FuncSecuritySeeder implements this new interface and is used in BrokerageModelSecurityInitializer to seed new securities with a price when they are created. FuncSecuritySeeder uses a new method, GetSingleBarHistory, in QCAlgorithm.History to get the last price from the history provider.
Refactors existing consolidators, indicators, and helper methods to depend on
IBaseData instead of BaseData. These updates also defines an IBaseDataBar to
act as an abstraction point between TradeBar and QuoteBar.
IAlgorithm DebugMessage, ErrorMessage and LogMessage are now ConcurrentQueue<string> instead of List<string> because List.Add is not thread safe.
Copying a list (using ToList()) at LiveTradingResultHandler while adding an element to it at QCAlgorithm caused a runtime error.
The default value for the market parameter in AddForex, AddOption, AddEquity and AddCfd is null. This allows unspecified markets to be set from the BrokerageModel.DefaultMarkets in the AddSecurity method for new securities added with these methods. SetBrokerageModel updates BrokerageModel.DefaultMarkets and therefore the market used for all new securities.
Implements IPriceVariationModel interface which takes the security object and returns a decimal variation
Implemets SecurityVariationModel class: default implementation of IPriceVariationModel that returns a fixed value (read from symbol-properties-database) for decimal variation
Implemets EquityVariationModel class: implementaion of IPriceVariationModel that returns a decimal variation as a function of equity price
Implemets AdjustedPriceVariationModel class: implementaion of IPriceVariationModel that returns zero
Adds unit test
This removes the SetupHandler.UpdateModels(...) method which used the brokerage
model to set fill/fee/slippage/settlement models. This will also allow the
removal of flags indicating that the user has set certain Security properties
Since we now support universe selection and by convention never remove a security
object, we can't rely on the counts of the security manager to perform limits on
data subscriptions, this logic was moved deeper into the engine, where we perform
UniverseSelection, which is the path taken to add new data subscriptions
Many places in the code used Log.Error(err.Message) or equivalent which
strips out all the really useful information, such as the stack trace
and inner exceptions. Using Log.Error(exception) is the correct way to
log an error as it will correctly write all the message details, also,
by passing the full Exception object we can improve the logging in this
one place and all call sites will automatically benefit from the improvements
AddData<T> was never properly converted to go through the SecurityManager.CreateSecurity
method which led to custom symbols not being loaded into the symbol cache.
Andrew Hart