Commit Graph

2 Commits

Author SHA1 Message Date
Gerardo Salazar e2964dd4b1 Make OrderListHash deterministic by using MD5 as its underlying hash function (#5276)
* Update OrderListHash to use MD5 as hash instead of hash code

* Update regression algorithm OrderListHash statistic

* Use full MD5 hash as OrderListHash, update regression statistic

* Fixes failing regression tests
2021-02-09 12:19:25 -03:00
Martin-Molinero bfd319c91e OptionChain and OptionContract improvements (#4804)
* OptionChain and OptionContract improvements

- QCAlgorithm.AddUniverse will return the added Universe instance.
- Adding new OptionChainedUniverseSelectionModel will monitor a Universe changes
  and will spwan new OptionChainUniverse from it's selections. Adding
  regression test Py/C#.
- Adding new OptionContractUniverse that will own option contracts and
  their underlying symbol. Adding regression test
- Fix double notification for security changes, bug seen in updated
  UniverseSelectionRegressionAlgorithm
- Remove UniverseSelection special handling for Option and Future chains
- Fix DataManager not removing SubscriptionDataConfigs for Subscriptions
  which finished before being removed from the universe
- Refactor detection of user added Universe so that they do not get
  removed after calling the UniverseSelectionModel

* Add check for option underlying price is set

* Address reviews

- Adding python regression algorithm for
  `AddOptionContractFromUniverseRegressionAlgorithm`
  and `AddOptionContractExpiresRegressionAlgorithm`
- Rename QCAlgorithm new api method to `AddChainedOptionUniverse`

* Fix universe refresh bug

- Fix bug where a universe selection refresh would cause option or
  future chain universes from being removed. Adding regression algorithm
  reproducing the issue.

* Rename new option universe Algorithm API method

- Rename new option universe Algorith API method from
  AddChainedOptionUniverse to AddUniverseOptions
- Rebase and update regression test order hash because of
  option expiration message changed
2020-10-09 10:52:50 -03:00