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- Fill model will take into account internal configurations, this is
specially relevant for continuous future mapped contracts. Updating
regression algorithms and unit tests.
- Allowing internal configurations to update trade builder information
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* Minor fixes for mapped futures contract
- Future security was never able to be non tradable
- Skip remove future contracts from live holdings. Adding unit test
reproducing issue and regression algorithm
* Fix removal of continuous futures
- The canonical continuous future would leave behind an OpenInterest
subscription when removed because of a different in the way the
configurations were built, this will now be centralized in a single
method. Adding unit tests reproducing issue
- FillForwarding setting of the continuous future was not being
respected. Updating algorithm reproducing the issue to assert the
behavior failing in master
* Address reviews
- Minor refactors addressing reviews
* add data count properties
* 'add history count property
* assert data counts
* update missing override
* consider override/virtual cases
* implement data count
* add message handler for regression tests
* use regression test message handler
* set algorithm manager for regression test message handler
* update data count
* check if stats are present, check if algo manager is not null
* update
* add c# algo
* make same as c# algo
* use new line
* logic shifted to RegressionTestMessageHandler
* cleanup
* auto cleanup
* skip non deterministic data count
* change data count
* use inheritance
* improve stats
* update couht
* add sma indicator to c# and customSMA to python
* call base method before executing further
* skip test
* revert to original
* add duplicate sma
* skip regression test
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* Make continuous futures untradable
- To match live trading behavior. Adjust continuous futures securities
to be untradable
* Set ContinuousFuture as non tradable
- Set continuous futures as non tradable. Update regression algorithms
- Fixes for symbol capacity calculation
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* Do not send internal SecurityChanges to Algorithm
- Will not send internal security changes to the Algorithm by default.
Following custom security changes filter pattern. Updating regression
algorithms to assert behavior.
- The universe member will know wether it was added with internal
configurations or not
* Address reviews use a separate collection for internals
* Refactor solution. Adding security changes constructor class
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* Continuous Futures Refactor. Live Mappings
- Adding support for live mappings. LiveTradingDataFeed will handle any
symbol mapping at the configuration layer and resubscribe through the
IDQH
- Refactoring continuous futures adding ContinuousFutureUniverse that
will select the currently mapped security
* Minor fixes
- Remove addition of configurations in UniverseSelection step, leave
resposability for universe.
- LiveTradingDF future unit test will only assert slice data for non
internal feeds.
- ContinuousContractUniverse will respect internal option interest
subscription
* Address review
Martin-Molinero