Changed system to use Margin Models, removing leverage wherever possible allowing for dynamic margin models.
Created first portfolio fill model for FOREX which treats it as a currency swap through the cashbook instead of a tradable asset.
Updated the Securities/SecurityPortfolioManager to use cashbook value + holdings removing FOREX virtual positions.
Created a new benchmark system for comparing quantconnect builds.
Updates Securities.Update to take a slice of the 'newData' collection from AlgorithmManager to prevent an n^2 problem
This also has the affect that now all security prices are updated before ANY OnData events are fired (previously imported data could fire before these)
Adds the SubscriptionDataConfig to the Security object and requires it when adding new Securities in SecurityManager
Adds the SubscriptionIndex field to SubscriptionDataConfig, always handled by SubscriptionManager
Using the SetEndDate function would end up with the last day of data not being processed due to a period start/finish filter in the SubscriptionDataReader.MoveNext() function. Updating the SetEndDate to make the DateTime value to last moment in the day solves the issue. It also ends up fixing a lingering bug in the ConsoleResultHandler where we were computing the wrong number of days to process.
Includes new AddData<T> overload to accept fillforward and leverage parameters
Moved the clone implementation in BaseData to ObjectActivator
Added some test BaseData types that can be used as custom data but just patch through to default data locations
Removing the isQcData flags allowed better support for consistency between different data types. This has a knock-on effect of allowing custom data to be fillforward and loaded from a file system.
snugs