- Add `TiingoNews.HistoricalCrawlOffset`, timespan to add for
backtesting
- Rename: remove `Data` from `TiingoNewsData` and rename `TiingoDailyData` to `TiingoPrice`
Adds IRegisteredSecurityDataTypesProvider to track all the data types
registered in the algorithm. Using this data, we can detect if it's
possible that we'll eventually have a property of a certain type name.
For example, consider I wish to use security.Data.TradeBar but we haven't
received any trade bars yet. Before this change a KeyNotFoundException
would be raised, but since we can determine that we expect to have trade
bars, we can detect this and return an empty list when we haven't received
any data yet. This also removes the need to constantly do a HasData<T>()
check before accessing the dynamic members.
Closes#3620
Provides dynamic access to cached security data keyed by the type's name.
For example, `security.Data.GetAll<Tick>()` would yield a list of ticks.
Likewise, using the dynamic accessors, `((dynamic)security.Data).Tick`
would return the same list. In C# you'll need to cast security.Data to
a dynamic. In python, all C# objects are viewed as dynamic, so python can
simply access `security.Data.Tick` directly.
See #3620
* Added better documentation for AddData methods
* Added new regression algorithms for adding in OnSecuritiesChanged
* Changed regression algorithms to add data that exists
* Styling and logging fixes
* Deleted regression algorithms because they tested behavior similar to
other existing regression algorithms
* Fixed new bug in regression algorithm due to AddData changes
* Added unit tests for wrapt version and package existence
* Fix issue where data would be set to raw normalization mode
* Added new method for Symbol to allow creation with underlying
* Added new unit tests
* Alter SecurityIdentifier method signature for BaseData
* AddData changes to accept underlying Symbol
* Added AddDataImpl
This is being done in an effort to prevent symbol collisions within the
custom data (SecurityType.Base) namespace. The custom data type's name,
is used for disambiguation. As written, this change will break several
user algorithms that still rely on using the implicit string -> Symbol
lift. Providing this type information is optional an currently only being
used by AddData<T> methods. Other consumers of SecurityType.Base symbols
arn't at risk for collision, such as the UserDefinedUniverse, ScheduledUniverse
and others that are LEAN controlled. In order to maintain backwards compatibility,
the SymbolCache was updated to do a hard search when the requested ticker was
not found, looking for the prefix ('ticker.').
Fixes#3332
- 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
Adds static methods of the form Parse.<TypeName>(string str) that use
CultureInfo.InvariantCulture. These are to be used when parsing strings.
It's still safe (from the CA1304/CA1305 perspective) to use the ToDecimal
extension method for decimals.
Adds string extension methods for common operations that will now require
CultureInfo.InvariantCulture. These are to be used when converting values
to strings, such as ToStringInvariant()/ToStringInvariant(format), but also
useful for searching within strings, StartsWithInvariant, EndsWithInvariant
and IndexOfInvariant.
FxCop has various rulesets for enforcing things within our codebase.
For this particular issue, we'll be enforcing CA1304 and CA1305 to
ensure we're always using an IFormatProvider or a CultureInfo where
applicable.
Linked Issue: #3045
- `SubscriptionFrontierTimeProvider` will advance new subscriptions to find the current emit time of the enumerator. This will make enumeration more deterministic, since we will not skip any time step of the new enumerators.
- Adding a just in case flag to the backtesting `Synchronizer` to retry creating a new time slice when the time has not advanced but there is data in the slice, this could happen with subscriptions added after initialize using algorithm.AddSecurity() API, where the subscription start time is the current time loop (but should just happen once)
Jared