- Custom data types will know whether or not Lean should use map files
- Updating regression test with sample custom data using map files,
which can run locally
- Adding unit tests for the `SubscriptionDataReaderHistoryProvider`,
checking it mappes equities and options correctly
Adds static methods of the form Parse.<TypeName>(string str) that use
CultureInfo.InvariantCulture. These are to be used when parsing strings.
It's still safe (from the CA1304/CA1305 perspective) to use the ToDecimal
extension method for decimals.
Adds string extension methods for common operations that will now require
CultureInfo.InvariantCulture. These are to be used when converting values
to strings, such as ToStringInvariant()/ToStringInvariant(format), but also
useful for searching within strings, StartsWithInvariant, EndsWithInvariant
and IndexOfInvariant.
FxCop has various rulesets for enforcing things within our codebase.
For this particular issue, we'll be enforcing CA1304 and CA1305 to
ensure we're always using an IFormatProvider or a CultureInfo where
applicable.
Linked Issue: #3045
- `SubscriptionSynchronizer` will emit a `TimeSlice.TimePulse` before
performing any universe selection on each time loop. This will advance
`Algorithm.Time` which will allow universe selection data time and
`Algorithm.Time` to be aligned.
- Updating Regression algorithms that were using `algorithm.Time` in the
selection method.
- Coarse selection will start from the algorithms start date (not in the
next day)
- Adding regression algorithm
- Setting SPY as the default security benchmark
- The security benchmark subscription will be added at `UniverseSelection`
as an internal subscription. Using its own dedicated Security instance
which doesn't live in the algorithms.Securities collection.
- Reducing algorithms exposure to internal subscriptions
- `TimeSliceFactory` will prioritize higher resolution bars, when same
symbol is present twice (for non-internal subscriptionst)
- Adding regression test `CustomUniverseWithBenchmarkRegressionAlgorithm`
- We will now check if python selection method returned `Universe.Unchanged`
- Removing `ToList()` call on fine and coarse data before sending it to
the python algorithm
- Adding regression algorithms
In order to provide full Lean Indicator functionality to python custom indicators, they need to inherit from a C# class. `PythonIndicator` will serve for this purpose.
Algorithms can use the former version (no inheritance).
In order to add support custom python indicators for `QCAlgorithm.PlotIndicator`, we created a `PythonIndicator` class that wraps the custom python indicator. In `QCAlgorithm`, the reference of the wrapper is saved into a dictionary keyed by the python indicator handle.
- Adding `IRealTimeHandler.OnSecurityChanged()` will be used to update
the `OnEndOfDay` security related scheduled events
- Adding `BaseRealTimeHandler.cs` to reduce code duplication in the
`Backtesting` and `LiveTrading` `RealTimeHandlers`
- Adding CSharp and Python regression tests
- Deprecating `OnEndOfDay()` callback because of two reasons, mainly
because Python does not support two methods with the same name, but also
because different assets have different market close times.
- `ScheduledEvents` set at the same time will now be deterministic
- For backtesting the algorithm thread will sequentially process pending
order requests
- Adding new non blocking `BusyCollection`
- Updating `UpdateOrderRegressionAlgorithm` that suffered of a race
condition: it supposed `OnOrderEvent` would be called after the call to
`Transactions.AddOrder()` was finished
File had hard-coded references and calls to Python Tools for Visual Studio. This PR removes these.
Algorithm tested and runs in online QuantConnect deployment of LEAN.
New custom data class USEnergyInformation with new demonstration algorithms, the updated config file for users to set their EIA token.
Adds `CloseTime` to represent the time that the data period end. `EndTime` represents, in turn, the time the data is emitted. There is an offset between `CloseTime` and `EndTime` that is defined by the difference between the last bar as emitted and its time.
In live mode, if the `USEnergyInformation.Reader` returns null, the `CollectionSubscriptionDataSourceReader.Read` method will pull for new data constantly. Therefore it should return an empty `BaseDataCollection` object.
Martin Molinero