- Some DataSourceReader duplication cleaning up
* Minor adjustment after some live trading tests
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* Use lean data key as param for request
* key -> filePath rename and some cleanup
* Refactor
* Add Organizations Endpoints
* Add some organization api wrapper objects
* Address namespace issue
* Reorganize Api Test into seperate files using one ApiTestBase
* Add Organization tests
* Use capitalized "API" test namespace to reduce amount of file changes
* Add License to test base
* Update /data endpoint functions and response objects
* Update ApiDataProvider Logic
* Handle deserialization of organization products
* Simplify converter
* Only throw for equity requests when not subscribed to map/factor files
* Add missing header
* Make arguement exception
* Api adjustments
* Add Zip factor and map file providers
- Common project will now reference Compression project and not the other way
round.
- Adding Zip FactorFile and MapFile providers
* Refactor FactorFileProvider to use DataProvider to fetch files
* Use resulting MinimumDate in construction of FactorFile
* Nit FactorFile comments and arrangement
* Refactor MapFileProviders to use DataProvider for fetching files
* Refactor ZipFileProvider
* Clean up
* Refactor Backtesting Future/Option chain providers to use dataprovider
* Fixes for data/ endpoints and test adjustments
* Response objects adjustments/cleanups
* ApiDateProvider fixes and testing
* Add LocalZipFactorFileTests
* Update ApiDataProvider download test to verify stream is not null
* Implement posting of agreement summary and signed time
* Mark all Api related tests as explicit and document details on running
* Clarify default token on ApiTestBase
* Adjust summary
* Update Api responses for QCC, except org products which are sold in USD
* Implement cache expiration for zip MapFile and FactorFiles. Adding unit tests
* Fix multiple markets for ZipFactorFile provider
* Use Symbol as cache key
* Api.cs review
* Dispose of factorFileStream after reading
* Use zip.EntryFileNames
* Address a few reviews
* Few more fixes
* Address Api Review
* Add Job Org id to config
* Minor tweaks
* Compare with invariant culture
* Fixes Option Universe selection
* ZipEntryNameSubscriptionDataSourceReader will use IDataProvider
* Fix research
* Fix null reference exception
* Make duplicate log debug
Co-authored-by: Martin-Molinero <martin@quantconnect.com>
- Refactor ZipDataCacheProvider to avoid value types thread issues, it
will now use a timer. Add missing dispose calls.
- Synchronizer won't share the `SubscriptionFrontierTimeProvider`
instance since it's not thread safe and shouldn't be called
- Fix BacktestingResultHandler `_daysProcessed` thread safety
- Fixing `RealTimeScheduleEventService` thread safety
- Only add OnEndOfDay ScheduledEvent if the algorithm implements the
method. Adding unit tests
- Avoid creating a new baseData instance at
`SubscriptionDataSourceReader`
- Adding static `FineFundamental` instance since creating new ones is
expensive
- Add Tiingo news data
- Add `IndexSubscriptionDataSourceReader` that will handle data source
which use and index file
- Add `BaseSubscriptionDataSourceReader` to avoid code duplication
- Adjustments at `LiveCustomDataSubscriptionEnumeratorFactory` so that
custom data in a collection format does not emit old data
- Adding `TiingoNewsJsonConverter`
- Adding unit tests
Moves the FNF logging out of the DefaultDataProvider and into the
CreateStreamReaderError event handler. This move was required since
we don't have the required data in scope to perform this conditional
logging.
See #3618
Refactored IDataProvider interface to return stream. The IDataProvider
Fetch method now only takes a key. The IDataProvider
has been reshuffled to be at the bottom of the LeanDataStack. It provides
data to the rest of the Lean stack. The default implementation of IDataProvider reads
data from disc.
All IDataCacheProviders now have constructors which take IDataProviders
and use them to find data on disc.
Renamed DataCacheProvider to ZipDataCacheProvider
Added comments to IDataProvider and it's implementations
Added comments to IDataCacheProvider and it's implementations
Fixed bug where DataCacheProvider was returning a stream without closing
the stream. Also, ZipFiles returned from ZipFileCacheProvider are
effectively disposed.
Removed date field from IDataCacheProvider interface
This interface was built around the existing implementation of the
DataCacheProvider. It's purpose is to define a method for caching data
files. Currently, most data files are either read from disc or retrieved
remotely. The IDataChceProvider returns returns a Stream and can handle
many types of data. The IDataFileCacheProvider is needed because keeping data in memory will improve performance and overcome certain File read/write limitations (such as sharing violations) currently experienced by Lean.
There are two implementations of this interface. The first is the
SingleZipEntryDataCache. This is the default implementation. It does not
cache and returns the first entry found within a ZipFile. The second is
the ZipEntryCacheProvider. This is a rework of the existing
DataCachePrivider. It caches ZipFiles for up to 10 seconds. It can
return specific entries for option and future ZipFiles. Otherwise, it
returns the first entry in a ZipFile.
Added IDataFileCacheProvider as parameter to IHistoryProvider.Initialize()
The IDataFileCacheProvider is very useful for the IHistoryProvider in that it can eliminate the need for history request to touch disc. This can greatly improve peerformance and eliminate disc bugs associated with disc read/writes. To minimize changes throughtout Lean, the default value for the IDataFileCacheProvider is null in the IHistoryProvider.Initialize method.
IDataCacheProviders are passed down the Lean stack. Each instance of a Subscription Enumerator factory decides what cache it
will use. In other words, the IDataCacheProvider is not configurable from
config.json. The IDataCacheProvider is passwed down the stack form the
Enumerator factory to the IStreamReader where it is used to retrieve data.
Added useful helper method to Unizp files into a Stream.
The DefaultFileProvider is now configured as by default as the file-provider in config.json and passed in the the engine through the leanAlgorithmHandlers object.
The FileProvider is now passed into the TextSubscriptionDataSourceReader and ZipEntryNameSubscriptionDataSourceReader. Most of the changes in this commit are just getting the FileProvider to those two methods.
Jhonathan Abreu