- Renaming files from `Schedule...` to `Scheduled...` to match algorithm
name.
- Removed `ScheduledEvents` set every 5 seconds
- Increased the every day `ScheduledEvents` from 200 to 600
- Updates PythonNet to 1.0.5.17
- Improve performance by adding new `interop` `type` cache holding a `bool`, true if its an `exception`. And adding a `setter` and `getter` cache for the `propertyobject`. Closes#2925.
- Decimal parsing allows numeric string in exponential notation. Closes#2918#2919.
Closes#2929
StopLimitOrders seems to be coded improperly. The buy order had the limit price below the stop price, and the sell order had the limit prive above the stop price. By reversing the two, we can guarantee a sell limit at 0.25% below the close price and a buy limit at 0.25% above the close price, with a stop price at -0.1% and 0.1% respectively.
Changed function of BasicTemplateFuturesConsolidatorAlgorithm.py to use OnSecuritiesChanged to add/remove consolidators. Wrote equivalent algorithm for options data
- Adding new `SetAccountCurrency()` for backtesting. Has to be called
before adding any `Security` or calling `SetCash()`, else will throw.
- Adding new Non account currency unit tests for `CashBuyingPower`,
`SecurityPortfolioModel`, `SecurityMarginModel`,
`SecurityPortfolioManager`, `Future/OptionMarginBuyingPowerModels`
- Adding new C# regression test using `SetAccountCurrency()`, one for
`CashBuyingPowerModel` and one for `SecurityMarginModel`
- Adding new Py and C# basic regression algorithms using
`SetAccountCurrency()`
- `Options` and `Futures` will use not use `AccountCurrency` as quote
Cash.
- `SecurityBenchmark` value will be in account currency
- Requires a new PythonNet 1.0.5.15 package where the different `.dll` are in a
specific folder: `\win` `\linux` and `\osx`
- Removed not present `decimal.py` from `Algorithm.Python` project. It
was moved into `Common`.
- Replace `xbuild` for `msbuild` required for using the `System.Runtime.InteropServices`.
Also note the `xbuild` on travis prints:
> >>>> xbuild tool is deprecated and will be removed in future updates, use msbuild instead <<<<
In the new package:
- C# decimal conversion will use C# double and python float due to the big performance impact of converting C# decimal to python decimal;
- 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.
- The HistoryRequestBenchmark will now perform a daily and minute history
request at end of day.
- C# performance is at ~15k data points per second
- Python performance is at ~11k data points per second
Explictly implements the indexert `this[string]` to all classed that inherit from `DataDictionary` since pythonnet was not able to access the indexer from the parent class.
- Changes DividentAlgorithm.py to test the fix.
AlexCatarino