Commit Graph

6 Commits

Author SHA1 Message Date
Ronit Jain d1ff914e5a fix docs (#6285)
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2022-04-08 17:44:01 -03:00
Ronit Jain 15066ae5e1 Feature improve regression tests (#6245)
* 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
2022-03-15 16:51:15 -03:00
Martin-Molinero de57cedc5a Make continuous future untradable (#6252)
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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
2022-03-14 14:23:26 -03:00
Martin-Molinero 68e2a9170a Do not send internal SecurityChanges to Algorithm (#6118)
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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
2021-12-21 20:24:32 -03:00
Martin-Molinero d1a35e6281 Continuous Futures Refactor. Live Mappings (#6076)
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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
2021-11-30 21:38:50 -03:00
Martin-Molinero b8b0d18993 Continuous futures (#6034)
* Continuous Future Contracts

* Mapping approach

* Tweaks WIP

* Live mapping

* Live mapping

- Add support for live mapping, refreshing mapfiles
- Fix future expiration functions
- Adding unit tests

* Update moq test package

* Continuous futures price scaling

* Refactor price factors scaling

* Factor file related renames

* Address reviews
2021-11-15 14:44:30 -03:00