- Typoes were fixed in `ImmediateExecutionModel.cs`;
- Refactors `PriceIsFavorable` methods in `StandardDeviationExecutionModel` and `VolumeWeightedAveragePriceExecutionModel` C# models;
- Adds python version of C# execution models
Three methods were added to enable easier consumption of an enumerable
of slices returned from a history request. The dictionary version is
most likely to be used by python, while the functional versions allow
for lots of flexibility in how you'd like to consume the stream of slices.
The execution models should maintain references to symbol data as long as
the security is a member of at least one universe. It's important to note
here that 'membership' in the universe is not the same as 'recently selected'
by the universe. A security remains a member even after it's been deselected
until it has zero holdings and zero open orders.
In the next commit we'll add an extra condition which will confirm that there
are also zero outstanding portfolio targets for the security.
These methods were phrased in the negative sense. This change
reads how one would expect, if certain conditons are met, then
buy -- vs, if certain condition is not met, don't buy.
VWAP will submit market orders while the current price is more favorable than VWAP.
STD will submit market orders while the current price is a configured number of
standard deviations away from the mean in the favorable direction.
Michael Handschuh